def summary(self):
"""Summary table of model estimation results"""
smry = super(PanelEffectsResults, self).summary
is_invalid = np.isfinite(self.f_pooled.stat)
f_pool = _str(self.f_pooled.stat) if is_invalid else '--'
f_pool_pval = pval_format(self.f_pooled.pval) if is_invalid else '--'
f_pool_name = self.f_pooled.dist_name if is_invalid else '--'
extra_text = []
if is_invalid:
extra_text.append('F-test for Poolability: {0}'.format(f_pool))
extra_text.append('P-value: {0}'.format(f_pool_pval))
extra_text.append('Distribution: {0}'.format(f_pool_name))
extra_text.append('')
if self.included_effects:
effects = ', '.join(self.included_effects)
extra_text.append('Included effects: ' + effects)
if self.other_info is not None:
ncol = self.other_info.shape[1]
extra_text.append('Model includes {0} other effects'.format(ncol))
for c in self.other_info.T:
col = self.other_info.T[c]
extra_text.append('Other Effect {0}:'.format(c))
stats = 'Avg Obs: {0}, Min Obs: {1}, Max Obs: {2}, Groups: {3}'
stats = stats.format(_str(col['mean']), _str(col['min']),
_str(col['max']), int(col['total']))
extra_text.append(stats)
smry.add_extra_txt(extra_text)
return smry
def summary(self):
""":obj:`statsmodels.iolib.summary.Summary` : Summary table of model estimation results
Supports export to csv, html and latex using the methods ``summary.as_csv()``,
``summary.as_html()`` and ``summary.as_latex()``.
"""
stubs_lookup = {
'rsquared': 'R-squared',
'partial.rsquared': 'Partial R-squared',
'shea.rsquared': 'Shea\'s R-squared',
'f.stat': 'Partial F-statistic',
'f.pval': 'P-value (Partial F-stat)',
'f.dist': 'Partial F-stat Distn'
}
smry = Summary()
diagnostics = self.diagnostics
vals = []
for c in diagnostics:
if c != 'f.dist':
vals.append([_str(v) for v in diagnostics[c]])
else:
vals.append([v for v in diagnostics[c]])
stubs = [stubs_lookup[s] for s in list(diagnostics.columns)]
header = list(diagnostics.index)
params = []
for var in header:
res = self.individual[var]
v = c_[res.params.values, res.tstats.values]
params.append(v.ravel())
params = array(params)
params_fmt = [[_str(val) for val in row] for row in params.T]
for i in range(1, len(params_fmt), 2):
for j in range(len(params_fmt[i])):
params_fmt[i][j] = '({0})'.format(params_fmt[i][j])
params_stub = []
for var in res.params.index:
params_stub.extend([var, ''])
title = 'First Stage Estimation Results'
vals = table_concat((vals, params_fmt))
stubs = stub_concat((stubs, params_stub))
txt_fmt = default_txt_fmt.copy()
txt_fmt['data_aligns'] = 'r'
txt_fmt['header_align'] = 'r'
table = SimpleTable(vals,
headers=header,
title=title,
stubs=stubs,
txt_fmt=txt_fmt)
smry.tables.append(table)
extra_txt = [
'T-stats reported in parentheses',
'T-stats use same covariance type as original model'
]
smry.add_extra_txt(extra_txt)
return smry
def summary(self):
"""Summary table of first-stage estimation results"""
stubs_lookup = {
'rsquared': 'R-squared',
'partial.rsquared': 'Partial R-squared',
'shea.rsquared': 'Shea\'s R-squared',
'f.stat': 'F-statistic',
'f.pval': 'P-value (F-stat)'
}
smry = Summary()
diagnostics = self.diagnostics
vals = [[_str(v) for v in diagnostics[c]] for c in diagnostics]
stubs = [stubs_lookup[s] for s in list(diagnostics.columns)]
header = list(diagnostics.index)
params = []
for var in header:
res = self.individual[var]
v = c_[res.params.values, res.tstats.values]
params.append(v.ravel())
params = array(params)
if params.ndim == 1:
params = params[:, None]
