Source code for spreg.ols_regimes

"""
Ordinary Least Squares regression with regimes.
"""

__author__ = "Luc Anselin, Pedro V. Amaral, Daniel Arribas-Bel"

import numpy as np
import multiprocessing as mp
import pandas as pd
from . import regimes as REGI
from . import user_output as USER
from .utils import set_warn, RegressionProps_basic, spdot, RegressionPropsY, get_lags, optim_k
from .ols import BaseOLS
from .robust import hac_multi
from .output import output, _spat_diag_out, _nonspat_mid, _nonspat_top
from .skater_reg import Skater_reg

[docs] class OLS_Regimes(BaseOLS, REGI.Regimes_Frame, RegressionPropsY): """ Ordinary least squares with results and diagnostics. Parameters ---------- y : numpy.ndarray or pandas.Series nx1 array for dependent variable x : numpy.ndarray or pandas object Two dimensional array with n rows and one column for each independent (exogenous) variable, excluding the constant regimes : list or pandas.Series List of n values with the mapping of each observation to a regime. Assumed to be aligned with 'x'. w : pysal W object Spatial weights object (required if running spatial diagnostics) robust : string If 'white', then a White consistent estimator of the variance-covariance matrix is given. If 'hac', then a HAC consistent estimator of the variance-covariance matrix is given. Default set to None. gwk : pysal W object Kernel spatial weights needed for HAC estimation. Note: matrix must have ones along the main diagonal. slx_lags : integer Number of spatial lags of X to include in the model specification. If slx_lags>0, the specification becomes of the SLX type. Note: WX is computed using the complete weights matrix slx_vars : either "All" (default) or list of booleans to select x variables to be lagged sig2n_k : boolean If True, then use n-k to estimate sigma^2. If False, use n. nonspat_diag : boolean If True, then compute non-spatial diagnostics on the regression. spat_diag : boolean If True, then compute Lagrange multiplier tests (requires w). Note: see moran for further tests. moran : boolean If True, compute Moran's I on the residuals. Note: requires spat_diag=True. white_test : boolean If True, compute White's specification robust test. (requires nonspat_diag=True) vm : boolean If True, include variance-covariance matrix in summary results constant_regi: string, optional Switcher controlling the constant term setup. It may take the following values: * 'one': a vector of ones is appended to x and held constant across regimes * 'many': a vector of ones is appended to x and considered different per regime (default) cols2regi : list, 'all' Argument indicating whether each column of x should be considered as different per regime or held constant across regimes (False). If a list, k booleans indicating for each variable the option (True if one per regime, False to be held constant). If 'all' (default), all the variables vary by regime. regime_err_sep : boolean If True, a separate regression is run for each regime. cores : boolean Specifies if multiprocessing is to be used Default: no multiprocessing, cores = False Note: Multiprocessing may not work on all platforms. name_y : string Name of dependent variable for use in output name_x : list of strings Names of independent variables for use in output name_w : string Name of weights matrix for use in output name_gwk : string Name of kernel weights matrix for use in output name_ds : string Name of dataset for use in output name_regimes : string Name of regime variable for use in the output latex : boolean Specifies if summary is to be printed in latex format Attributes ---------- output : dataframe regression results pandas dataframe summary : string Summary of regression results and diagnostics (note: use in conjunction with the print command) betas : array kx1 array of estimated coefficients u : array nx1 array of residuals predy : array nx1 array of predicted y values n : integer Number of observations k : integer Number of variables for which coefficients are estimated (including the constant) Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) y : array nx1 array for dependent variable x : array Two dimensional array with n rows and one column for each independent (exogenous) variable, including the constant Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) robust : string Adjustment for robust standard errors Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) mean_y : float Mean of dependent variable std_y : float Standard deviation of dependent variable vm : array Variance covariance matrix (kxk) r2 : float R squared Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) ar2 : float Adjusted R squared Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) utu : float Sum of squared residuals sig2 : float Sigma squared used in computations Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) sig2ML : float Sigma squared (maximum likelihood) Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) f_stat : tuple Statistic (float), p-value (float) Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) logll : float Log likelihood Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) aic : float Akaike information criterion Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) schwarz : float Schwarz information criterion Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) std_err : array 1xk array of standard errors of the betas Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) t_stat : list of tuples t statistic; each tuple contains the pair (statistic, p-value), where each is a float Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) mulColli : float Multicollinearity condition number Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) jarque_bera : dictionary 'jb': Jarque-Bera statistic (float); 'pvalue': p-value (float); 'df': degrees of freedom (int) Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) breusch_pagan : dictionary 'bp': Breusch-Pagan statistic (float); 'pvalue': p-value (float); 'df': degrees of freedom (int) Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) koenker_bassett: dictionary 'kb': Koenker-Bassett statistic (float); 'pvalue': p-value (float); 'df': degrees of freedom (int). Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details). white : dictionary 'wh': White statistic (float); 'pvalue': p-value (float); 'df': degrees of freedom (int). Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) lm_error : tuple Lagrange multiplier test for spatial error model; tuple contains the pair (statistic, p-value), where each is a float. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) lm_lag : tuple Lagrange multiplier test for spatial lag model; tuple contains the pair (statistic, p-value), where each is a float. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) rlm_error : tuple Robust lagrange multiplier test for spatial error model; tuple contains the pair (statistic, p-value), where each is a float. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) rlm_lag : tuple Robust lagrange multiplier test for spatial lag model; tuple contains the pair (statistic, p-value), where each is a float. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) lm_sarma : tuple Lagrange multiplier test for spatial SARMA model; tuple contains the pair (statistic, p-value), where each is a float. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) moran_res : tuple Moran's I for the residuals; tuple containing the triple (Moran's I, standardized Moran's I, p-value) name_y : string Name of dependent variable for use in output name_x : list of strings Names of independent variables for use in output name_w : string Name of weights matrix for use in output name_gwk : string Name of kernel weights matrix for use in output name_ds : string Name of dataset for use in output name_regimes : string Name of regime variable for use in the output title : string Name of the regression method used. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) sig2n : float Sigma squared (computed with n in the denominator) sig2n_k : float Sigma squared (computed with n-k in the denominator) xtx : float :math:`X'X`. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) xtxi : float :math:`(X'X)^{-1}`. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) regimes : list List of n values with the mapping of each observation to a regime. Assumed to be aligned with 'x'. constant_regi : string Ignored if regimes=False. Constant option for regimes. Switcher controlling the constant term setup. It may take the following values: * 'one': a vector of ones is appended to x and held constant across regimes. * 'many': a vector of ones is appended to x and considered different per regime. cols2regi : list Ignored if regimes=False. Argument indicating whether each column of x should be considered as different per regime or held constant across regimes (False). If a list, k booleans indicating for each variable the option (True if one per regime, False to be held constant). If 'all', all the variables vary by regime. regime_err_sep: boolean If True, a separate regression is run for each regime. kr : int Number of variables/columns to be "regimized" or subject to change by regime. These will result in one parameter estimate by regime for each variable (i.e. nr parameters per variable) kf : int Number of variables/columns to be considered fixed or global across regimes and hence only obtain one parameter estimate. nr : int Number of different regimes in the 'regimes' list. multi : dictionary Only available when multiple regressions are estimated, i.e. when regime_err_sep=True and no variable is fixed across regimes. Contains all attributes of each individual regression. Examples -------- >>> import numpy as np >>> import libpysal >>> from spreg import OLS_Regimes Open data on NCOVR US County Homicides (3085 areas) using libpysal.io.open(). This is the DBF associated with the NAT shapefile. Note that libpysal.io.open() also reads data in CSV format; since the actual class requires data to be passed in as numpy arrays, the user can read their data in using any method. >>> db = libpysal.io.open(libpysal.examples.get_path("NAT.dbf"),'r') Extract the HR90 column (homicide rates in 1990) from the DBF file and make it the dependent variable for the regression. Note that PySAL requires this to be an numpy array of shape (n, 1) as opposed to the also common shape of (n, ) that other packages accept. >>> y_var = 'HR90' >>> y = db.by_col(y_var) >>> y = np.array(y) Extract UE90 (unemployment rate) and PS90 (population structure) vectors from the DBF to be used as independent variables in the regression. Other variables can be inserted by adding their names to x_var, such as x_var = ['Var1','Var2','...] Note that PySAL requires this to be an nxj numpy array, where j is the number of independent variables (not including a constant). By default this model adds a vector of ones to the independent variables passed in. >>> x_var = ['PS90','UE90'] >>> x = np.array([db.by_col(name) for name in x_var]).T The different regimes in this data are given according to the North and South dummy (SOUTH). >>> r_var = 'SOUTH' >>> regimes = db.by_col(r_var) We can now run the regression and then have a summary of the output by typing: olsr.summary >>> olsr = OLS_Regimes(y, x, regimes, nonspat_diag=False, name_y=y_var, name_x=['PS90','UE90'], name_regimes=r_var, name_ds='NAT') >>> print(olsr.summary) REGRESSION RESULTS ------------------ <BLANKLINE> SUMMARY OF OUTPUT: ORDINARY LEAST SQUARES ESTIMATION - REGIME 0 --------------------------------------------------------------- Data set : NAT Weights matrix : None Dependent Variable : 0_HR90 Number of Observations: 1673 Mean dependent var : 3.3416 Number of Variables : 3 S.D. dependent var : 4.6795 Degrees of Freedom : 1670 R-squared : 0.1271 Adjusted R-squared : 0.1260 <BLANKLINE> ------------------------------------------------------------------------------------ Variable Coefficient Std.Error t-Statistic Probability ------------------------------------------------------------------------------------ 0_CONSTANT 0.39643 0.24816 1.59745 0.11035 0_PS90 0.65583 0.09663 6.78728 0.00000 0_UE90 0.48704 0.03629 13.42213 0.00000 ------------------------------------------------------------------------------------ Regimes variable: SOUTH <BLANKLINE> SUMMARY OF OUTPUT: ORDINARY LEAST SQUARES ESTIMATION - REGIME 1 --------------------------------------------------------------- Data set : NAT Weights matrix : None Dependent Variable : 1_HR90 Number of Observations: 1412 Mean dependent var : 9.5493 Number of Variables : 3 S.D. dependent var : 7.0389 Degrees of Freedom : 1409 R-squared : 0.0661 Adjusted R-squared : 0.0647 <BLANKLINE> ------------------------------------------------------------------------------------ Variable Coefficient Std.Error t-Statistic Probability ------------------------------------------------------------------------------------ 1_CONSTANT 5.59835 0.46895 11.93816 0.00000 1_PS90 1.16210 0.21667 5.36338 0.00000 1_UE90 0.53164 0.05946 8.94164 0.00000 ------------------------------------------------------------------------------------ Regimes variable: SOUTH ------------------------------------------------------------------------------------ <BLANKLINE> GLOBAL DIAGNOSTICS <BLANKLINE> REGIMES DIAGNOSTICS - CHOW TEST VARIABLE DF VALUE PROB CONSTANT 1 96.129 0.0000 PS90 1 4.554 0.0328 UE90 1 0.410 0.5220 Global test 3 680.960 0.0000 ================================ END OF REPORT ===================================== """
