def _coef_table(self):
buf = StringIO()
buf.write('%14s %10s %10s %10s %10s %10s %10s\n' %
('Variable', 'Coef', 'Std Err', 't-stat',
'p-value', 'CI 2.5%', 'CI 97.5%'))
buf.write(scom.banner(''))
coef_template = '\n%14s %10.4f %10.4f %10.2f %10.4f %10.4f %10.4f'
results = self._results
beta = results['beta']
for i, name in enumerate(beta.index):
if i and not (i % 5):
buf.write('\n' + scom.banner(''))
std_err = results['std_err'][name]
CI1 = beta[name] - 1.96 * std_err
CI2 = beta[name] + 1.96 * std_err
t_stat = results['t_stat'][name]
p_value = results['p_value'][name]
line = coef_template % (name,
beta[name], std_err, t_stat, p_value, CI1, CI2)
buf.write(line)
if self.nw_lags is not None:
buf.write('\n')
buf.write('*** The calculations are Newey-West '
'adjusted with lags %5d\n' % self.nw_lags)
return buf.getvalue()
def _coef_table(self):
buf = StringIO()
buf.write('%14s %10s %10s %10s %10s %10s %10s\n' %
('Variable', 'Coef', 'Std Err', 't-stat', 'p-value',
'CI 2.5%', 'CI 97.5%'))
buf.write(scom.banner(''))
coef_template = '\n%14s %10.4f %10.4f %10.2f %10.4f %10.4f %10.4f'
results = self._results
beta = results['beta']
for i, name in enumerate(beta.index):
if i and not (i % 5):
buf.write('\n' + scom.banner(''))
std_err = results['std_err'][name]
CI1 = beta[name] - 1.96 * std_err
CI2 = beta[name] + 1.96 * std_err
t_stat = results['t_stat'][name]
p_value = results['p_value'][name]
line = coef_template % (name, beta[name], std_err, t_stat, p_value,
CI1, CI2)
buf.write(line)
if self.nw_lags is not None:
buf.write('\n')
buf.write('*** The calculations are Newey-West '
'adjusted with lags %5d\n' % self.nw_lags)
return buf.getvalue()
def _coef_table(self):
buf = StringIO()
buf.write(
"%14s %10s %10s %10s %10s %10s %10s\n"
% ("Variable", "Coef", "Std Err", "t-stat", "p-value", "CI 2.5%", "CI 97.5%")
)
buf.write(scom.banner(""))
coef_template = "\n%14s %10.4f %10.4f %10.2f %10.4f %10.4f %10.4f"
results = self._results
beta = results["beta"]
for i, name in enumerate(beta.index):
if i and not (i % 5):
buf.write("\n" + scom.banner(""))
std_err = results["std_err"][name]
CI1 = beta[name] - 1.96 * std_err
CI2 = beta[name] + 1.96 * std_err
t_stat = results["t_stat"][name]
p_value = results["p_value"][name]
line = coef_template % (name, beta[name], std_err, t_stat, p_value, CI1, CI2)
buf.write(line)
if self.nw_lags is not None:
buf.write("\n")
buf.write("*** The calculations are Newey-West " "adjusted with lags %5d\n" % self.nw_lags)
return buf.getvalue()
def _coef_table(self):
buffer = StringIO()
buffer.write('%13s %13s %13s %13s %13s %13s\n' %
('Variable', 'Beta', 'Std Err', 't-stat', 'CI 2.5%', 'CI 97.5%'))
template = '%13s %13.4f %13.4f %13.2f %13.4f %13.4f\n'
for i, name in enumerate(self._cols):
if i and not (i % 5):
buffer.write('\n' + common.banner(''))
mean_beta = self._results['mean_beta'][i]
std_beta = self._results['std_beta'][i]
t_stat = self._results['t_stat'][i]
ci1 = mean_beta - 1.96 * std_beta
ci2 = mean_beta + 1.96 * std_beta
values = '(%s)' % name, mean_beta, std_beta, t_stat, ci1, ci2
buffer.write(template % values)
if self._nw_lags_beta is not None:
buffer.write('\n')
buffer.write('*** The Std Err, t-stat are Newey-West '
'adjusted with Lags %5d\n' % self._nw_lags_beta)
return buffer.getvalue()
def _coef_table(self):
buffer = StringIO()