params_fmt = [[_str(val) for val in row] for row in params.T]
for i in range(1, len(params_fmt), 2):
for j in range(len(params_fmt[i])):
params_fmt[i][j] = '({0})'.format(params_fmt[i][j])
params_stub = []
for var in res.params.index:
params_stub.extend([var, ''])
title = 'First Stage Estimation Results'
vals = table_concat((vals, params_fmt))
stubs = stub_concat((stubs, params_stub))
txt_fmt = default_txt_fmt.copy()
txt_fmt['data_aligns'] = 'r'
txt_fmt['header_align'] = 'r'
table = SimpleTable(vals,
headers=header,
title=title,
stubs=stubs,
txt_fmt=txt_fmt)
smry.tables.append(table)
extra_txt = [
'T-stats reported in parentheses',
'T-stats use same covariance type as original model'
]
smry.add_extra_txt(extra_txt)
return smry
def summary(self):
"""Equation summary"""
title = self._method + ' Estimation Summary'
top_left = [('Eq. Label:', self.equation_label),
('Dep. Variable:', self.dependent),
('Estimator:', self._method),
('No. Observations:', self.nobs),
('Date:', self._datetime.strftime('%a, %b %d %Y')),
('Time:', self._datetime.strftime('%H:%M:%S')),
('', '')]
top_right = [('R-squared:', _str(self.rsquared)),
('Adj. R-squared:', _str(self.rsquared_adj)),
('Cov. Estimator:', self._cov_type),
('F-statistic:', _str(self.f_statistic.stat)),
('P-value (F-stat)', pval_format(self.f_statistic.pval)),
('Distribution:', str(self.f_statistic.dist_name)),
('', '')]
stubs = []
vals = []
for stub, val in top_left:
stubs.append(stub)
vals.append([val])
table = SimpleTable(vals, txt_fmt=fmt_2cols, title=title, stubs=stubs)
# create summary table instance
smry = Summary()
# Top Table
# Parameter table
fmt = fmt_2cols
fmt['data_fmts'][1] = '%10s'
top_right = [('%-21s' % (' ' + k), v) for k, v in top_right]
stubs = []
vals = []
for stub, val in top_right:
stubs.append(stub)
vals.append([val])
table.extend_right(SimpleTable(vals, stubs=stubs))
smry.tables.append(table)
smry.tables.append(param_table(self, 'Parameter Estimates', pad_bottom=True))
return smry
def summary(self):
"""Model summary"""
title = 'System ' + self._method + ' Estimation Summary'
top_left = [('Estimator:', self._method),
('No. Equations.:', str(len(self.equation_labels))),
('No. Observations:', str(self.resids.shape[0])),
('Date:', self._datetime.strftime('%a, %b %d %Y')),
('Time:', self._datetime.strftime('%H:%M:%S')),
('', ''),
('', '')]
top_right = [('Overall R-squared:', _str(self.rsquared)),
('Cov. Estimator:', self._cov_type),
('Num. Constraints: ', self._num_constraints),
('', ''),
('', ''),
('', ''),
('', '')]
stubs = []
vals = []
for stub, val in top_left:
stubs.append(stub)
vals.append([val])
table = SimpleTable(vals, txt_fmt=fmt_2cols, title=title, stubs=stubs)
# create summary table instance
smry = Summary()
# Top Table
# Parameter table
fmt = fmt_2cols
fmt['data_fmts'][1] = '%10s'
top_right = [('%-21s' % (' ' + k), v) for k, v in top_right]
stubs = []
vals = []
for stub, val in top_right:
stubs.append(stub)
vals.append([val])
table.extend_right(SimpleTable(vals, stubs=stubs))
smry.tables.append(table)
for eqlabel in self.equation_labels:
results = self.equations[eqlabel]
dep_name = results.dependent
title = 'Equation: {0}, Dependent Variable: {1}'.format(eqlabel, dep_name)
smry.tables.append(param_table(results, title, pad_bottom=True))
return smry
def summary(self):
""":obj:`statsmodels.iolib.summary.Summary` : Summary table of model estimation results
Supports export to csv, html and latex using the methods ``summary.as_csv()``,
``summary.as_html()`` and ``summary.as_latex()``.