[docs] def __init__( self, y, x, regimes, w=None, robust=None, gwk=None, slx_lags=0, slx_vars = "all", 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, latex=False, **kwargs, ): n = USER.check_arrays(y, x) y, name_y = USER.check_y(y, n, name_y) USER.check_robust(robust, gwk) if robust == "hac": if regime_err_sep: set_warn( self, "Error by regimes is not available for HAC estimation. The error by regimes has been disabled for this model.", ) regime_err_sep = False spat_diag, warn = USER.check_spat_diag(spat_diag=spat_diag, w=w, robust=robust, slx_lags=slx_lags) set_warn(self, warn) if robust in ["hac", "white"] and white_test: set_warn( self, "White test not available when standard errors are estimated by HAC or White correction.", ) white_test = False x_constant, name_x, warn = USER.check_constant(x, name_x, just_rem=True) set_warn(self, warn) name_x = USER.set_name_x(name_x, x_constant, constant=True) if spat_diag or moran or slx_lags > 0: w = USER.check_weights(w, y, slx_lags=slx_lags, w_required=True, allow_wk=True) else: w = USER.check_weights(w, y, slx_lags=slx_lags, allow_wk=True) if slx_lags > 0: x_constant,name_x = USER.flex_wx(w,x=x_constant,name_x=name_x,constant=False, slx_lags=slx_lags,slx_vars=slx_vars) set_warn(self,"WX is computed using the complete W, i.e. not trimmed by regimes.") self.slx_lags = slx_lags self.name_x_r = USER.set_name_x(name_x, x_constant) 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) regimes, name_regimes = USER.check_reg_list(regimes, name_regimes, n) self.name_regimes = USER.set_name_ds(name_regimes) self.n = n cols2regi = REGI.check_cols2regi( constant_regi, cols2regi, x_constant, add_cons=False ) self.regimes_set = REGI._get_regimes_set(regimes) self.regimes = regimes USER.check_regimes(self.regimes_set, self.n, x_constant.shape[1]) self.regime_err_sep = regime_err_sep if ( regime_err_sep == True and set(cols2regi) == set([True]) and constant_regi == "many" ): self.y = y regi_ids = dict( (r, list(np.where(np.array(regimes) == r)[0])) for r in self.regimes_set ) self._ols_regimes_multi( x_constant, w, regi_ids, cores, gwk, slx_lags, sig2n_k, robust, nonspat_diag, spat_diag, vm, name_x, moran, white_test, latex ) else: x, self.name_x, xtype, x_rlist = REGI.Regimes_Frame.__init__( self, x_constant, regimes, constant_regi, cols2regi, name_x, rlist=True ) self.output = pd.DataFrame(self.name_x, columns=['var_names']) self.output['var_type'] = xtype self.output['regime'] = x_rlist self.output['equation'] = 0 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)" ) if slx_lags > 0: self.title = "ORDINARY LEAST SQUARES WITH SLX - REGIMES (Group-wise heteroskedasticity)" nonspat_diag = None set_warn( self, "Residuals treated as homoskedastic for the purpose of diagnostics.", ) else: if slx_lags == 0: self.title = "ORDINARY LEAST SQUARES - REGIMES" else: self.title = "ORDINARY LEAST SQUARES WITH SLX - REGIMES" self.robust = USER.set_robust(robust) self.chow = REGI.Chow(self) self.other_mid, other_end = ("", "") # strings where function-specific diag. are stored if nonspat_diag: self.other_mid += _nonspat_mid(self, white_test=white_test) top_diag = _nonspat_top(self) try: self.other_top += top_diag except: self.other_top = top_diag if spat_diag: other_end += _spat_diag_out(self, w, 'ols', moran=moran) #Must decide what to do with W. output(reg=self, vm=vm, robust=robust, other_end=other_end, latex=latex)
def _ols_regimes_multi( self, x, w, regi_ids, cores, gwk, slx_lags, sig2n_k, robust, nonspat_diag, spat_diag, vm, name_x, moran, white_test, latex ): results_p = {} """ for r in self.regimes_set: if system() == 'Windows': is_win = True results_p[r] = _work(*(self.y,x,w,regi_ids,r,robust,sig2n_k,self.name_ds,self.name_y,name_x,self.name_w,self.name_regimes)) else: pool = mp.Pool(cores) results_p[r] = pool.apply_async(_work,args=(self.y,x,w,regi_ids,r,robust,sig2n_k,self.name_ds,self.name_y,name_x,self.name_w,self.name_regimes)) is_win = False """ x_constant, name_x = REGI.check_const_regi(self, x, name_x, regi_ids) self.name_x_r = name_x for r in self.regimes_set: if