Пример #1
0
def _work(y, x, w, regi_ids, r, yend, q, robust, sig2n_k, name_ds, name_y, name_x, name_yend, name_q, name_w, name_regimes):
    y_r = y[regi_ids[r]]
    x_r = x[regi_ids[r]]
    yend_r = yend[regi_ids[r]]
    q_r = q[regi_ids[r]]
    x_constant = USER.check_constant(x_r)
    if robust == 'hac' or robust == 'ogmm':
        robust2 = None
    else:
        robust2 = robust
    model = BaseTSLS(y_r, x_constant, yend_r, q_r,
                     robust=robust2, sig2n_k=sig2n_k)
    model.title = "TWO STAGE LEAST SQUARES ESTIMATION - REGIME %s" % r
    if robust == 'ogmm':
        _optimal_weight(model, sig2n_k, warn=False)
    model.robust = USER.set_robust(robust)
    model.name_ds = name_ds
    model.name_y = '%s_%s' % (str(r), name_y)
    model.name_x = ['%s_%s' % (str(r), i) for i in name_x]
    model.name_yend = ['%s_%s' % (str(r), i) for i in name_yend]
    model.name_z = model.name_x + model.name_yend
    model.name_q = ['%s_%s' % (str(r), i) for i in name_q]
    model.name_h = model.name_x + model.name_q
    model.name_w = name_w
    model.name_regimes = name_regimes
    if w:
        w_r, warn = REGI.w_regime(w, regi_ids[r], r, transform=True)
        set_warn(model, warn)
        model.w = w_r
    return model
Пример #2
0
    def __init__(self, y, x, yend=None, q=None,\
                 w=None, w_lags=1, lag_q=True,\
                 robust=None, gwk=None, sig2n_k=False,\
                 spat_diag=False,\
                 vm=False, name_y=None, name_x=None,\
                 name_yend=None, name_q=None,\
                 name_w=None, name_gwk=None, name_ds=None):

        n = USER.check_arrays(x, yend, q)
        USER.check_y(y, n)
        USER.check_weights(w, y, w_required=True)
        USER.check_robust(robust, gwk)
        yend2, q2 = set_endog(y, x, w, yend, q, w_lags, lag_q)
        x_constant = USER.check_constant(x)
        BaseGM_Lag.__init__(self, y=y, x=x_constant, w=w.sparse, yend=yend2, q=q2,\
                            w_lags=w_lags, robust=robust, gwk=gwk,\
                            lag_q=lag_q, sig2n_k=sig2n_k)
        self.predy_e, self.e_pred, warn = sp_att(w,self.y,self.predy,\
                      yend2[:,-1].reshape(self.n,1),self.betas[-1])
        set_warn(self,warn)
        self.title = "SPATIAL TWO STAGE LEAST SQUARES"        
        self.name_ds = USER.set_name_ds(name_ds)
        self.name_y = USER.set_name_y(name_y)
        self.name_x = USER.set_name_x(name_x, x)
        self.name_yend = USER.set_name_yend(name_yend, yend)
        self.name_yend.append(USER.set_name_yend_sp(self.name_y))
        self.name_z = self.name_x + self.name_yend
        self.name_q = USER.set_name_q(name_q, q)
        self.name_q.extend(USER.set_name_q_sp(self.name_x, w_lags, self.name_q, lag_q))
        self.name_h = USER.set_name_h(self.name_x, self.name_q)
        self.robust = USER.set_robust(robust)
        self.name_w = USER.set_name_w(name_w, w)
        self.name_gwk = USER.set_name_w(name_gwk, gwk)
        SUMMARY.GM_Lag(reg=self, w=w, vm=vm, spat_diag=spat_diag)
Пример #3
0
def _work(y, x, w, regi_ids, r, yend, q, robust, sig2n_k, name_ds, name_y,
          name_x, name_yend, name_q, name_w, name_regimes):
    y_r = y[regi_ids[r]]
    x_r = x[regi_ids[r]]
    yend_r = yend[regi_ids[r]]
    q_r = q[regi_ids[r]]
    x_constant = USER.check_constant(x_r)
    if robust == 'hac' or robust == 'ogmm':
        robust2 = None
    else:
        robust2 = robust
    model = BaseTSLS(y_r,
                     x_constant,
                     yend_r,
                     q_r,
                     robust=robust2,
                     sig2n_k=sig2n_k)
    model.title = "TWO STAGE LEAST SQUARES ESTIMATION - REGIME %s" % r
    if robust == 'ogmm':
        _optimal_weight(model, sig2n_k, warn=False)
    model.robust = USER.set_robust(robust)
    model.name_ds = name_ds
    model.name_y = '%s_%s' % (str(r), name_y)
    model.name_x = ['%s_%s' % (str(r), i) for i in name_x]
    model.name_yend = ['%s_%s' % (str(r), i) for i in name_yend]
    model.name_z = model.name_x + model.name_yend
    model.name_q = ['%s_%s' % (str(r), i) for i in name_q]
    model.name_h = model.name_x + model.name_q
    model.name_w = name_w
    model.name_regimes = name_regimes
    if w:
        w_r, warn = REGI.w_regime(w, regi_ids[r], r, transform=True)
        set_warn(model, warn)
        model.w = w_r
    return model
Пример #4
0
    def __init__(self, y, x, yend, q,
                 w=None,
                 robust=None, gwk=None, sig2n_k=False,
                 spat_diag=False,
                 vm=False, name_y=None, name_x=None,
                 name_yend=None, name_q=None,
                 name_w=None, name_gwk=None, name_ds=None):

        n = USER.check_arrays(y, x, yend, q)
        USER.check_y(y, n)
        USER.check_weights(w, y)
        USER.check_robust(robust, gwk)
        USER.check_spat_diag(spat_diag, w)
        x_constant = USER.check_constant(x)
        BaseTSLS.__init__(self, y=y, x=x_constant, yend=yend, q=q,
                          robust=robust, gwk=gwk, sig2n_k=sig2n_k)