"""
smry = Summary()
models = list(self._results.keys())
title = 'Model Comparison'
stubs = ['Dep. Variable', 'Estimator', 'No. Observations', 'Cov. Est.', 'R-squared',
'R-Squared (Within)', 'R-Squared (Between)', 'R-Squared (Overall)',
'F-statistic', 'P-value (F-stat)']
dep_name = {}
for key in self._results:
dep_name[key] = self._results[key].model.dependent.vars[0]
dep_name = Series(dep_name)
vals = concat([dep_name, self.estimator_method, self.nobs, self.cov_estimator,
self.rsquared, self.rsquared_within, self.rsquared_between,
self.rsquared_overall, self.f_statistic], 1)
vals = [[i for i in v] for v in vals.T.values]
vals[2] = [str(v) for v in vals[2]]
for i in range(4, len(vals)):
f = _str
if i == 9:
f = pval_format
vals[i] = [f(v) for v in vals[i]]
params = self.params
tstats = self.tstats
params_fmt = []
params_stub = []
for i in range(len(params)):
params_fmt.append([_str(v) for v in params.values[i]])
tstats_fmt = []
for v in tstats.values[i]:
v_str = _str(v)
v_str = '({0})'.format(v_str) if v_str.strip() else v_str
tstats_fmt.append(v_str)
params_fmt.append(tstats_fmt)
params_stub.append(params.index[i])
params_stub.append(' ')
vals = table_concat((vals, params_fmt))
stubs = stub_concat((stubs, params_stub))
all_effects = []
for key in self._results:
res = self._results[key]
effects = getattr(res, 'included_effects', [])
all_effects.append(effects)
neffect = max(map(len, all_effects))
effects = []
effects_stub = ['Effects']
for i in range(neffect):
if i > 0:
effects_stub.append('')
row = []
for j in range(len(self._results)):
effect = all_effects[j]
if len(effect) > i:
row.append(effect[i])
else:
row.append('')
effects.append(row)
if effects:
vals = table_concat((vals, effects))
stubs = stub_concat((stubs, effects_stub))
txt_fmt = default_txt_fmt.copy()
txt_fmt['data_aligns'] = 'r'
txt_fmt['header_align'] = 'r'
table = SimpleTable(vals, headers=models, title=title, stubs=stubs, txt_fmt=txt_fmt)
smry.tables.append(table)
smry.add_extra_txt(['T-stats reported in parentheses'])
return smry
def summary(self):
""":obj:`statsmodels.iolib.summary.Summary` : Summary table of model estimation results
Supports export to csv, html and latex using the methods ``summary.as_csv()``,
``summary.as_html()`` and ``summary.as_latex()``.
"""
title = self.name + ' Estimation Summary'
mod = self.model
top_left = [('Dep. Variable:', mod.dependent.vars[0]),
('Estimator:', self.name),
('No. Observations:', self.nobs),
('Date:', self._datetime.strftime('%a, %b %d %Y')),
('Time:', self._datetime.strftime('%H:%M:%S')),
('Cov. Estimator:', self._cov_type),
('', ''),
('Entities:', str(int(self.entity_info['total']))),
('Avg Obs:', _str(self.entity_info['mean'])),
('Min Obs:', _str(self.entity_info['min'])),
('Max Obs:', _str(self.entity_info['max'])),
('', ''),
('Time periods:', str(int(self.time_info['total']))),
('Avg Obs:', _str(self.time_info['mean'])),
('Min Obs:', _str(self.time_info['min'])),
('Max Obs:', _str(self.time_info['max'])),
('', '')]
is_invalid = np.isfinite(self.f_statistic.stat)
f_stat = _str(self.f_statistic.stat) if is_invalid else '--'
f_pval = pval_format(self.f_statistic.pval) if is_invalid else '--'
f_dist = self.f_statistic.dist_name if is_invalid else '--'
f_robust = _str(self.f_statistic_robust.stat) if is_invalid else '--'
f_robust_pval = pval_format(self.f_statistic_robust.pval) if is_invalid else '--'
f_robust_name = self.f_statistic_robust.dist_name if is_invalid else '--'
top_right = [('R-squared:', _str(self.rsquared)),
('R-squared (Between):', _str(self.rsquared_between)),
('R-squared (Within):', _str(self.rsquared_within)),
('R-squared (Overall):', _str(self.rsquared_overall)),
('Log-likelihood', _str(self._loglik)),
('', ''),
('F-statistic:', f_stat),
('P-value', f_pval),
('Distribution:', f_dist),
('', ''),
('F-statistic (robust):', f_robust),
('P-value', f_robust_pval),
('Distribution:', f_robust_name),
('', ''),
('', ''),
('', ''),
('', ''),
]
stubs = []
vals = []
for stub, val in top_left:
stubs.append(stub)
vals.append([val])
table = SimpleTable(vals, txt_fmt=fmt_2cols, title=title, stubs=stubs)
# create summary table instance
smry = Summary()
# Top Table
# Parameter table
fmt = fmt_2cols
fmt['data_fmts'][1] = '%18s'
top_right = [('%-21s' % (' ' + k), v) for k, v in top_right]
stubs = []
vals = []
for stub, val in top_right:
stubs.append(stub)
vals.append([val])
table.extend_right(SimpleTable(vals, stubs=stubs))
smry.tables.append(table)
param_data = np.c_[self.params.values[:, None],
self.std_errors.values[:, None],
self.tstats.values[:, None],
self.pvalues.values[:, None],
self.conf_int()]
data = []
for row in param_data:
txt_row = []
for i, v in enumerate(row):
f = _str
if i == 3:
f = pval_format
txt_row.append(f(v))
data.append(txt_row)
title = 'Parameter Estimates'
table_stubs = list(self.params.index)
header = ['Parameter', 'Std. Err.', 'T-stat', 'P-value', 'Lower CI', 'Upper CI']
table = SimpleTable(data,
stubs=table_stubs,
txt_fmt=fmt_params,
headers=header,
title=title)
smry.tables.append(table)
return smry
def summary(self):
""":obj:`statsmodels.iolib.summary.Summary` : Summary table of model estimation results
Supports export to csv, html and latex using the methods ``summary.as_csv()``,
``summary.as_html()`` and ``summary.as_latex()``.
