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)
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)
def __init__(self, y, x, regimes, w=None, constant_regi='many',\
cols2regi='all', method='full', epsilon=0.0000001,\
regime_lag_sep=False, cores=None, spat_diag=False,\
vm=False, name_y=None, name_x=None,\
name_w=None, name_ds=None, name_regimes=None):
n = USER.check_arrays(y, x)
USER.check_y(y, n)
USER.check_weights(w, y, w_required=True)
USER.check_spat_diag(spat_diag, w)
name_y = USER.set_name_y(name_y)
self.name_y = name_y
self.name_x_r = USER.set_name_x(name_x, x) + [USER.set_name_yend_sp(name_y)]
self.method = method
self.epsilon = epsilon
self.name_regimes = USER.set_name_ds(name_regimes)
self.constant_regi=constant_regi
self.n = n
cols2regi = REGI.check_cols2regi(constant_regi, cols2regi, x, add_cons=False)
self.cols2regi = cols2regi
self.regimes_set = REGI._get_regimes_set(regimes)
self.regimes = regimes
self.regime_lag_sep = regime_lag_sep
self._cache = {}
self.name_ds = USER.set_name_ds(name_ds)
self.name_w = USER.set_name_w(name_w, w)
USER.check_regimes(self.regimes_set,self.n,x.shape[1])
if regime_lag_sep == True:
if not (set(cols2regi) == set([True]) and constant_regi == 'many'):
raise Exception, "All variables must vary by regimes if regime_lag_sep = True."
cols2regi += [True]
w_i,regi_ids,warn = REGI.w_regimes(w, regimes, self.regimes_set, transform=True, get_ids=True, min_n=len(cols2regi)+1)
set_warn(self,warn)
else:
cols2regi += [False]
if set(cols2regi) == set([True]) and constant_regi == 'many':
self.y = y
self.ML_Lag_Regimes_Multi(y, x, w_i, w, regi_ids,\
cores=cores, cols2regi=cols2regi, method=method, epsilon=epsilon,\
spat_diag=spat_diag, vm=vm, name_y=name_y, name_x=name_x,\
name_regimes=self.name_regimes,\
name_w=name_w, name_ds=name_ds)
else:
#if regime_lag_sep == True:
# w = REGI.w_regimes_union(w, w_i, self.regimes_set)
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=cols2regi[:-1], names=name_x)
self.name_x.append("_Global_"+USER.set_name_yend_sp(name_y))
BaseML_Lag.__init__(self, y=y, x=x, w=w, method=method, epsilon=epsilon)
self.kf += 1 #Adding a fixed k to account for spatial lag.
self.chow = REGI.Chow(self)
self.aic = DIAG.akaike(reg=self)
self.schwarz = DIAG.schwarz(reg=self)
self.regime_lag_sep=regime_lag_sep
self.title = "MAXIMUM LIKELIHOOD SPATIAL LAG - REGIMES" + " (METHOD = " + method + ")"
SUMMARY.ML_Lag(reg=self, w=w, vm=vm, spat_diag=spat_diag, regimes=True)
def __init__(self, y, x, regimes, w=None, constant_regi='many',
cols2regi='all', method='full', epsilon=0.0000001,
regime_err_sep=False, cores=None, spat_diag=False,
vm=False, name_y=None, name_x=None,
name_w=None, name_ds=None, name_regimes=None):
n = USER.check_arrays(y, x)
USER.check_y(y, n)
USER.check_weights(w, y, w_required=True)
self.constant_regi = constant_regi
self.cols2regi = cols2regi
self.regime_err_sep = regime_err_sep
self.name_ds = USER.set_name_ds(name_ds)
self.name_y = USER.set_name_y(name_y)
self.name_w = USER.set_name_w(name_w, w)
self.name_regimes = USER.set_name_ds(name_regimes)
self.n = n
self.y = y
x_constant = USER.check_constant(x)
name_x = USER.set_name_x(name_x, x)
self.name_x_r = name_x
cols2regi = REGI.check_cols2regi(constant_regi, cols2regi, x)
self.regimes_set = REGI._get_regimes_set(regimes)
self.regimes = regimes
USER.check_regimes(self.regimes_set, self.n, x.shape[1])
self.regime_err_sep = regime_err_sep
if regime_err_sep == True:
if set(cols2regi) == set([True]):
self._error_regimes_multi(y, x, regimes, w, cores,
method, epsilon, cols2regi, vm, name_x, spat_diag)
else:
raise Exception, "All coefficients must vary accross regimes if regime_err_sep = True."