        self.title = "TWO STAGE LEAST SQUARES"
        self.name_ds = USER.set_name_ds(name_ds)
        self.name_y = USER.set_name_y(name_y)
        self.name_x = USER.set_name_x(name_x, x)
        self.name_yend = USER.set_name_yend(name_yend, yend)
        self.name_z = self.name_x + self.name_yend
        self.name_q = USER.set_name_q(name_q, q)
        self.name_h = USER.set_name_h(self.name_x, self.name_q)
        self.robust = USER.set_robust(robust)
        self.name_w = USER.set_name_w(name_w, w)
        self.name_gwk = USER.set_name_w(name_gwk, gwk)
        SUMMARY.TSLS(reg=self, vm=vm, w=w, spat_diag=spat_diag)
Пример #5
0
    def __init__(self, y, x, yend=None, q=None,\
                 w=None, w_lags=1, lag_q=True,\
                 robust=None, gwk=None, sig2n_k=False,\
                 spat_diag=False,\
                 vm=False, name_y=None, name_x=None,\
                 name_yend=None, name_q=None,\
                 name_w=None, name_gwk=None, name_ds=None):

        n = USER.check_arrays(x, yend, q)
        USER.check_y(y, n)
        USER.check_weights(w, y, w_required=True)
        USER.check_robust(robust, gwk)
        yend2, q2 = set_endog(y, x, w, yend, q, w_lags, lag_q)
        x_constant = USER.check_constant(x)
        BaseGM_Lag.__init__(self, y=y, x=x_constant, w=w.sparse, yend=yend2, q=q2,\
                            w_lags=w_lags, robust=robust, gwk=gwk,\
                            lag_q=lag_q, sig2n_k=sig2n_k)
        self.predy_e, self.e_pred, warn = sp_att(w,self.y,self.predy,\
                      yend2[:,-1].reshape(self.n,1),self.betas[-1])
        set_warn(self, warn)
        self.title = "SPATIAL TWO STAGE LEAST SQUARES"
        self.name_ds = USER.set_name_ds(name_ds)
        self.name_y = USER.set_name_y(name_y)
        self.name_x = USER.set_name_x(name_x, x)
        self.name_yend = USER.set_name_yend(name_yend, yend)
        self.name_yend.append(USER.set_name_yend_sp(self.name_y))
        self.name_z = self.name_x + self.name_yend
        self.name_q = USER.set_name_q(name_q, q)
        self.name_q.extend(
            USER.set_name_q_sp(self.name_x, w_lags, self.name_q, lag_q))
        self.name_h = USER.set_name_h(self.name_x, self.name_q)
        self.robust = USER.set_robust(robust)
        self.name_w = USER.set_name_w(name_w, w)
        self.name_gwk = USER.set_name_w(name_gwk, gwk)
        SUMMARY.GM_Lag(reg=self, w=w, vm=vm, spat_diag=spat_diag)
Пример #6
0
def _work(y,x,regi_ids,r,yend,q,w_r,w_lags,lag_q,robust,sig2n_k,name_ds,name_y,name_x,name_yend,name_q,name_w,name_regimes):
    y_r = y[regi_ids[r]]
    x_r = x[regi_ids[r]]
    if yend != None:
        yend_r = yend[regi_ids[r]]
    else:
        yend_r = yend
    if q != None:
        q_r = q[regi_ids[r]]
    else:
        q_r = q
    yend_r, q_r = set_endog_sparse(y_r, x_r, w_r, yend_r, q_r, w_lags, lag_q)
    x_constant = USER.check_constant(x_r)
    if robust == 'hac':
        robust = None
    model = BaseTSLS(y_r, x_constant, yend_r, q_r, robust=robust, sig2n_k=sig2n_k)
    model.title = "SPATIAL TWO STAGE LEAST SQUARES ESTIMATION - REGIME %s" %r
    model.robust = USER.set_robust(robust)
    model.name_ds = name_ds
    model.name_y = '%s_%s'%(str(r), name_y)
    model.name_x = ['%s_%s'%(str(r), i) for i in name_x]
    model.name_yend = ['%s_%s'%(str(r), i) for i in name_yend]
    model.name_z = model.name_x + model.name_yend
    model.name_q = ['%s_%s'%(str(r), i) for i in name_q]
    model.name_h = model.name_x + model.name_q
    model.name_w = name_w
    model.name_regimes = name_regimes
    return model
Пример #7
0
    def __init__(self, y, x, regimes,
                 w=None, robust=None, gwk=None, sig2n_k=True,
                 nonspat_diag=True, spat_diag=False, moran=False, white_test=False,
                 vm=False, constant_regi='many', cols2regi='all',
                 regime_err_sep=True, cores=None,
                 name_y=None, name_x=None, name_regimes=None,
                 name_w=None, name_gwk=None, name_ds=None):

        n = USER.check_arrays(y, x)
        USER.check_y(y, n)
        USER.check_weights(w, y)
        USER.check_robust(robust, gwk)
        USER.check_spat_diag(spat_diag, w)
        self.name_x_r = USER.set_name_x(name_x, x)
        self.constant_regi = constant_regi
        self.cols2regi = cols2regi
        self.name_w = USER.set_name_w(name_w, w)
        self.name_gwk = USER.set_name_w(name_gwk, gwk)
        self.name_ds = USER.set_name_ds(name_ds)
        self.name_y = USER.set_name_y(name_y)
        self.name_regimes = USER.set_name_ds(name_regimes)
        self.n = n
        cols2regi = REGI.check_cols2regi(
            constant_regi, cols2regi, x, add_cons=False)
        self.regimes_set = REGI._get_regimes_set(regimes)
        self.regimes = regimes
        USER.check_regimes(self.regimes_set, self.n, x.shape[1])
        if regime_err_sep == True and robust == 'hac':
            set_warn(
                self, "Error by regimes is incompatible with HAC estimation. Hence, error by regimes has been disabled for this model.")