"""
title = self._method + ' Estimation Summary'
top_left = [('Eq. Label:', self.equation_label),
('Dep. Variable:', self.dependent),
('Estimator:', self._method),
('No. Observations:', self.nobs),
('Date:', self._datetime.strftime('%a, %b %d %Y')),
('Time:', self._datetime.strftime('%H:%M:%S')), ('', '')]
top_right = [('R-squared:', _str(self.rsquared)),
('Adj. R-squared:', _str(self.rsquared_adj)),
('Cov. Estimator:', self._cov_type),
('F-statistic:', _str(self.f_statistic.stat)),
('P-value (F-stat)', pval_format(self.f_statistic.pval)),
('Distribution:', str(self.f_statistic.dist_name)),
('', '')]
stubs = []
vals = []
for stub, val in top_left:
stubs.append(stub)
vals.append([val])
table = SimpleTable(vals, txt_fmt=fmt_2cols, title=title, stubs=stubs)
# create summary table instance
smry = Summary()
# Top Table
# Parameter table
fmt = fmt_2cols
fmt['data_fmts'][1] = '%10s'
top_right = [('%-21s' % (' ' + k), v) for k, v in top_right]
stubs = []
vals = []
for stub, val in top_right:
stubs.append(stub)
vals.append([val])
table.extend_right(SimpleTable(vals, stubs=stubs))
smry.tables.append(table)
smry.tables.append(
param_table(self, 'Parameter Estimates', pad_bottom=True))
extra_text = []
instruments = self._instruments
if instruments:
endog = self._endog
extra_text = []
extra_text.append('Endogenous: ' + ', '.join(endog))
extra_text.append('Instruments: ' + ', '.join(instruments))
extra_text.append('Covariance Estimator:')
for line in str(self._cov_estimator).split('\n'):
extra_text.append(line)
if self._weight_estimator:
extra_text.append('Weight Estimator:')
for line in str(self._weight_estimator).split('\n'):
extra_text.append(line)
smry.add_extra_txt(extra_text)
return smry
def summary(self):
""":obj:`statsmodels.iolib.summary.Summary` : Summary table of model estimation results
Supports export to csv, html and latex using the methods ``summary.as_csv()``,
``summary.as_html()`` and ``summary.as_latex()``.
"""
title = 'System ' + self._method + ' Estimation Summary'
top_left = [('Estimator:', self._method),
('No. Equations.:', str(len(self.equation_labels))),
('No. Observations:', str(self.resids.shape[0])),
('Date:', self._datetime.strftime('%a, %b %d %Y')),
('Time:', self._datetime.strftime('%H:%M:%S')), ('', ''),
('', '')]
top_right = [('Overall R-squared:', _str(self.rsquared)),
('Cov. Estimator:', self._cov_type),
('Num. Constraints: ', self._num_constraints), ('', ''),
('', ''), ('', ''), ('', '')]
stubs = []
vals = []
for stub, val in top_left:
stubs.append(stub)
vals.append([val])
table = SimpleTable(vals, txt_fmt=fmt_2cols, title=title, stubs=stubs)
# create summary table instance
smry = Summary()
# Top Table
# Parameter table
fmt = fmt_2cols
fmt['data_fmts'][1] = '%10s'
top_right = [('%-21s' % (' ' + k), v) for k, v in top_right]
stubs = []
vals = []
for stub, val in top_right:
stubs.append(stub)
vals.append([val])
table.extend_right(SimpleTable(vals, stubs=stubs))
smry.tables.append(table)
for i, eqlabel in enumerate(self.equation_labels):
last_row = i == (len(self.equation_labels) - 1)
results = self.equations[eqlabel]
dep_name = results.dependent
title = 'Equation: {0}, Dependent Variable: {1}'.format(
eqlabel, dep_name)
pad_bottom = results.instruments is not None and not last_row
smry.tables.append(
param_table(results, title, pad_bottom=pad_bottom))
if results.instruments:
formatted = format_wide(results.instruments, 80)
if not last_row:
formatted.append([' '])
smry.tables.append(
SimpleTable(formatted, headers=['Instruments']))
extra_text = ['Covariance Estimator:']
for line in str(self._cov_estimator).split('\n'):
extra_text.append(line)
if self._weight_estimtor:
extra_text.append('Weight Estimator:')
for line in str(self._weight_estimtor).split('\n'):
extra_text.append(line)
smry.add_extra_txt(extra_text)
return smry
def summary(self):
""":obj:`statsmodels.iolib.summary.Summary` : Summary table of model estimation results
Supports export to csv, html and latex using the methods ``summary.as_csv()``,
``summary.as_html()`` and ``summary.as_latex()``.
