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)