            regime_err_sep = False
        self.regime_err_sep = regime_err_sep
        if regime_err_sep == True and set(cols2regi) == set([True]) and constant_regi == 'many':
            self.y = y
            name_x = USER.set_name_x(name_x, x)
            regi_ids = dict((r, list(np.where(np.array(regimes) == r)[0]))
                            for r in self.regimes_set)
            self._ols_regimes_multi(x, w, regi_ids, cores,
                                    gwk, sig2n_k, robust, nonspat_diag, spat_diag, vm, name_x, moran, white_test)
        else:
            name_x = USER.set_name_x(name_x, x, constant=True)
            x, self.name_x = REGI.Regimes_Frame.__init__(self, x,
                                                         regimes, constant_regi, cols2regi, name_x)
            BaseOLS.__init__(self, y=y, x=x, robust=robust,
                             gwk=gwk, sig2n_k=sig2n_k)
            if regime_err_sep == True and robust == None:
                y2, x2 = REGI._get_weighted_var(
                    regimes, self.regimes_set, sig2n_k, self.u, y, x)
                ols2 = BaseOLS(y=y2, x=x2, sig2n_k=sig2n_k)
                RegressionProps_basic(self, betas=ols2.betas, vm=ols2.vm)
                self.title = "ORDINARY LEAST SQUARES - REGIMES (Group-wise heteroskedasticity)"
                nonspat_diag = None
                set_warn(
                    self, "Residuals treated as homoskedastic for the purpose of diagnostics.")
            else:
                self.title = "ORDINARY LEAST SQUARES - REGIMES"
            self.robust = USER.set_robust(robust)
            self.chow = REGI.Chow(self)
            SUMMARY.OLS(reg=self, vm=vm, w=w, nonspat_diag=nonspat_diag,
                        spat_diag=spat_diag, moran=moran, white_test=white_test, regimes=True)
Пример #8
0
    def __init__(self, y, x, regimes,
                 w=None, robust=None, gwk=None, sig2n_k=True,
                 nonspat_diag=True, spat_diag=False, moran=False, white_test=False,
                 vm=False, constant_regi='many', cols2regi='all',
                 regime_err_sep=True, cores=False,
                 name_y=None, name_x=None, name_regimes=None,
                 name_w=None, name_gwk=None, name_ds=None):

        n = USER.check_arrays(y, x)
        USER.check_y(y, n)
        USER.check_weights(w, y)
        USER.check_robust(robust, gwk)
        USER.check_spat_diag(spat_diag, w)
        self.name_x_r = USER.set_name_x(name_x, x)
        self.constant_regi = constant_regi
        self.cols2regi = cols2regi
        self.name_w = USER.set_name_w(name_w, w)
        self.name_gwk = USER.set_name_w(name_gwk, gwk)
        self.name_ds = USER.set_name_ds(name_ds)
        self.name_y = USER.set_name_y(name_y)
        self.name_regimes = USER.set_name_ds(name_regimes)
        self.n = n
        cols2regi = REGI.check_cols2regi(
            constant_regi, cols2regi, x, add_cons=False)
        self.regimes_set = REGI._get_regimes_set(regimes)
        self.regimes = regimes
        USER.check_regimes(self.regimes_set, self.n, x.shape[1])
        if regime_err_sep == True and robust == 'hac':
            set_warn(
                self, "Error by regimes is incompatible with HAC estimation. Hence, error by regimes has been disabled for this model.")
            regime_err_sep = False
        self.regime_err_sep = regime_err_sep
        if regime_err_sep == True and set(cols2regi) == set([True]) and constant_regi == 'many':
            self.y = y
            name_x = USER.set_name_x(name_x, x)
            regi_ids = dict(
                (r, list(np.where(np.array(regimes) == r)[0])) for r in self.regimes_set)
            self._ols_regimes_multi(x, w, regi_ids, cores,
                                    gwk, sig2n_k, robust, nonspat_diag, spat_diag, vm, name_x, moran, white_test)
        else:
            name_x = USER.set_name_x(name_x, x, constant=True)
            x, self.name_x = REGI.Regimes_Frame.__init__(self, x,
                                                         regimes, constant_regi, cols2regi, name_x)
            BaseOLS.__init__(
                self, y=y, x=x, robust=robust, gwk=gwk, sig2n_k=sig2n_k)
            if regime_err_sep == True and robust == None:
                y2, x2 = REGI._get_weighted_var(
                    regimes, self.regimes_set, sig2n_k, self.u, y, x)
                ols2 = BaseOLS(y=y2, x=x2, sig2n_k=sig2n_k)
                RegressionProps_basic(self, betas=ols2.betas, vm=ols2.vm)
                self.title = "ORDINARY LEAST SQUARES - REGIMES (Group-wise heteroskedasticity)"
                nonspat_diag = None
                set_warn(
                    self, "Residuals treated as homoskedastic for the purpose of diagnostics.")