"""
title = self.name + ' Estimation Summary'
top_left = [('No. Test Portfolios:', len(self._portfolio_names)),
('No. Factors:', len(self._factor_names)),
('No. Observations:', self.nobs),
('Date:', self._datetime.strftime('%a, %b %d %Y')),
('Time:', self._datetime.strftime('%H:%M:%S')),
('Cov. Estimator:', self._cov_type), ('', '')]
j_stat = _str(self.j_statistic.stat)
j_pval = pval_format(self.j_statistic.pval)
j_dist = self.j_statistic.dist_name
top_right = [('R-squared:', _str(self.rsquared)),
('J-statistic:', j_stat), ('P-value', j_pval),
('Distribution:', j_dist), ('', ''), ('', ''), ('', '')]
stubs = []
vals = []
for stub, val in top_left:
stubs.append(stub)
vals.append([val])
table = SimpleTable(vals, txt_fmt=fmt_2cols, title=title, stubs=stubs)
# create summary table instance
smry = Summary()
# Top Table
# Parameter table
fmt = fmt_2cols
fmt['data_fmts'][1] = '%18s'
top_right = [('%-21s' % (' ' + k), v) for k, v in top_right]
stubs = []
vals = []
for stub, val in top_right:
stubs.append(stub)
vals.append([val])
table.extend_right(SimpleTable(vals, stubs=stubs))
smry.tables.append(table)
rp = np.asarray(self.risk_premia)[:, None]
se = np.asarray(self.risk_premia_se)[:, None]
tstats = np.asarray(self.risk_premia / self.risk_premia_se)
pvalues = 2 - 2 * stats.norm.cdf(np.abs(tstats))
ci = rp + se * stats.norm.ppf([[0.025, 0.975]])
param_data = np.c_[rp, se, tstats[:, None], pvalues[:, None], ci]
data = []
for row in param_data:
txt_row = []
for i, v in enumerate(row):
f = _str
if i == 3:
f = pval_format
txt_row.append(f(v))
data.append(txt_row)
title = 'Risk Premia Estimates'
table_stubs = list(self.risk_premia.index)
header = [
'Parameter', 'Std. Err.', 'T-stat', 'P-value', 'Lower CI',
'Upper CI'
]
table = SimpleTable(data,
stubs=table_stubs,
txt_fmt=fmt_params,
headers=header,
title=title)
smry.tables.append(table)
smry.add_extra_txt([
'Covariance estimator:',
str(self._cov_est), 'See full_summary for complete results'
])
return smry
def summary(self) -> Summary:
"""
Model estimation summary.
Returns
-------
Summary
Summary table of model estimation results
Supports export to csv, html and latex using the methods ``summary.as_csv()``,
``summary.as_html()`` and ``summary.as_latex()``.
"""
title = self._method + " Estimation Summary"
top_left = [
("Eq. Label:", self.equation_label),
("Dep. Variable:", self.dependent),
("Estimator:", self._method),
("No. Observations:", self.nobs),
("Date:", self._datetime.strftime("%a, %b %d %Y")),
("Time:", self._datetime.strftime("%H:%M:%S")),
("", ""),
]
top_right = [
("R-squared:", _str(self.rsquared)),
("Adj. R-squared:", _str(self.rsquared_adj)),
("Cov. Estimator:", self._cov_type),
("F-statistic:", _str(self.f_statistic.stat)),
("P-value (F-stat)", pval_format(self.f_statistic.pval)),
("Distribution:", str(self.f_statistic.dist_name)),
("", ""),
]
stubs = []
vals = []
for stub, val in top_left:
stubs.append(stub)
vals.append([val])
table = SimpleTable(vals, txt_fmt=fmt_2cols, title=title, stubs=stubs)
# create summary table instance
smry = Summary()
# Top Table
# Parameter table
fmt = fmt_2cols
fmt["data_fmts"][1] = "%10s"
top_right = [("%-21s" % (" " + k), v) for k, v in top_right]
stubs = []
vals = []
for stub, val in top_right:
stubs.append(stub)
vals.append([val])
table.extend_right(SimpleTable(vals, stubs=stubs))
smry.tables.append(table)
smry.tables.append(
param_table(self, "Parameter Estimates", pad_bottom=True))
extra_text = []
instruments = self._instruments
if instruments:
endog = self._endog
extra_text = [
"Endogenous: " + ", ".join(endog),
"Instruments: " + ", ".join(instruments),
]
extra_text.append("Covariance Estimator:")
for line in str(self._cov_estimator).split("\n"):
extra_text.append(line)
if self._weight_estimator:
extra_text.append("Weight Estimator:")
for line in str(self._weight_estimator).split("\n"):
extra_text.append(line)
smry.add_extra_txt(extra_text)
return smry
def summary(self) -> Summary:
"""
Model estimation summary.