cores: pool = mp.Pool(None) results_p[r] = pool.apply_async( _work, args=( self.y, x_constant, w, regi_ids, r, robust, sig2n_k, self.name_ds, self.name_y, name_x, self.name_w, self.name_regimes, slx_lags ), ) else: results_p[r] = _work( *( self.y, x_constant, w, regi_ids, r, robust, sig2n_k, self.name_ds, self.name_y, name_x, self.name_w, self.name_regimes, slx_lags ) ) self.kryd = 0 self.kr = x_constant.shape[1] self.kf = 0 self.nr = len(self.regimes_set) self.vm = np.zeros((self.nr * self.kr, self.nr * self.kr), float) self.betas = np.zeros((self.nr * self.kr, 1), float) self.u = np.zeros((self.n, 1), float) self.predy = np.zeros((self.n, 1), float) """ if not is_win: pool.close() pool.join() """ if cores: pool.close() pool.join() results = {} self.name_y, self.name_x = [], [] counter = 0 self.output = pd.DataFrame(columns=['var_names', 'var_type', 'regime', 'equation']) for r in self.regimes_set: """ if is_win: results[r] = results_p[r] else: results[r] = results_p[r].get() """ if not cores: results[r] = results_p[r] else: results[r] = results_p[r].get() self.vm[ (counter * self.kr): ((counter + 1) * self.kr), (counter * self.kr): ((counter + 1) * self.kr), ] = results[r].vm self.betas[ (counter * self.kr): ((counter + 1) * self.kr), ] = results[r].betas self.u[ regi_ids[r], ] = results[r].u self.predy[ regi_ids[r], ] = results[r].predy self.name_y += results[r].name_y self.name_x += results[r].name_x self.output = pd.concat([self.output, pd.DataFrame({'var_names': results[r].name_x, 'var_type': ['o']+['x']*(len(results[r].name_x)-1), 'regime': r, 'equation': r})], ignore_index=True) try: results[r].other_top = self.other_top except: results[r].other_top = "" results[r].other_mid = "" if nonspat_diag: results[r].other_mid += _nonspat_mid(results[r], white_test=white_test) results[r].other_top += _nonspat_top(results[r]) counter += 1 self.multi = results self.hac_var = x_constant[:, 1:] if robust == "hac": hac_multi(self, gwk) self.chow = REGI.Chow(self) other_end = "" if spat_diag: self._get_spat_diag_props(x_constant, sig2n_k) other_end += _spat_diag_out(self, w, 'ols', moran=moran) #Need to consider W output(reg=self, vm=vm, robust=robust, other_end=other_end, latex=latex) def _get_spat_diag_props(self, x, sig2n_k): self.k = self.kr self._cache = {} 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 _work( y, x, w, regi_ids, r, robust, sig2n_k, name_ds, name_y, name_x, name_w, name_regimes, slx_lags ): y_r = y[regi_ids[r]] x_r = x[regi_ids[r]] # x_constant,name_x,warn = USER.check_constant(x_r, name_x) # name_x = USER.set_name_x(name_x, x_constant) if robust == "hac": robust = None model = BaseOLS(y_r, x_r, robust=robust, sig2n_k=sig2n_k) if slx_lags == 0: model.title = "ORDINARY LEAST SQUARES ESTIMATION - REGIME %s" % r else: model.title = "ORDINARY LEAST SQUARES ESTIMATION WITH SLX - 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 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
[docs] class OLS_Endog_Regimes(OLS_Regimes): """ Ordinary least squares with endogenous regimes. Based on the function skater_reg as shown in :cite:`Anselin2021`. Parameters ---------- y : numpy.ndarray or pandas.Series nx1 array for dependent variable x : numpy.ndarray or pandas object Two dimensional array with n rows and one column for each independent (exogenous) variable, excluding the constant w : pysal W object Spatial weights object (required if running spatial diagnostics) n_clusters : int Number of clusters to be used in the endogenous regimes. If None (default), the number of clusters will be chosen according to the function utils.optim_k using a method adapted from Mojena (1977)'s Rule Two quorum : int Minimum number of observations in a cluster to be considered Must be at least larger than the number of variables in x Default value is 30 or 10*k, whichever is larger. trace : boolean Sets whether to store intermediate results of the clustering Hard-coded to True if n_clusters is None name_y : string Name of dependent variable for use in output name_x : list of strings Names of independent variables for use in output name_w : string Name of weights matrix for use in output name_ds : string Name of dataset for use in output latex : boolean Specifies if summary is to be printed in latex format **kwargs : additional keyword arguments depending on the specific model Attributes ---------- output : dataframe regression results pandas