            else:
                self.title = "ORDINARY LEAST SQUARES - REGIMES"
            self.robust = USER.set_robust(robust)
            self.chow = REGI.Chow(self)
            SUMMARY.OLS(reg=self, vm=vm, w=w, nonspat_diag=nonspat_diag,
                        spat_diag=spat_diag, moran=moran, white_test=white_test, regimes=True)
Пример #9
0
    def __init__(self, y, x, yend, q,
                 w=None,
                 robust=None, gwk=None, sig2n_k=False,
                 spat_diag=False,
                 vm=False, name_y=None, name_x=None,
                 name_yend=None, name_q=None,
                 name_w=None, name_gwk=None, name_ds=None):

        n = USER.check_arrays(y, x, yend, q)
        USER.check_y(y, n)
        USER.check_weights(w, y)
        USER.check_robust(robust, gwk)
        USER.check_spat_diag(spat_diag, w)
        x_constant = USER.check_constant(x)
        BaseTSLS.__init__(self, y=y, x=x_constant, yend=yend, q=q,
                          robust=robust, gwk=gwk, sig2n_k=sig2n_k)
        self.title = "TWO STAGE LEAST SQUARES"
        self.name_ds = USER.set_name_ds(name_ds)
        self.name_y = USER.set_name_y(name_y)
        self.name_x = USER.set_name_x(name_x, x)
        self.name_yend = USER.set_name_yend(name_yend, yend)
        self.name_z = self.name_x + self.name_yend
        self.name_q = USER.set_name_q(name_q, q)
        self.name_h = USER.set_name_h(self.name_x, self.name_q)
        self.robust = USER.set_robust(robust)
        self.name_w = USER.set_name_w(name_w, w)
        self.name_gwk = USER.set_name_w(name_gwk, gwk)
        SUMMARY.TSLS(reg=self, vm=vm, w=w, spat_diag=spat_diag)
Пример #10
0
 def __init__(self, y, x, yend, q, regimes,\
          w=None, robust=None, gwk=None, sig2n_k=True,\
          spat_diag=False, vm=False, constant_regi='many',\
          cols2regi='all', regime_err_sep=False, name_y=None, name_x=None,\
          cores=None, name_yend=None, name_q=None, name_regimes=None,\
          name_w=None, name_gwk=None, name_ds=None, summ=True):
    
     n = USER.check_arrays(y, x)
     USER.check_y(y, n)
     USER.check_weights(w, y)
     USER.check_robust(robust, gwk)
     USER.check_spat_diag(spat_diag, w)
     self.constant_regi = constant_regi
     self.cols2regi = cols2regi
     self.name_ds = USER.set_name_ds(name_ds)
     self.name_regimes = USER.set_name_ds(name_regimes)
     self.name_w = USER.set_name_w(name_w, w)
     self.name_gwk = USER.set_name_w(name_gwk, gwk)
     self.name_y = USER.set_name_y(name_y)
     name_yend = USER.set_name_yend(name_yend, yend)
     name_q = USER.set_name_q(name_q, q)
     self.name_x_r = USER.set_name_x(name_x, x) + name_yend            
     self.n = n
     if regime_err_sep == True:
         name_x = USER.set_name_x(name_x, x)
         self.y = y
         if cols2regi == 'all':
             cols2regi = [True] * (x.shape[1]+yend.shape[1])
         self.regimes_set = list(set(regimes))
         self.regimes_set.sort()
         if w:
             w_i,regi_ids,warn = REGI.w_regimes(w, regimes, self.regimes_set, transform=True, get_ids=True, min_n=len(self.cols2regi)+1)
             set_warn(self,warn)
         else:
             regi_ids = dict((r, list(np.where(np.array(regimes) == r)[0])) for r in self.regimes_set)
             w_i = None
         if set(cols2regi) == set([True]):
             self._tsls_regimes_multi(x, yend, q, w_i, regi_ids, cores,\
              gwk, sig2n_k, robust, spat_diag, vm, name_x, name_yend, name_q)
         else:
             raise Exception, "All coefficients must vary accross regimes if regime_err_sep = True."