Returns
-------
Summary
Summary table of model estimation results
Supports export to csv, html and latex using the methods ``summary.as_csv()``,
``summary.as_html()`` and ``summary.as_latex()``.
"""
title = "System " + self._method + " Estimation Summary"
top_left = [
("Estimator:", self._method),
("No. Equations.:", str(len(self.equation_labels))),
("No. Observations:", str(self.resids.shape[0])),
("Date:", self._datetime.strftime("%a, %b %d %Y")),
("Time:", self._datetime.strftime("%H:%M:%S")),
("", ""),
("", ""),
]
top_right = [
("Overall R-squared:", _str(self.rsquared)),
("McElroy's R-squared:", _str(self.system_rsquared.mcelroy)),
("Judge's (OLS) R-squared:", _str(self.system_rsquared.judge)),
("Berndt's R-squared:", _str(self.system_rsquared.berndt)),
("Dhrymes's R-squared:", _str(self.system_rsquared.dhrymes)),
("Cov. Estimator:", self._cov_type),
("Num. Constraints: ", self._num_constraints),
]
stubs = []
vals = []
for stub, val in top_left:
stubs.append(stub)
vals.append([val])
table = SimpleTable(vals, txt_fmt=fmt_2cols, title=title, stubs=stubs)
# create summary table instance
smry = Summary()
# Top Table
# Parameter table
fmt = fmt_2cols
fmt["data_fmts"][1] = "%10s"
top_right = [("%-21s" % (" " + k), v) for k, v in top_right]
stubs = []
vals = []
for stub, val in top_right:
stubs.append(stub)
vals.append([val])
table.extend_right(SimpleTable(vals, stubs=stubs))
smry.tables.append(table)
for i, eqlabel in enumerate(self.equation_labels):
last_row = i == (len(self.equation_labels) - 1)
results = self.equations[eqlabel]
dep_name = results.dependent
title = "Equation: {0}, Dependent Variable: {1}".format(
eqlabel, dep_name)
pad_bottom = results.instruments is not None and not last_row
smry.tables.append(
param_table(results, title, pad_bottom=pad_bottom))
if results.instruments:
formatted = format_wide(results.instruments, 80)
if not last_row:
formatted.append([" "])
smry.tables.append(
SimpleTable(formatted, headers=["Instruments"]))
extra_text = ["Covariance Estimator:"]
for line in str(self._cov_estimator).split("\n"):
extra_text.append(line)
if self._weight_estimtor:
extra_text.append("Weight Estimator:")
for line in str(self._weight_estimtor).split("\n"):
extra_text.append(line)
smry.add_extra_txt(extra_text)
return smry
def summary(self):
"""Summary table of model estimation results"""
title = self._method + ' Estimation Summary'
mod = self.model
top_left = [('Dep. Variable:', mod.dependent.cols[0]),
('Estimator:', self._method),
('No. Observations:', self.nobs),
('Date:', self._datetime.strftime('%a, %b %d %Y')),
('Time:', self._datetime.strftime('%H:%M:%S')),
('Cov. Estimator:', self._cov_type), ('', '')]
top_right = [('R-squared:', _str(self.rsquared)),
('Adj. R-squared:', _str(self.rsquared_adj)),
('F-statistic:', _str(self.f_statistic.stat)),
('P-value (F-stat)', pval_format(self.f_statistic.pval)),
('Distribution:', str(self.f_statistic.dist_name)),
('', ''), ('', '')]
stubs = []
vals = []
for stub, val in top_left:
stubs.append(stub)
vals.append([val])
table = SimpleTable(vals, txt_fmt=fmt_2cols, title=title, stubs=stubs)
# create summary table instance
smry = Summary()
# Top Table
# Parameter table
fmt = fmt_2cols
fmt['data_fmts'][1] = '%18s'
top_right = [('%-21s' % (' ' + k), v) for k, v in top_right]
stubs = []
vals = []