else:
regimes_att = {}
regimes_att['x'] = x_constant
regimes_att['regimes'] = regimes
regimes_att['cols2regi'] = cols2regi
x, name_x = REGI.Regimes_Frame.__init__(self, x_constant,
regimes, constant_regi=None, cols2regi=cols2regi,
names=name_x)
BaseML_Error.__init__(
self, y=y, x=x, w=w, method=method, epsilon=epsilon, regimes_att=regimes_att)
self.title = "MAXIMUM LIKELIHOOD SPATIAL ERROR - REGIMES" + \
" (METHOD = " + method + ")"
self.name_x = USER.set_name_x(name_x, x, constant=True)
self.name_x.append('lambda')
self.kf += 1 # Adding a fixed k to account for lambda.
self.chow = REGI.Chow(self)
self.aic = DIAG.akaike(reg=self)
self.schwarz = DIAG.schwarz(reg=self)
self._cache = {}
SUMMARY.ML_Error(reg=self, w=w, vm=vm,
spat_diag=spat_diag, regimes=True)
def __init__(self, y, x, regimes, w=None, constant_regi='many',
cols2regi='all', method='full', epsilon=0.0000001,
regime_err_sep=False, regime_lag_sep=False, cores=False, spat_diag=False,
vm=False, name_y=None, name_x=None,
name_w=None, name_ds=None, name_regimes=None):
n = USER.check_arrays(y, x)
USER.check_y(y, n)
USER.check_weights(w, y, w_required=True)
self.constant_regi = constant_regi
self.cols2regi = cols2regi
self.regime_err_sep = regime_err_sep
self.name_ds = USER.set_name_ds(name_ds)
self.name_y = USER.set_name_y(name_y)
self.name_w = USER.set_name_w(name_w, w)
self.name_regimes = USER.set_name_ds(name_regimes)
self.n = n
self.y = y
x_constant = USER.check_constant(x)
name_x = USER.set_name_x(name_x, x)
self.name_x_r = name_x
cols2regi = REGI.check_cols2regi(constant_regi, cols2regi, x)
self.regimes_set = REGI._get_regimes_set(regimes)
self.regimes = regimes
USER.check_regimes(self.regimes_set, self.n, x.shape[1])
self.regime_err_sep = regime_err_sep
if regime_err_sep == True:
if set(cols2regi) == set([True]):
self._error_regimes_multi(y, x, regimes, w, cores,
method, epsilon, cols2regi, vm, name_x, spat_diag)
else:
raise Exception, "All coefficients must vary accross regimes if regime_err_sep = True."
else:
regimes_att = {}
regimes_att['x'] = x_constant
regimes_att['regimes'] = regimes
regimes_att['cols2regi'] = cols2regi
x, name_x = REGI.Regimes_Frame.__init__(self, x_constant,
regimes, constant_regi=None, cols2regi=cols2regi,
names=name_x)
BaseML_Error.__init__(
self, y=y, x=x, w=w, method=method, epsilon=epsilon, regimes_att=regimes_att)
self.title = "MAXIMUM LIKELIHOOD SPATIAL ERROR - REGIMES" + \
" (METHOD = " + method + ")"
self.name_x = USER.set_name_x(name_x, x, constant=True)
self.name_x.append('lambda')
self.kf += 1 # Adding a fixed k to account for lambda.
self.chow = REGI.Chow(self)
self.aic = DIAG.akaike(reg=self)
self.schwarz = DIAG.schwarz(reg=self)
self._cache = {}
SUMMARY.ML_Error(
reg=self, w=w, vm=vm, spat_diag=spat_diag, regimes=True)
def __init__(
self,
y,
x,
regimes,
yend=None,
q=None,
w=None,
w_lags=1,
lag_q=True,
robust=None,
gwk=None,
sig2n_k=False,
spat_diag=False,
constant_regi="many",
cols2regi="all",
regime_lag_sep=False,
regime_err_sep=True,
cores=False,
vm=False,
name_y=None,
name_x=None,
name_yend=None,
name_q=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, w_required=True)
USER.check_robust(robust, gwk)
USER.check_spat_diag(spat_diag, w)
name_x = USER.set_name_x(name_x, x, constant=True)
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)
name_q.extend(USER.set_name_q_sp(name_x, w_lags, name_q, lag_q, force_all=True))
self.name_regimes = USER.set_name_ds(name_regimes)
self.constant_regi = constant_regi
self.n = n
cols2regi = REGI.check_cols2regi(constant_regi, cols2regi, x, yend=yend, add_cons=False)
self.cols2regi = cols2regi
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 Spatial Lag models. Hence, error and lag by regimes have been disabled for this model.",
)
regime_err_sep = False
regime_lag_sep = False
self.regime_err_sep = regime_err_sep
self.regime_lag_sep = regime_lag_sep
if regime_lag_sep == True:
if not regime_err_sep:
raise Exception, "regime_err_sep must be True when regime_lag_sep=True."