     else:
         name_x = USER.set_name_x(name_x, x,constant=True)
         q, self.name_q = REGI.Regimes_Frame.__init__(self, q, \
                 regimes, constant_regi=None, cols2regi='all', names=name_q)
         x, self.name_x = REGI.Regimes_Frame.__init__(self, x, \
                 regimes, constant_regi, cols2regi=cols2regi, names=name_x)
         yend, self.name_yend = REGI.Regimes_Frame.__init__(self, yend, \
                 regimes, constant_regi=None, \
                 cols2regi=cols2regi, yend=True, names=name_yend)
         BaseTSLS.__init__(self, y=y, x=x, yend=yend, q=q, \
                 robust=robust, gwk=gwk, sig2n_k=sig2n_k)
         self.name_z = self.name_x + self.name_yend
         self.name_h = USER.set_name_h(self.name_x, self.name_q)
         self.chow = REGI.Chow(self)
         self.robust = USER.set_robust(robust)
         if summ:
             self.title = "TWO STAGE LEAST SQUARES - REGIMES"
             SUMMARY.TSLS(reg=self, vm=vm, w=w, spat_diag=spat_diag, regimes=True)
Пример #11
0
def _work(
    y,
    x,
    regi_ids,
    r,
    yend,
    q,
    w_r,
    w_lags,
    lag_q,
    robust,
    sig2n_k,
    name_ds,
    name_y,
    name_x,
    name_yend,
    name_q,
    name_w,
    name_regimes,
):
    y_r = y[regi_ids[r]]
    x_r = x[regi_ids[r]]
    if yend != None:
        yend_r = yend[regi_ids[r]]
    else:
        yend_r = yend
    if q != None:
        q_r = q[regi_ids[r]]
    else:
        q_r = q
    yend_r, q_r = set_endog_sparse(y_r, x_r, w_r, yend_r, q_r, w_lags, lag_q)
    x_constant = USER.check_constant(x_r)
    if robust == "hac" or robust == "ogmm":
        robust2 = None
    else:
        robust2 = robust
    model = BaseTSLS(y_r, x_constant, yend_r, q_r, robust=robust2, sig2n_k=sig2n_k)
    model.title = "SPATIAL TWO STAGE LEAST SQUARES ESTIMATION - REGIME %s" % r
    if robust == "ogmm":
        _optimal_weight(model, sig2n_k, warn=False)
    model.rho = model.betas[-1]
    model.robust = USER.set_robust(robust)
    model.name_ds = name_ds
    model.name_y = "%s_%s" % (str(r), name_y)
    model.name_x = ["%s_%s" % (str(r), i) for i in name_x]
    model.name_yend = ["%s_%s" % (str(r), i) for i in name_yend]
    model.name_z = model.name_x + model.name_yend
    model.name_q = ["%s_%s" % (str(r), i) for i in name_q]
    model.name_h = model.name_x + model.name_q
    model.name_w = name_w
    model.name_regimes = name_regimes
    return model
Пример #12
0
 def __init__(self, y, x, regimes,\
              w=None, robust=None, gwk=None, sig2n_k=True,\
              nonspat_diag=True, spat_diag=False, moran=False,\
              vm=False, constant_regi='many', cols2regi='all',\
              regime_err_sep=False, cores=None,\
              name_y=None, name_x=None, name_regimes=None,\
              name_w=None, name_gwk=None, name_ds=None):         
     
     n = USER.check_arrays(y, x)
     USER.check_y(y, n)
     USER.check_weights(w, y)
     USER.check_robust(robust, gwk)
     USER.check_spat_diag(spat_diag, w)
     self.name_x_r = USER.set_name_x(name_x, x)
     self.constant_regi = constant_regi
     self.cols2regi = cols2regi        
     self.name_w = USER.set_name_w(name_w, w)
     self.name_gwk = USER.set_name_w(name_gwk, gwk)
     self.name_ds = USER.set_name_ds(name_ds)
     self.name_y = USER.set_name_y(name_y)
     self.name_regimes = USER.set_name_ds(name_regimes)
     self.n = n        
     if regime_err_sep == True:
         name_x = USER.set_name_x(name_x, x)
         self.y = y
         if cols2regi == 'all':
             cols2regi = [True] * (x.shape[1])
         self.regimes_set = list(set(regimes))
         self.regimes_set.sort()
         if w:
             w_i,regi_ids,warn = REGI.w_regimes(w, regimes, self.regimes_set, transform=True, get_ids=True, min_n=len(self.cols2regi)+1)
             set_warn(self,warn)
         else:
             regi_ids = dict((r, list(np.where(np.array(regimes) == r)[0])) for r in self.regimes_set)
             w_i = None
         if set(cols2regi) == set([True]):
             self._ols_regimes_multi(x, w_i, regi_ids, cores,\
              gwk, sig2n_k, robust, nonspat_diag, spat_diag, vm, name_x, moran)
         else:
             raise Exception, "All coefficients must vary accross regimes if regime_err_sep = True."