buffer.write('%13s %13s %13s %13s %13s %13s\n' %
('Variable', 'Beta', 'Std Err', 't-stat', 'CI 2.5%', 'CI 97.5%'))
template = '%13s %13.4f %13.4f %13.2f %13.4f %13.4f\n'
for i, name in enumerate(self._cols):
if i and not (i % 5):
buffer.write('\n' + common.banner(''))
mean_beta = self._results['mean_beta'][i]
std_beta = self._results['std_beta'][i]
t_stat = self._results['t_stat'][i]
ci1 = mean_beta - 1.96 * std_beta
ci2 = mean_beta + 1.96 * std_beta
values = '(%s)' % name, mean_beta, std_beta, t_stat, ci1, ci2
buffer.write(template % values)
if self._nw_lags_beta is not None:
buffer.write('\n')
buffer.write('*** The Std Err, t-stat are Newey-West '
'adjusted with Lags %5d\n' % self._nw_lags_beta)
return buffer.getvalue()
def _coef_table(self):
buffer = StringIO()
buffer.write(
"%13s %13s %13s %13s %13s %13s\n" % ("Variable", "Beta", "Std Err", "t-stat", "CI 2.5%", "CI 97.5%")
)
template = "%13s %13.4f %13.4f %13.2f %13.4f %13.4f\n"
for i, name in enumerate(self._cols):
if i and not (i % 5):
buffer.write("\n" + common.banner(""))
mean_beta = self._results["mean_beta"][i]
std_beta = self._results["std_beta"][i]
t_stat = self._results["t_stat"][i]
ci1 = mean_beta - 1.96 * std_beta
ci2 = mean_beta + 1.96 * std_beta
values = "(%s)" % name, mean_beta, std_beta, t_stat, ci1, ci2
buffer.write(template % values)
if self._nw_lags_beta is not None:
buffer.write("\n")
buffer.write("*** The Std Err, t-stat are Newey-West " "adjusted with Lags %5d\n" % self._nw_lags_beta)
return buffer.getvalue()
def summary(self):
template = """
%(banner_top)s
Number of Observations: %(nobs)d
AIC: %(aic).3f
BIC: %(bic).3f
%(banner_coef)s
%(coef_table)s
%(banner_end)s
"""
params = {
'banner_top': common.banner('Summary of VAR'),
'banner_coef': common.banner('Summary of Estimated Coefficients'),
'banner_end': common.banner('End of Summary'),
'coef_table': self.beta,
'aic': self.aic,
'bic': self.bic,
'nobs': self._nobs,
}
return template % params
def summary(self):
template = """
%(banner_top)s
Number of Observations: %(nobs)d
AIC: %(aic).3f
BIC: %(bic).3f
%(banner_coef)s
%(coef_table)s
%(banner_end)s
"""
params = {
"banner_top": common.banner("Summary of VAR"),
"banner_coef": common.banner("Summary of Estimated Coefficients"),
"banner_end": common.banner("End of Summary"),
"coef_table": self.beta,
"aic": self.aic,
"bic": self.bic,
"nobs": self._nobs,
}
return template % params
def summary(self):
"""
This returns the formatted result of the OLS computation
"""
template = """
%(bannerTop)s
Formula: Y ~ %(formula)s
Number of Observations: %(nobs)d
Number of Degrees of Freedom: %(df)d
R-squared: %(r2)10.4f
Adj R-squared: %(r2_adj)10.4f
Rmse: %(rmse)10.4f
F-stat %(f_stat_shape)s: %(f_stat)10.4f, p-value: %(f_stat_p_value)10.4f
Degrees of Freedom: model %(df_model)d, resid %(df_resid)d
%(bannerCoef)s
%(coef_table)s
%(bannerEnd)s
"""
coef_table = self._coef_table
results = self._results
f_stat = results['f_stat']
bracketed = ['<%s>' % str(c) for c in results['beta'].index]
formula = StringIO()
formula.write(bracketed[0])
tot = len(bracketed[0])
line = 1
for coef in bracketed[1:]:
tot = tot + len(coef) + 3
if tot // (68 * line):
formula.write('\n' + ' ' * 12)
line += 1
formula.write(' + ' + coef)
params = {
'bannerTop': scom.banner('Summary of Regression Analysis'),
