def test_fama_macbeth(data):
res = FamaMacBeth(data.y, data.x).fit(debiased=True)
y = PanelData(data.y)
x = PanelData(data.x)
missing = y.isnull | x.isnull
y.drop(missing)
x.drop(missing)
y = y.dataframe
x = x.dataframe
times = y.index.levels[1]
params = []
for t in times:
_y = y.xs(t, level=1)
_x = x.xs(t, level=1)
if _x.shape[0] < _x.shape[1]:
continue
_x = _x.loc[_y.index]
params.append(np.linalg.lstsq(_x.values, _y.values)[0])
params = np.array(params).squeeze()
all_params = params
params = params.mean(0)
assert_allclose(params.squeeze(), res.params)
e_params = all_params - params[None, :]
ntime = e_params.shape[0]
cov = e_params.T @ e_params / ntime / (ntime - 1)
assert_allclose(cov, res.cov.values)
d = dir(res)
for key in d:
if not key.startswith('_'):
val = getattr(res, key)
if callable(val):
val()
def test_fama_macbeth(data):
res = FamaMacBeth(data.y, data.x).fit(debiased=True)
y = PanelData(data.y)
x = PanelData(data.x)
missing = y.isnull | x.isnull
y.drop(missing)
x.drop(missing)
y = y.dataframe
x = x.dataframe
times = y.index.levels[1]
params = []
for t in times:
_y = y.xs(t, level=1)
_x = x.xs(t, level=1)
if _x.shape[0] < _x.shape[1]:
continue
_x = _x.loc[_y.index]
params.append(lstsq(_x.values, _y.values, rcond=None)[0])
params = np.array(params).squeeze()
all_params = params
params = params.mean(0)
assert_allclose(params.squeeze(), res.params)
assert_allclose(all_params, res.all_params.dropna(how="all"))
e_params = all_params - params[None, :]
ntime = e_params.shape[0]
cov = e_params.T @ e_params / ntime / (ntime - 1)
assert_allclose(cov, np.asarray(res.cov))
access_attributes(res)