     else:
         name_x = USER.set_name_x(name_x, x,constant=True)
         x, self.name_x = REGI.Regimes_Frame.__init__(self, x,\
                 regimes, constant_regi, cols2regi, name_x)
         BaseOLS.__init__(self, y=y, x=x, robust=robust, gwk=gwk, \
                 sig2n_k=sig2n_k)
         self.title = "ORDINARY LEAST SQUARES - REGIMES"
         self.robust = USER.set_robust(robust)
         self.chow = REGI.Chow(self)
         SUMMARY.OLS(reg=self, vm=vm, w=w, nonspat_diag=nonspat_diag,\
                     spat_diag=spat_diag, moran=moran, regimes=True)
Пример #13
0
def _work(y,x,regi_ids,r,robust,sig2n_k,name_ds,name_y,name_x,name_w,name_regimes):
    y_r = y[regi_ids[r]]
    x_r = x[regi_ids[r]]
    x_constant = USER.check_constant(x_r)
    if robust == 'hac':
        robust = None
    model = BaseOLS(y_r, x_constant, robust=robust, sig2n_k=sig2n_k)
    model.title = "ORDINARY LEAST SQUARES ESTIMATION - REGIME %s" %r
    model.robust = USER.set_robust(robust)
    model.name_ds = name_ds
    model.name_y = '%s_%s'%(str(r), name_y)
    model.name_x = ['%s_%s'%(str(r), i) for i in name_x]
    model.name_w = name_w
    model.name_regimes = name_regimes
    return model
Пример #14
0
def _work(y,x,regi_ids,r,robust,sig2n_k,name_ds,name_y,name_x,name_w,name_regimes):
    y_r = y[regi_ids[r]]
    x_r = x[regi_ids[r]]
    x_constant = USER.check_constant(x_r)
    if robust == 'hac':
        robust = None
    model = BaseOLS(y_r, x_constant, robust=robust, sig2n_k=sig2n_k)
    model.title = "ORDINARY LEAST SQUARES ESTIMATION - REGIME %s" %r
    model.robust = USER.set_robust(robust)
    model.name_ds = name_ds
    model.name_y = '%s_%s'%(str(r), name_y)
    model.name_x = ['%s_%s'%(str(r), i) for i in name_x]
    model.name_w = name_w
    model.name_regimes = name_regimes
    return model
Пример #15
0
    def __init__(self,
                 y,
                 x,
                 w=None,
                 robust=None,
                 gwk=None,
                 sig2n_k=True,
                 nonspat_diag=True,
                 spat_diag=False,
                 moran=False,
                 white_test=False,
                 vm=False,
                 name_y=None,
                 name_x=None,
                 name_w=None,
                 name_gwk=None,
                 name_ds=None):

        n = USER.check_arrays(y, x)
        y = USER.check_y(y, n)
        USER.check_weights(w, y)
        USER.check_robust(robust, gwk)
        USER.check_spat_diag(spat_diag, w)
        x_constant = USER.check_constant(x)
        BaseOLS.__init__(self,
                         y=y,
                         x=x_constant,
                         robust=robust,
                         gwk=gwk,
                         sig2n_k=sig2n_k)
        self.title = "ORDINARY LEAST SQUARES"
        self.name_ds = USER.set_name_ds(name_ds)
        self.name_y = USER.set_name_y(name_y)
        self.name_x = USER.set_name_x(name_x, x)
        self.robust = USER.set_robust(robust)
        self.name_w = USER.set_name_w(name_w, w)
        self.name_gwk = USER.set_name_w(name_gwk, gwk)
        SUMMARY.OLS(reg=self,
                    vm=vm,
                    w=w,
                    nonspat_diag=nonspat_diag,
                    spat_diag=spat_diag,
                    moran=moran,
                    white_test=white_test)
Пример #16
0
    def __init__(self, y, x,\
                 w=None,\
                 robust=None, gwk=None, sig2n_k=True,\
                 nonspat_diag=True, spat_diag=False, moran=False,\
                 vm=False, name_y=None, name_x=None,\
                 name_w=None, name_gwk=None, name_ds=None):

        n = USER.check_arrays(y, x)
        USER.check_y(y, n)
        USER.check_weights(w, y)
        USER.check_robust(robust, gwk)
        USER.check_spat_diag(spat_diag, w)
        x_constant = USER.check_constant(x)
        BaseOLS.__init__(self, y=y, x=x_constant, robust=robust,\
                     gwk=gwk, sig2n_k=sig2n_k) 
        self.title = "ORDINARY LEAST SQUARES"
        self.name_ds = USER.set_name_ds(name_ds)
        self.name_y = USER.set_name_y(name_y)
        self.name_x = USER.set_name_x(name_x, x)
        self.robust = USER.set_robust(robust)
        self.name_w = USER.set_name_w(name_w, w)
        self.name_gwk = USER.set_name_w(name_gwk, gwk)
        SUMMARY.OLS(reg=self, vm=vm, w=w, nonspat_diag=nonspat_diag,\
                    spat_diag=spat_diag, moran=moran)
Пример #17
0
    def __init__(self,
                 y,
                 x,
                 yend,
                 q,
                 regimes,
                 w=None,
                 robust=None,
                 gwk=None,
                 sig2n_k=True,
                 spat_diag=False,
                 vm=False,
                 constant_regi='many',
                 cols2regi='all',
                 regime_err_sep=True,
                 name_y=None,
                 name_x=None,
                 cores=False,
                 name_yend=None,
                 name_q=None,
                 name_regimes=None,
                 name_w=None,
                 name_gwk=None,
                 name_ds=None,
                 summ=True):

        n = USER.check_arrays(y, x)
        USER.check_y(y, n)
        USER.check_weights(w, y)
        USER.check_robust(robust, gwk)
        USER.check_spat_diag(spat_diag, w)
        self.constant_regi = constant_regi
        self.cols2regi = cols2regi
        self.name_ds = USER.set_name_ds(name_ds)
        self.name_regimes = USER.set_name_ds(name_regimes)
        self.name_w = USER.set_name_w(name_w, w)
        self.name_gwk = USER.set_name_w(name_gwk, gwk)
        self.name_y = USER.set_name_y(name_y)
        name_yend = USER.set_name_yend(name_yend, yend)
        name_q = USER.set_name_q(name_q, q)
        self.name_x_r = USER.set_name_x(name_x, x) + name_yend
        self.n = n
        cols2regi = REGI.check_cols2regi(constant_regi,
                                         cols2regi,
                                         x,
                                         yend=yend,
                                         add_cons=False)
        self.regimes_set = REGI._get_regimes_set(regimes)
        self.regimes = regimes
        USER.check_regimes(self.regimes_set, self.n, x.shape[1])
        if regime_err_sep == True and robust == 'hac':
            set_warn(
                self,
                "Error by regimes is incompatible with HAC estimation for 2SLS models. Hence, the error by regimes has been disabled for this model."