cols2regi += [True]
w_i, regi_ids, warn = REGI.w_regimes(
w, regimes, self.regimes_set, transform=True, get_ids=True, min_n=len(cols2regi) + 1
)
set_warn(self, warn)
else:
cols2regi += [False]
if regime_err_sep == True and set(cols2regi) == set([True]) and constant_regi == "many":
self.y = y
self.GM_Lag_Regimes_Multi(
y,
x,
w_i,
w,
regi_ids,
yend=yend,
q=q,
w_lags=w_lags,
lag_q=lag_q,
cores=cores,
robust=robust,
gwk=gwk,
sig2n_k=sig2n_k,
cols2regi=cols2regi,
spat_diag=spat_diag,
vm=vm,
name_y=name_y,
name_x=name_x,
name_yend=name_yend,
name_q=name_q,
name_regimes=self.name_regimes,
name_w=name_w,
name_gwk=name_gwk,
name_ds=name_ds,
)
else:
if regime_lag_sep == True:
w = REGI.w_regimes_union(w, w_i, self.regimes_set)
yend2, q2 = set_endog(y, x, w, yend, q, w_lags, lag_q)
name_yend.append(USER.set_name_yend_sp(name_y))
TSLS_Regimes.__init__(
self,
y=y,
x=x,
yend=yend2,
q=q2,
regimes=regimes,
w=w,
robust=robust,
gwk=gwk,
sig2n_k=sig2n_k,
spat_diag=spat_diag,
vm=vm,
constant_regi=constant_regi,
cols2regi=cols2regi,
regime_err_sep=regime_err_sep,
name_y=name_y,
name_x=name_x,
name_yend=name_yend,
name_q=name_q,
name_regimes=name_regimes,
name_w=name_w,
name_gwk=name_gwk,
name_ds=name_ds,
summ=False,
)
if regime_lag_sep:
self.sp_att_reg(w_i, regi_ids, yend2[:, -1].reshape(self.n, 1))
else:
self.rho = self.betas[-1]
self.predy_e, self.e_pred, warn = sp_att(
w, self.y, self.predy, yend2[:, -1].reshape(self.n, 1), self.rho
)
set_warn(self, warn)
self.regime_lag_sep = regime_lag_sep
self.title = "SPATIAL " + self.title
SUMMARY.GM_Lag(reg=self, w=w, vm=vm, spat_diag=spat_diag, regimes=True)
def __init__(self,
y,
x,
regimes,
yend=None,
q=None,
w=None,
w_lags=1,
lag_q=True,
robust=None,
gwk=None,
sig2n_k=False,
spat_diag=False,
constant_regi='many',
cols2regi='all',
regime_lag_sep=False,
regime_err_sep=True,
cores=False,
vm=False,
name_y=None,
name_x=None,
name_yend=None,
name_q=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, w_required=True)
USER.check_robust(robust, gwk)
USER.check_spat_diag(spat_diag, w)
name_x = USER.set_name_x(name_x, x, constant=True)
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)
name_q.extend(
USER.set_name_q_sp(name_x, w_lags, name_q, lag_q, force_all=True))
self.name_regimes = USER.set_name_ds(name_regimes)
self.constant_regi = constant_regi
self.n = n
cols2regi = REGI.check_cols2regi(constant_regi,
cols2regi,
x,
yend=yend,
add_cons=False)
self.cols2regi = cols2regi
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 Spatial Lag models. Hence, error and lag by regimes have been disabled for this model."