for stub, val in top_right:
stubs.append(stub)
vals.append([val])
table.extend_right(SimpleTable(vals, stubs=stubs))
smry.tables.append(table)
param_data = c_[self.params.values[:, None],
self.std_errors.values[:, None],
self.tstats.values[:, None], self.pvalues.values[:,
None],
self.conf_int()]
data = []
for row in param_data:
txt_row = []
for i, v in enumerate(row):
f = _str
if i == 3:
f = pval_format
txt_row.append(f(v))
data.append(txt_row)
title = 'Parameter Estimates'
table_stubs = list(self.params.index)
header = [
'Parameters', 'Std. Err.', 'T-stat', 'P-value', 'Lower CI',
'Upper CI'
]
table = SimpleTable(data,
stubs=table_stubs,
txt_fmt=fmt_params,
headers=header,
title=title)
smry.tables.append(table)
instruments = self.model.instruments
if instruments.shape[1] > 0:
extra_text = []
endog = self.model.endog
extra_text.append('Endogenous: ' + ', '.join(endog.cols))
extra_text.append('Instruments: ' + ', '.join(instruments.cols))
cov_descr = str(self._cov_estimator)
for line in cov_descr.split('\n'):
extra_text.append(line)
smry.add_extra_txt(extra_text)
return smry
def summary(self):
"""Summary table of model comparison"""
smry = Summary()
models = list(self._results.keys())
title = 'Model Comparison'
stubs = [
'Dep. Variable', 'Estimator', 'No. Observations', 'Cov. Est.',
'R-squared', 'Adj. R-squared', 'F-statistic', 'P-value (F-stat)'
]
dep_name = {}
for key in self._results:
dep_name[key] = self._results[key].model.dependent.cols[0]
dep_name = Series(dep_name)
vals = concat([
dep_name, self.estimator_method, self.nobs, self.cov_estimator,
self.rsquared, self.rsquared_adj, self.f_statistic
], 1)
vals = [[i for i in v] for v in vals.T.values]
vals[2] = [str(v) for v in vals[2]]
for i in range(4, len(vals)):
vals[i] = [_str(v) for v in vals[i]]
params = self.params
tstats = self.tstats
params_fmt = []
params_stub = []
for i in range(len(params)):
params_fmt.append([_str(v) for v in params.values[i]])
tstats_fmt = []
for v in tstats.values[i]:
v_str = _str(v)
v_str = '({0})'.format(v_str) if v_str.strip() else v_str
tstats_fmt.append(v_str)
params_fmt.append(tstats_fmt)
params_stub.append(params.index[i])
params_stub.append(' ')
vals = table_concat((vals, params_fmt))
stubs = stub_concat((stubs, params_stub))
all_instr = []
for key in self._results:
res = self._results[key]
all_instr.append(res.model.instruments.cols)
ninstr = max(map(lambda l: len(l), all_instr))
instruments = []
instrument_stub = ['Instruments']
for i in range(ninstr):
if i > 0:
instrument_stub.append('')
row = []
for j in range(len(self._results)):
instr = all_instr[j]
if len(instr) > i:
row.append(instr[i])
else:
row.append('')
instruments.append(row)
if instruments:
vals = table_concat((vals, instruments))
stubs = stub_concat((stubs, instrument_stub))
txt_fmt = default_txt_fmt.copy()
txt_fmt['data_aligns'] = 'r'
txt_fmt['header_align'] = 'r'
table = SimpleTable(vals,
headers=models,
title=title,
stubs=stubs,
txt_fmt=txt_fmt)
smry.tables.append(table)
smry.add_extra_txt(['T-stats reported in parentheses'])
return smry
def summary(self) -> Summary:
"""
Model estimation summary.
Returns
-------
Summary
Summary table of model estimation results
Supports export to csv, html and latex using the methods ``summary.as_csv()``,
``summary.as_html()`` and ``summary.as_latex()``.