            )
            regime_err_sep = False
        self.regime_err_sep = regime_err_sep
        if regime_err_sep == True and set(cols2regi) == set(
            [True]) and constant_regi == 'many':
            name_x = USER.set_name_x(name_x, x)
            self.y = y
            regi_ids = dict((r, list(np.where(np.array(regimes) == r)[0]))
                            for r in self.regimes_set)
            self._tsls_regimes_multi(x, yend, q, w, regi_ids, cores, gwk,
                                     sig2n_k, robust, spat_diag, vm, name_x,
                                     name_yend, name_q)
        else:
            name_x = USER.set_name_x(name_x, x, constant=True)
            q, self.name_q = REGI.Regimes_Frame.__init__(self,
                                                         q,
                                                         regimes,
                                                         constant_regi=None,
                                                         cols2regi='all',
                                                         names=name_q)
            x, self.name_x = REGI.Regimes_Frame.__init__(self,
                                                         x,
                                                         regimes,
                                                         constant_regi,
                                                         cols2regi=cols2regi,
                                                         names=name_x)
            yend, self.name_yend = REGI.Regimes_Frame.__init__(
                self,
                yend,
                regimes,
                constant_regi=None,
                cols2regi=cols2regi,
                yend=True,
                names=name_yend)
            if regime_err_sep == True and robust == None:
                robust = 'white'
            BaseTSLS.__init__(self,
                              y=y,
                              x=x,
                              yend=yend,
                              q=q,
                              robust=robust,
                              gwk=gwk,
                              sig2n_k=sig2n_k)
            self.title = "TWO STAGE LEAST SQUARES - REGIMES"
            if robust == 'ogmm':
                _optimal_weight(self, sig2n_k)
            self.name_z = self.name_x + self.name_yend
            self.name_h = USER.set_name_h(self.name_x, self.name_q)
            self.chow = REGI.Chow(self)
            self.robust = USER.set_robust(robust)
            if summ:
                SUMMARY.TSLS(reg=self,
                             vm=vm,
                             w=w,
                             spat_diag=spat_diag,
                             regimes=True)
Пример #18
0
    def __init__(self, y, x, yend, q, regimes,
                 w=None, robust=None, gwk=None, sig2n_k=True,
                 spat_diag=False, vm=False, constant_regi='many',
                 cols2regi='all', regime_err_sep=True, name_y=None, name_x=None,
                 cores=None, name_yend=None, name_q=None, name_regimes=None,
                 name_w=None, name_gwk=None, name_ds=None, summ=True):

        n = USER.check_arrays(y, x)
        USER.check_y(y, n)
        USER.check_weights(w, y)
        USER.check_robust(robust, gwk)
        USER.check_spat_diag(spat_diag, w)
        self.constant_regi = constant_regi
        self.cols2regi = cols2regi
        self.name_ds = USER.set_name_ds(name_ds)
        self.name_regimes = USER.set_name_ds(name_regimes)
        self.name_w = USER.set_name_w(name_w, w)
        self.name_gwk = USER.set_name_w(name_gwk, gwk)
        self.name_y = USER.set_name_y(name_y)
        name_yend = USER.set_name_yend(name_yend, yend)
        name_q = USER.set_name_q(name_q, q)
        self.name_x_r = USER.set_name_x(name_x, x) + name_yend
        self.n = n
        cols2regi = REGI.check_cols2regi(
            constant_regi, cols2regi, x, yend=yend, add_cons=False)
        self.regimes_set = REGI._get_regimes_set(regimes)
        self.regimes = regimes
        USER.check_regimes(self.regimes_set, self.n, x.shape[1])
        if regime_err_sep == True and robust == 'hac':
            set_warn(
                self, "Error by regimes is incompatible with HAC estimation for 2SLS models. Hence, the error by regimes has been disabled for this model.")