)
regime_err_sep = False
regime_lag_sep = False
self.regime_err_sep = regime_err_sep
self.regime_lag_sep = regime_lag_sep
if regime_lag_sep == True:
if not regime_err_sep:
raise Exception, "regime_err_sep must be True when regime_lag_sep=True."
cols2regi += [True]
w_i, regi_ids, warn = REGI.w_regimes(w,
regimes,
self.regimes_set,
transform=True,
get_ids=True,
min_n=len(cols2regi) + 1)
set_warn(self, warn)
else:
cols2regi += [False]
if regime_err_sep == True and set(cols2regi) == set(
[True]) and constant_regi == 'many':
self.y = y
self.GM_Lag_Regimes_Multi(y,
x,
w_i,
w,
regi_ids,
yend=yend,
q=q,
w_lags=w_lags,
lag_q=lag_q,
cores=cores,
robust=robust,
gwk=gwk,
sig2n_k=sig2n_k,
cols2regi=cols2regi,
spat_diag=spat_diag,
vm=vm,
name_y=name_y,
name_x=name_x,
name_yend=name_yend,
name_q=name_q,
name_regimes=self.name_regimes,
name_w=name_w,
name_gwk=name_gwk,
name_ds=name_ds)
else:
if regime_lag_sep == True:
w = REGI.w_regimes_union(w, w_i, self.regimes_set)
yend2, q2 = set_endog(y, x, w, yend, q, w_lags, lag_q)
name_yend.append(USER.set_name_yend_sp(name_y))
TSLS_Regimes.__init__(self,
y=y,
x=x,
yend=yend2,
q=q2,
regimes=regimes,
w=w,
robust=robust,
gwk=gwk,
sig2n_k=sig2n_k,
spat_diag=spat_diag,
vm=vm,
constant_regi=constant_regi,
cols2regi=cols2regi,
regime_err_sep=regime_err_sep,
name_y=name_y,
name_x=name_x,
name_yend=name_yend,
name_q=name_q,
name_regimes=name_regimes,
name_w=name_w,
name_gwk=name_gwk,
name_ds=name_ds,
summ=False)
if regime_lag_sep:
self.sp_att_reg(w_i, regi_ids, yend2[:, -1].reshape(self.n, 1))
else:
self.rho = self.betas[-1]
self.predy_e, self.e_pred, warn = sp_att(
w, self.y, self.predy, yend2[:, -1].reshape(self.n, 1),
self.rho)
set_warn(self, warn)
self.regime_lag_sep = regime_lag_sep
self.title = "SPATIAL " + self.title
SUMMARY.GM_Lag(reg=self,
w=w,
vm=vm,
spat_diag=spat_diag,
regimes=True)
def __init__(self, y, x, regimes, yend=None, q=None,\
w=None, w_lags=1, lag_q=True,\
robust=None, gwk=None, sig2n_k=False,\
spat_diag=False, constant_regi='many',\
cols2regi='all', regime_lag_sep=False, regime_err_sep=True,\
cores=None, vm=False, name_y=None, name_x=None,\
name_yend=None, name_q=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, w_required=True)
USER.check_robust(robust, gwk)
USER.check_spat_diag(spat_diag, w)
name_x = USER.set_name_x(name_x, x, constant=True)
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)
name_q.extend(
USER.set_name_q_sp(name_x, w_lags, name_q, lag_q, force_all=True))
self.name_regimes = USER.set_name_ds(name_regimes)
self.constant_regi = constant_regi
self.n = n
cols2regi = REGI.check_cols2regi(constant_regi,
cols2regi,
x,
yend=yend,
add_cons=False)
self.cols2regi = cols2regi
self.regimes_set = REGI._get_regimes_set(regimes)
self.regimes = regimes
USER.check_regimes(self.regimes_set)
self.regime_err_sep = regime_err_sep
self.regime_lag_sep = regime_lag_sep
if regime_lag_sep == True:
if not regime_err_sep:
raise Exception, "regime_err_sep must be True when regime_lag_sep=True."
