def _get_spat_diag_props(self,y, x, w, yend, q, w_lags, lag_q):
self._cache = {}
yend, q = set_endog(y, x, w, yend, q, w_lags, lag_q)
x = USER.check_constant(x)
x = REGI.regimeX_setup(x, self.regimes, [True] * x.shape[1], self.regimes_set)
self.z = sphstack(x,REGI.regimeX_setup(yend, self.regimes, [True] * (yend.shape[1]-1)+[False], self.regimes_set))
self.h = sphstack(x,REGI.regimeX_setup(q, self.regimes, [True] * q.shape[1], self.regimes_set))
hthi = np.linalg.inv(spdot(self.h.T,self.h))
zth = spdot(self.z.T,self.h)
self.varb = np.linalg.inv(spdot(spdot(zth,hthi),zth.T))
def _get_spat_diag_props(self, results, regi_ids, x, yend, q):
self._cache = {}
x = USER.check_constant(x)
x = REGI.regimeX_setup(
x, self.regimes, [True] * x.shape[1], self.regimes_set)
self.z = sphstack(x, REGI.regimeX_setup(
yend, self.regimes, [True] * yend.shape[1], self.regimes_set))
self.h = sphstack(
x, REGI.regimeX_setup(q, self.regimes, [True] * q.shape[1], self.regimes_set))
hthi = np.linalg.inv(spdot(self.h.T, self.h))
zth = spdot(self.z.T, self.h)
self.varb = np.linalg.inv(spdot(spdot(zth, hthi), zth.T))
def _get_spat_diag_props(self, y, x, w, yend, q, w_lags, lag_q):
self._cache = {}
yend, q = set_endog(y, x, w, yend, q, w_lags, lag_q)
x = USER.check_constant(x)
x = REGI.regimeX_setup(
x, self.regimes, [True] * x.shape[1], self.regimes_set)
self.z = sphstack(x, REGI.regimeX_setup(
yend, self.regimes, [True] * (yend.shape[1] - 1) + [False], self.regimes_set))
self.h = sphstack(
x, REGI.regimeX_setup(q, self.regimes, [True] * q.shape[1], self.regimes_set))
hthi = np.linalg.inv(spdot(self.h.T, self.h))
zth = spdot(self.z.T, self.h)
self.varb = np.linalg.inv(spdot(spdot(zth, hthi), zth.T))
def _get_spat_diag_props(self, x, sig2n_k):
self.k = self.kr
self._cache = {}
x = np.hstack((np.ones((x.shape[0], 1)), x))
self.x = REGI.regimeX_setup(x, self.regimes, [True] * x.shape[1], self.regimes_set)
self.xtx = spdot(self.x.T, self.x)
self.xtxi = np.linalg.inv(self.xtx)
def _get_spat_diag_props(self, results, regi_ids, x, yend, q):
self._cache = {}
x = USER.check_constant(x)
x = REGI.regimeX_setup(x, self.regimes, [True] * x.shape[1],
self.regimes_set)
self.z = sphstack(
x,
REGI.regimeX_setup(yend, self.regimes, [True] * yend.shape[1],
self.regimes_set))
self.h = sphstack(
x,
REGI.regimeX_setup(q, self.regimes, [True] * q.shape[1],
self.regimes_set))
hthi = np.linalg.inv(spdot(self.h.T, self.h))
zth = spdot(self.z.T, self.h)
self.varb = np.linalg.inv(spdot(spdot(zth, hthi), zth.T))
def _get_spat_diag_props(self, x, sig2n_k):
self.k = self.kr
self._cache = {}
x = np.hstack((np.ones((x.shape[0], 1)), x))
self.x = REGI.regimeX_setup(
x, self.regimes, [True] * x.shape[1], self.regimes_set)
self.xtx = spdot(self.x.T, self.x)
self.xtxi = np.linalg.inv(self.xtx)