            regime_err_sep = False
        self.regime_err_sep = regime_err_sep
        if regime_err_sep == True and set(cols2regi) == set([True]) and constant_regi == 'many':
            name_x = USER.set_name_x(name_x, x)
            self.y = y
            regi_ids = dict((r, list(np.where(np.array(regimes) == r)[0]))
                            for r in self.regimes_set)
            self._tsls_regimes_multi(x, yend, q, w, regi_ids, cores,
                                     gwk, sig2n_k, robust, spat_diag, vm, name_x, name_yend, name_q)
        else:
            name_x = USER.set_name_x(name_x, x, constant=True)
            q, self.name_q = REGI.Regimes_Frame.__init__(self, q,
                                                         regimes, constant_regi=None, cols2regi='all', names=name_q)
            x, self.name_x = REGI.Regimes_Frame.__init__(self, x,
                                                         regimes, constant_regi, cols2regi=cols2regi, names=name_x)
            yend, self.name_yend = REGI.Regimes_Frame.__init__(self, yend,
                                                               regimes, constant_regi=None,
                                                               cols2regi=cols2regi, yend=True, names=name_yend)
            if regime_err_sep == True and robust == None:
                robust = 'white'
            BaseTSLS.__init__(self, y=y, x=x, yend=yend, q=q,
                              robust=robust, gwk=gwk, sig2n_k=sig2n_k)
            self.title = "TWO STAGE LEAST SQUARES - REGIMES"
            if robust == 'ogmm':
                _optimal_weight(self, sig2n_k)
            self.name_z = self.name_x + self.name_yend
            self.name_h = USER.set_name_h(self.name_x, self.name_q)
            self.chow = REGI.Chow(self)
            self.robust = USER.set_robust(robust)
            if summ:
                SUMMARY.TSLS(reg=self, vm=vm, w=w,
                             spat_diag=spat_diag, regimes=True)
Пример #19
0
    def __init__(self, y, x, yend, q, regimes,\
             w=None, robust=None, gwk=None, sig2n_k=True,\
             spat_diag=False, vm=False, constant_regi='many',\
             cols2regi='all', regime_err_sep=True, name_y=None, name_x=None,\
             cores=None, name_yend=None, name_q=None, name_regimes=None,\
             name_w=None, name_gwk=None, name_ds=None, summ=True):
       
        n = USER.check_arrays(y, x)
        USER.check_y(y, n)
        USER.check_weights(w, y)
        USER.check_robust(robust, gwk)
        USER.check_spat_diag(spat_diag, w)
        self.constant_regi = constant_regi
        self.cols2regi = cols2regi
        self.name_ds = USER.set_name_ds(name_ds)
        self.name_regimes = USER.set_name_ds(name_regimes)
        self.name_w = USER.set_name_w(name_w, w)
        self.name_gwk = USER.set_name_w(name_gwk, gwk)
        self.name_y = USER.set_name_y(name_y)
        name_yend = USER.set_name_yend(name_yend, yend)
        name_q = USER.set_name_q(name_q, q)
        self.name_x_r = USER.set_name_x(name_x, x) + name_yend            
        self.n = n
        cols2regi = REGI.check_cols2regi(constant_regi, cols2regi, x, yend=yend, add_cons=False)
        self.regimes_set = REGI._get_regimes_set(regimes)
        self.regimes = regimes
        USER.check_regimes(self.regimes_set)
        self.regime_err_sep = regime_err_sep

        if regime_err_sep == True and set(cols2regi) == set([True]) and constant_regi == 'many':
            name_x = USER.set_name_x(name_x, x)
            self.y = y
            if w:
                w_i,regi_ids,warn = REGI.w_regimes(w, regimes, self.regimes_set, transform=True, get_ids=True, min_n=len(self.cols2regi)+1)
                set_warn(self,warn)
            else:
                regi_ids = dict((r, list(np.where(np.array(regimes) == r)[0])) for r in self.regimes_set)
                w_i = None
            self._tsls_regimes_multi(x, yend, q, w_i, regi_ids, cores,\
                 gwk, sig2n_k, robust, spat_diag, vm, name_x, name_yend, name_q)
        else:
            name_x = USER.set_name_x(name_x, x,constant=True)
            q, self.name_q = REGI.Regimes_Frame.__init__(self, q, \
                    regimes, constant_regi=None, cols2regi='all', names=name_q)
            x, self.name_x = REGI.Regimes_Frame.__init__(self, x, \
                    regimes, constant_regi, cols2regi=cols2regi, names=name_x)
            yend, self.name_yend = REGI.Regimes_Frame.__init__(self, yend, \
                    regimes, constant_regi=None, \
                    cols2regi=cols2regi, yend=True, names=name_yend)
            BaseTSLS.__init__(self, y=y, x=x, yend=yend, q=q, \
                    robust=robust, gwk=gwk, sig2n_k=sig2n_k)
            if regime_err_sep == True and robust == None:
                """
                # Weighted x, y, yend and q approach:
                y2,x2,yend2,q2 = REGI._get_weighted_var(regimes,self.regimes_set,sig2n_k,self.u,y,x,yend,q)
                tsls2 = BaseTSLS(y=y2, x=x2, yend=yend2, q=q2, sig2n_k=sig2n_k)
                # Updating S_hat to S_tilde approach:               
                betas2, predy2, resid2, vm2 = self._optimal_weight(sig2n_k)
                RegressionProps_basic(self,betas=betas2,predy=predy2,u=resid2,vm=vm2,sig2=False)
                """
                betas2, vm2 = self._optimal_weight(sig2n_k)
                RegressionProps_basic(self,betas=betas2,vm=vm2,sig2=False)
                self.title = "TWO STAGE LEAST SQUARES - REGIMES (Optimal-Weighted GMM)"
                robust = None
                set_warn(self,"Residuals treated as homoskedastic for the purpose of diagnostics.")
            else:
                self.title = "TWO STAGE LEAST SQUARES - REGIMES"
            self.name_z = self.name_x + self.name_yend
            self.name_h = USER.set_name_h(self.name_x, self.name_q)
            self.chow = REGI.Chow(self)
            self.robust = USER.set_robust(robust)
            if summ:
                SUMMARY.TSLS(reg=self, vm=vm, w=w, spat_diag=spat_diag, regimes=True)