cols2regi += [True]
w_i, regi_ids, warn = REGI.w_regimes(w,
regimes,
self.regimes_set,
transform=True,
get_ids=True,
min_n=len(cols2regi) + 1)
set_warn(self, warn)
else:
cols2regi += [False]
if regime_err_sep == True and set(cols2regi) == set(
[True]) and constant_regi == 'many':
self.y = y
self.GM_Lag_Regimes_Multi(y, x, w_i, regi_ids,\
yend=yend, q=q, w_lags=w_lags, lag_q=lag_q, cores=cores,\
robust=robust, gwk=gwk, sig2n_k=sig2n_k, cols2regi=cols2regi,\
spat_diag=spat_diag, vm=vm, name_y=name_y, name_x=name_x,\
name_yend=name_yend, name_q=name_q, name_regimes=self.name_regimes,\
name_w=name_w, name_gwk=name_gwk, name_ds=name_ds)
else:
if regime_lag_sep == True:
w = REGI.w_regimes_union(w, w_i, self.regimes_set)
yend2, q2 = set_endog(y, x, w, yend, q, w_lags, lag_q)
name_yend.append(USER.set_name_yend_sp(name_y))
TSLS_Regimes.__init__(self, y=y, x=x, yend=yend2, q=q2,\
regimes=regimes, w=w, robust=robust, gwk=gwk,\
sig2n_k=sig2n_k, spat_diag=spat_diag, vm=vm,\
constant_regi=constant_regi, cols2regi=cols2regi, regime_err_sep=regime_err_sep,\
name_y=name_y, name_x=name_x, name_yend=name_yend, name_q=name_q,\
name_regimes=name_regimes, name_w=name_w, name_gwk=name_gwk,\
name_ds=name_ds,summ=False)
if regime_lag_sep:
self.sp_att_reg(w_i, regi_ids, yend2[:, -1].reshape(self.n, 1))
else:
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.regime_lag_sep = regime_lag_sep
if regime_err_sep == True:
self.title = "SPATIAL TWO STAGE LEAST SQUARES - REGIMES (Group-wise heteroskedasticity)"
else:
self.title = "SPATIAL TWO STAGE LEAST SQUARES - REGIMES"
SUMMARY.GM_Lag(reg=self,
w=w,
vm=vm,
spat_diag=spat_diag,
regimes=True)
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)
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)
def __init__(self, y, x, regimes, w=None, constant_regi='many',
cols2regi='all', method='full', epsilon=0.0000001,
regime_lag_sep=False, regime_err_sep=False, cores=False, spat_diag=False,
vm=False, name_y=None, name_x=None,
name_w=None, name_ds=None, name_regimes=None):
n = USER.check_arrays(y, x)
USER.check_y(y, n)
USER.check_weights(w, y, w_required=True)
USER.check_spat_diag(spat_diag, w)
name_y = USER.set_name_y(name_y)
self.name_y = name_y
self.name_x_r = USER.set_name_x(
name_x, x) + [USER.set_name_yend_sp(name_y)]
self.method = method
self.epsilon = epsilon
self.name_regimes = USER.set_name_ds(name_regimes)
self.constant_regi = constant_regi
self.n = n
cols2regi = REGI.check_cols2regi(
constant_regi, cols2regi, x, add_cons=False)
self.cols2regi = cols2regi
self.regimes_set = REGI._get_regimes_set(regimes)
self.regimes = regimes
self.regime_lag_sep = regime_lag_sep
self._cache = {}
self.name_ds = USER.set_name_ds(name_ds)
self.name_w = USER.set_name_w(name_w, w)
USER.check_regimes(self.regimes_set, self.n, x.shape[1])
# regime_err_sep is ignored, always False
if regime_lag_sep == True:
if not (set(cols2regi) == set([True]) and constant_regi == 'many'):
raise Exception, "All variables must vary by regimes if regime_lag_sep = True."
