def test_panel_both_lsdv(data):
mod = PanelOLS(data.y, data.x, entity_effects=True, time_effects=True)
res = mod.fit(auto_df=False, count_effects=False, debiased=False)
y = mod.dependent.dataframe
x = mod.exog.dataframe
d1 = mod.dependent.dummies('entity', drop_first=mod.has_constant)
d2 = mod.dependent.dummies('time', drop_first=True)
d = np.c_[d1.values, d2.values]
if mod.has_constant:
z = np.ones_like(y)
d = d - z @ lstsq(z, d)[0]
xd = np.c_[x.values, d]
xd = pd.DataFrame(xd,
index=x.index,
columns=list(x.columns) + list(d1.columns) +
list(d2.columns))
ols_mod = IV2SLS(y, xd, None, None)
res2 = ols_mod.fit(cov_type='unadjusted')
assert_results_equal(res, res2, test_fit=False)
assert_allclose(res.rsquared_inclusive, res2.rsquared)
res = mod.fit(cov_type='robust',
auto_df=False,
count_effects=False,
debiased=False)
res2 = ols_mod.fit(cov_type='robust')
assert_results_equal(res, res2, test_fit=False)
clusters = data.vc1
ols_clusters = mod.reformat_clusters(clusters)
res = mod.fit(cov_type='clustered',
clusters=clusters,
auto_df=False,
count_effects=False,
debiased=False)
res2 = ols_mod.fit(cov_type='clustered', clusters=ols_clusters.dataframe)
assert_results_equal(res, res2, test_fit=False)
clusters = data.vc2
ols_clusters = mod.reformat_clusters(clusters)
res = mod.fit(cov_type='clustered',
clusters=clusters,
auto_df=False,
count_effects=False,
debiased=False)
res2 = ols_mod.fit(cov_type='clustered', clusters=ols_clusters.dataframe)
assert_results_equal(res, res2, test_fit=False)
res = mod.fit(cov_type='clustered',
cluster_time=True,
auto_df=False,
count_effects=False,
debiased=False)
clusters = pd.DataFrame(mod.dependent.time_ids,
index=mod.dependent.index,
columns=['var.clust'])
res2 = ols_mod.fit(cov_type='clustered', clusters=clusters)
assert_results_equal(res, res2, test_fit=False)
res = mod.fit(cov_type='clustered',
cluster_entity=True,
auto_df=False,
count_effects=False,
debiased=False)
clusters = pd.DataFrame(mod.dependent.entity_ids,
index=mod.dependent.index,
columns=['var.clust'])
res2 = ols_mod.fit(cov_type='clustered', clusters=clusters)
assert_results_equal(res, res2, test_fit=False)
def test_const_data_only_weights(const_data):
y, x = const_data.y, const_data.x
mod = PanelOLS(y, x, weights=const_data.w)
res = mod.fit(debiased=False)
res2 = IV2SLS(y, x, None, None, weights=const_data.w).fit()
assert_allclose(res.params, res2.params)