'bannerCoef': scom.banner('Summary of Estimated Coefficients'),
'bannerEnd': scom.banner('End of Summary'),
'formula': formula.getvalue(),
'r2': results['r2'],
'r2_adj': results['r2_adj'],
'nobs': results['nobs'],
'df': results['df'],
'df_model': results['df_model'],
'df_resid': results['df_resid'],
'coef_table': coef_table,
'rmse': results['rmse'],
'f_stat': f_stat['f-stat'],
'f_stat_shape': '(%d, %d)' % (f_stat['DF X'], f_stat['DF Resid']),
'f_stat_p_value': f_stat['p-value'],
}
return template % params
def summary(self):
"""
This returns the formatted result of the OLS computation
"""
template = """
%(bannerTop)s
Formula: Y ~ %(formula)s
Number of Observations: %(nobs)d
Number of Degrees of Freedom: %(df)d
R-squared: %(r2)10.4f
Adj R-squared: %(r2_adj)10.4f
Rmse: %(rmse)10.4f
F-stat %(f_stat_shape)s: %(f_stat)10.4f, p-value: %(f_stat_p_value)10.4f
Degrees of Freedom: model %(df_model)d, resid %(df_resid)d
%(bannerCoef)s
%(coef_table)s
%(bannerEnd)s
"""
coef_table = self._coef_table
results = self._results
f_stat = results['f_stat']
bracketed = ['<%s>' % str(c) for c in results['beta'].index]
formula = StringIO()
formula.write(bracketed[0])
tot = len(bracketed[0])
line = 1
for coef in bracketed[1:]:
tot = tot + len(coef) + 3
if tot // (68 * line):
formula.write('\n' + ' ' * 12)
line += 1
formula.write(' + ' + coef)
params = {
'bannerTop': scom.banner('Summary of Regression Analysis'),
'bannerCoef': scom.banner('Summary of Estimated Coefficients'),
'bannerEnd': scom.banner('End of Summary'),
'formula': formula.getvalue(),
'r2': results['r2'],
'r2_adj': results['r2_adj'],
'nobs': results['nobs'],
'df': results['df'],
'df_model': results['df_model'],
'df_resid': results['df_resid'],
'coef_table': coef_table,
'rmse': results['rmse'],
'f_stat': f_stat['f-stat'],
'f_stat_shape': '(%d, %d)' % (f_stat['DF X'], f_stat['DF Resid']),
'f_stat_p_value': f_stat['p-value'],
}
return template % params
def summary(self):
"""
This returns the formatted result of the OLS computation
"""
template = """
%(bannerTop)s
Formula: Y ~ %(formula)s
Number of Observations: %(nobs)d
Number of Degrees of Freedom: %(df)d
R-squared: %(r2)10.4f
Adj R-squared: %(r2_adj)10.4f
Rmse: %(rmse)10.4f
F-stat %(f_stat_shape)s: %(f_stat)10.4f, p-value: %(f_stat_p_value)10.4f
Degrees of Freedom: model %(df_model)d, resid %(df_resid)d
%(bannerCoef)s
%(coef_table)s
%(bannerEnd)s
"""
coef_table = self._coef_table
results = self._results
f_stat = results["f_stat"]
bracketed = ["<%s>" % str(c) for c in results["beta"].index]
formula = StringIO()
formula.write(bracketed[0])
tot = len(bracketed[0])
line = 1
for coef in bracketed[1:]:
tot = tot + len(coef) + 3
if tot // (68 * line):
formula.write("\n" + " " * 12)
line += 1
formula.write(" + " + coef)
params = {
"bannerTop": scom.banner("Summary of Regression Analysis"),
"bannerCoef": scom.banner("Summary of Estimated Coefficients"),
"bannerEnd": scom.banner("End of Summary"),
"formula": formula.getvalue(),
"r2": results["r2"],
"r2_adj": results["r2_adj"],
"nobs": results["nobs"],
"df": results["df"],
"df_model": results["df_model"],
"df_resid": results["df_resid"],
"coef_table": coef_table,
"rmse": results["rmse"],
"f_stat": f_stat["f-stat"],
"f_stat_shape": "(%d, %d)" % (f_stat["DF X"], f_stat["DF Resid"]),
"f_stat_p_value": f_stat["p-value"],
}
return template % params