cols2regi += [True]
w_i, regi_ids, warn = REGI.w_regimes(
w, regimes, self.regimes_set, transform=True, get_ids=True, min_n=len(cols2regi) + 1)
set_warn(self, warn)
else:
cols2regi += [False]
if set(cols2regi) == set([True]) and constant_regi == 'many':
self.y = y
self.ML_Lag_Regimes_Multi(y, x, w_i, w, regi_ids,
cores=cores, cols2regi=cols2regi, method=method, epsilon=epsilon,
spat_diag=spat_diag, vm=vm, name_y=name_y, name_x=name_x,
name_regimes=self.name_regimes,
name_w=name_w, name_ds=name_ds)
else:
# if regime_lag_sep == True:
# w = REGI.w_regimes_union(w, w_i, self.regimes_set)
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=cols2regi[:-1], names=name_x)
self.name_x.append("_Global_" + USER.set_name_yend_sp(name_y))
BaseML_Lag.__init__(
self, y=y, x=x, w=w, method=method, epsilon=epsilon)
self.kf += 1 # Adding a fixed k to account for spatial lag in Chow
# adding a fixed k to account for spatial lag in aic, sc
self.k += 1
self.chow = REGI.Chow(self)
self.aic = DIAG.akaike(reg=self)
self.schwarz = DIAG.schwarz(reg=self)
self.regime_lag_sep = regime_lag_sep
self.title = "MAXIMUM LIKELIHOOD SPATIAL LAG - REGIMES" + \
" (METHOD = " + method + ")"
SUMMARY.ML_Lag(
reg=self, w=w, vm=vm, spat_diag=spat_diag, regimes=True)
def __init__(self, y, x, regimes, yend=None, q=None,\
w=None, w_lags=1, lag_q=True,\
robust=None, gwk=None, sig2n_k=False,\
spat_diag=False, constant_regi='many',\
cols2regi='all', regime_lag_sep=False, regime_err_sep=True,\
cores=None, vm=False, name_y=None, name_x=None,\
name_yend=None, name_q=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, w_required=True)
USER.check_robust(robust, gwk)
USER.check_spat_diag(spat_diag, w)
name_x = USER.set_name_x(name_x, x,constant=True)
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)
name_q.extend(USER.set_name_q_sp(name_x, w_lags, name_q, lag_q, force_all=True))
self.name_regimes = USER.set_name_ds(name_regimes)
self.constant_regi=constant_regi
self.n = n
cols2regi = REGI.check_cols2regi(constant_regi, cols2regi, x, yend=yend, add_cons=False)
self.cols2regi = cols2regi
self.regimes_set = REGI._get_regimes_set(regimes)
self.regimes = regimes
USER.check_regimes(self.regimes_set)
self.regime_err_sep = regime_err_sep
self.regime_lag_sep = regime_lag_sep
if regime_lag_sep == True:
if not regime_err_sep:
raise Exception, "regime_err_sep must be True when regime_lag_sep=True."
cols2regi += [True]
w_i,regi_ids,warn = REGI.w_regimes(w, regimes, self.regimes_set, transform=True, get_ids=True, min_n=len(cols2regi)+1)
set_warn(self,warn)
else:
cols2regi += [False]
if regime_err_sep == True and set(cols2regi) == set([True]) and constant_regi == 'many':
self.y = y
self.GM_Lag_Regimes_Multi(y, x, w_i, regi_ids,\
yend=yend, q=q, w_lags=w_lags, lag_q=lag_q, cores=cores,\
robust=robust, gwk=gwk, sig2n_k=sig2n_k, cols2regi=cols2regi,\
spat_diag=spat_diag, vm=vm, name_y=name_y, name_x=name_x,\
name_yend=name_yend, name_q=name_q, name_regimes=self.name_regimes,\
name_w=name_w, name_gwk=name_gwk, name_ds=name_ds)
else:
if regime_lag_sep == True:
w = REGI.w_regimes_union(w, w_i, self.regimes_set)
yend2, q2 = set_endog(y, x, w, yend, q, w_lags, lag_q)
name_yend.append(USER.set_name_yend_sp(name_y))
TSLS_Regimes.__init__(self, y=y, x=x, yend=yend2, q=q2,\
regimes=regimes, w=w, robust=robust, gwk=gwk,\
sig2n_k=sig2n_k, spat_diag=spat_diag, vm=vm,\
constant_regi=constant_regi, cols2regi=cols2regi, regime_err_sep=regime_err_sep,\
name_y=name_y, name_x=name_x, name_yend=name_yend, name_q=name_q,\
name_regimes=name_regimes, name_w=name_w, name_gwk=name_gwk,\
name_ds=name_ds,summ=False)
if regime_lag_sep:
self.sp_att_reg(w_i, regi_ids, yend2[:,-1].reshape(self.n,1))
else:
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.regime_lag_sep=regime_lag_sep
if regime_err_sep == True:
self.title = "SPATIAL TWO STAGE LEAST SQUARES - REGIMES (Group-wise heteroskedasticity)"
else:
self.title = "SPATIAL TWO STAGE LEAST SQUARES - REGIMES"
SUMMARY.GM_Lag(reg=self, w=w, vm=vm, spat_diag=spat_diag, regimes=True)
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)