"""
title = self.name + " Estimation Summary"
top_left = [
("No. Test Portfolios:", len(self._portfolio_names)),
("No. Factors:", len(self._factor_names)),
("No. Observations:", self.nobs),
("Date:", self._datetime.strftime("%a, %b %d %Y")),
("Time:", self._datetime.strftime("%H:%M:%S")),
("Cov. Estimator:", self._cov_type),
("", ""),
]
j_stat = _str(self.j_statistic.stat)
j_pval = pval_format(self.j_statistic.pval)
j_dist = self.j_statistic.dist_name
top_right = [
("R-squared:", _str(self.rsquared)),
("J-statistic:", j_stat),
("P-value", j_pval),
("Distribution:", j_dist),
("", ""),
("", ""),
("", ""),
]
stubs = []
vals = []
for stub, val in top_left:
stubs.append(stub)
vals.append([val])
table = SimpleTable(vals, txt_fmt=fmt_2cols, title=title, stubs=stubs)
# create summary table instance
smry = Summary()
# Top Table
# Parameter table
fmt = fmt_2cols
fmt["data_fmts"][1] = "%18s"
top_right = [("%-21s" % (" " + k), v) for k, v in top_right]
stubs = []
vals = []
for stub, val in top_right:
stubs.append(stub)
vals.append([val])
table.extend_right(SimpleTable(vals, stubs=stubs))
smry.tables.append(table)
rp = np.asarray(self.risk_premia)[:, None]
se = np.asarray(self.risk_premia_se)[:, None]
tstats = np.asarray(self.risk_premia / self.risk_premia_se)
pvalues = 2 - 2 * stats.norm.cdf(np.abs(tstats))
ci = rp + se * stats.norm.ppf([[0.025, 0.975]])
param_data = np.c_[rp, se, tstats[:, None], pvalues[:, None], ci]
data = []
for row in param_data:
txt_row = []
for i, v in enumerate(row):
f = _str
if i == 3:
f = pval_format
txt_row.append(f(v))
data.append(txt_row)
title = "Risk Premia Estimates"
table_stubs = list(self.risk_premia.index)
header = ["Parameter", "Std. Err.", "T-stat", "P-value", "Lower CI", "Upper CI"]
table = SimpleTable(
data, stubs=table_stubs, txt_fmt=fmt_params, headers=header, title=title
)
smry.tables.append(table)
smry.add_extra_txt(
[
"Covariance estimator:",
str(self._cov_est),
"See full_summary for complete results",
]
)
return smry
def summary(self):
""":obj:`statsmodels.iolib.summary.Summary` : Summary table of model estimation results
Supports export to csv, html and latex using the methods ``summary.as_csv()``,
``summary.as_html()`` and ``summary.as_latex()``.
"""
smry = Summary()
models = list(self._results.keys())
title = 'Model Comparison'
stubs = ['Dep. Variable', 'Estimator', 'No. Observations', 'Cov. Est.', 'R-squared',
'Adj. R-squared', 'F-statistic', 'P-value (F-stat)']
dep_name = OrderedDict()
for key in self._results:
dep_name[key] = self._results[key].model.dependent.cols[0]
dep_name = Series(dep_name)
vals = concat([dep_name, self.estimator_method, self.nobs, self.cov_estimator,
self.rsquared, self.rsquared_adj, self.f_statistic], 1)
vals = [[i for i in v] for v in vals.T.values]
vals[2] = [str(v) for v in vals[2]]
for i in range(4, len(vals)):
vals[i] = [_str(v) for v in vals[i]]
params = self.params
precision = getattr(self, self._precision)
params_fmt = []
params_stub = []
for i in range(len(params)):
params_fmt.append([_str(v) for v in params.values[i]])
precision_fmt = []
for v in precision.values[i]:
v_str = _str(v)
v_str = '({0})'.format(v_str) if v_str.strip() else v_str
precision_fmt.append(v_str)
params_fmt.append(precision_fmt)
params_stub.append(params.index[i])
params_stub.append(' ')
vals = table_concat((vals, params_fmt))
stubs = stub_concat((stubs, params_stub))
all_instr = []
for key in self._results:
res = self._results[key]
all_instr.append(res.model.instruments.cols)
ninstr = max(map(len, all_instr))
instruments = []
instrument_stub = ['Instruments']
for i in range(ninstr):
if i > 0:
instrument_stub.append('')
row = []
for j in range(len(self._results)):
instr = all_instr[j]
if len(instr) > i:
row.append(instr[i])
else:
row.append('')
instruments.append(row)
if instruments:
vals = table_concat((vals, instruments))
stubs = stub_concat((stubs, instrument_stub))
txt_fmt = default_txt_fmt.copy()
txt_fmt['data_aligns'] = 'r'
txt_fmt['header_align'] = 'r'
table = SimpleTable(vals, headers=models, title=title, stubs=stubs, txt_fmt=txt_fmt)
smry.tables.append(table)
prec_type = self._PRECISION_TYPES[self._precision]
smry.add_extra_txt(['{0} reported in parentheses'.format(prec_type)])
return smry