dataframe summary : string Summary of regression results and diagnostics (note: use in conjunction with the print command) betas : array kx1 array of estimated coefficients u : array nx1 array of residuals predy : array nx1 array of predicted y values n : integer Number of observations k : integer Number of variables for which coefficients are estimated (including the constant) Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) y : array nx1 array for dependent variable x : array Two dimensional array with n rows and one column for each independent (exogenous) variable, including the constant Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) robust : string Adjustment for robust standard errors Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) mean_y : float Mean of dependent variable std_y : float Standard deviation of dependent variable vm : array Variance covariance matrix (kxk) r2 : float R squared Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) ar2 : float Adjusted R squared Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) utu : float Sum of squared residuals sig2 : float Sigma squared used in computations Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) sig2ML : float Sigma squared (maximum likelihood) Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) f_stat : tuple Statistic (float), p-value (float) Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) logll : float Log likelihood Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) aic : float Akaike information criterion Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) schwarz : float Schwarz information criterion Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) std_err : array 1xk array of standard errors of the betas Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) t_stat : list of tuples t statistic; each tuple contains the pair (statistic, p-value), where each is a float Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) mulColli : float Multicollinearity condition number Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) jarque_bera : dictionary 'jb': Jarque-Bera statistic (float); 'pvalue': p-value (float); 'df': degrees of freedom (int) Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) breusch_pagan : dictionary 'bp': Breusch-Pagan statistic (float); 'pvalue': p-value (float); 'df': degrees of freedom (int) Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) koenker_bassett: dictionary 'kb': Koenker-Bassett statistic (float); 'pvalue': p-value (float); 'df': degrees of freedom (int). Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details). white : dictionary 'wh': White statistic (float); 'pvalue': p-value (float); 'df': degrees of freedom (int). Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) lm_error : tuple Lagrange multiplier test for spatial error model; tuple contains the pair (statistic, p-value), where each is a float. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) lm_lag : tuple Lagrange multiplier test for spatial lag model; tuple contains the pair (statistic, p-value), where each is a float. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) rlm_error : tuple Robust lagrange multiplier test for spatial error model; tuple contains the pair (statistic, p-value), where each is a float. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) rlm_lag : tuple Robust lagrange multiplier test for spatial lag model; tuple contains the pair (statistic, p-value), where each is a float. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) lm_sarma : tuple Lagrange multiplier test for spatial SARMA model; tuple contains the pair (statistic, p-value), where each is a float. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) moran_res : tuple Moran's I for the residuals; tuple containing the triple (Moran's I, standardized Moran's I, p-value) name_y : string Name of dependent variable for use in output name_x : list of strings Names of independent variables for use in output name_w : string Name of weights matrix for use in output name_gwk : string Name of kernel weights matrix for use in output name_ds : string Name of dataset for use in output name_regimes : string Name of regime variable for use in the output title : string Name of the regression method used. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) sig2n : float Sigma squared (computed with n in the denominator) sig2n_k : float Sigma squared (computed with n-k in the denominator) xtx : float :math:`X'X`. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) xtxi : float :math:`(X'X)^{-1}`. Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) regimes : list List of n values with the mapping of each observation to a regime. Assumed to be aligned with 'x'. constant_regi : string Ignored if regimes=False. Constant option for regimes. Switcher controlling the constant term setup. It may take the following values: * 'one': a vector of ones is appended to x and held constant across regimes. * 'many': a vector of ones is appended to x and considered different per regime. cols2regi : list Ignored if regimes=False. Argument indicating whether each column of x should be considered as different per regime or held constant across regimes (False). If a list, k booleans indicating for each variable the option (True if one per regime, False to be held constant). If 'all', all the variables vary by regime. regime_err_sep: boolean If True, a separate regression is run for each regime. kr : int Number of variables/columns to be "regimized" or subject to change by regime. These will result in one parameter estimate by regime for each variable (i.e. nr parameters per variable) kf : int Number of variables/columns to be considered fixed or global across regimes and hence only obtain one parameter estimate. nr : int Number of different regimes in the 'regimes' list. multi : dictionary Only available when multiple regressions are estimated, i.e. when regime_err_sep=True and no variable is fixed across regimes. Contains all attributes of each individual regression. SSR : list list with the total sum of squared residuals for the model considering all regimes for each of steps of number of regimes considered, starting with the solution with 2 regimes. clusters : int Number of clusters considered in the endogenous regimes _trace : list List of dictionaries with the clustering results for each number of clusters tested. Only available if n_clusters is None or trace=True. Examples -------- >>> import libpysal >>> import numpy as np >>> np.set_printoptions(legacy='1.25') #to avoid printing issues with numpy floats >>> import geopandas as gpd >>> from spreg import OLS_Endog_Regimes Open data on Baltimore house sales price and characteristics in Baltimore from libpysal examples using geopandas. >>> db = gpd.read_file(libpysal.examples.get_path('baltim.shp')) We will create a weights matrix based on contiguity. >>> w = libpysal.weights.Queen.from_dataframe(db, use_index=True) >>> w.transform = "r" For this example, we will use the 'PRICE' column as the dependent variable and the 'NROOM', 'AGE', and 'SQFT' columns as independent variables. At this point, we will let the model choose the number of clusters. >>> olsr = OLS_Endog_Regimes(y=db['PRICE'], x=db[['NROOM','AGE','SQFT']], w=w, name_w="baltim_q.gal") The function `print(olsr.summary)` can be used to visualize the results of the regression. Alternatively, we can check individual attributes: >>> olsr.betas array([[26.24209866], [ 2.40329959], [-0.24183707], [ 0.45714794], [19.84817747], [ 5.12117483], [-0.65466516], [ 1.10034154]]) >>> olsr.SSR [68840.74965798721, 62741.55717492997] >>> olsr.clusters array([0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 0, 0, 1, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 1, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 1, 1, 1, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1, 1, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 1], dtype=int32) We will now set the number of clusters to 2 and run the regression again. >>> olsr = OLS_Endog_Regimes(y=db['PRICE'], x=db[['NROOM','AGE','SQFT']], w=w, n_clusters=2, name_w="baltim_q.gal") The function `print(olsr.summary)` can be used to visualize the results of the regression. Alternatively, we can check individual attributes as before: >>> olsr.betas array([[26.24209866], [ 2.40329959], [-0.24183707], [ 0.45714794], [19.84817747], [ 5.12117483], [-0.65466516], [ 1.10034154]]) >>> olsr.SSR [68840.74965798721] >>> olsr.clusters array([0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 0, 0, 1, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 1, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 1, 1, 1, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1, 1, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 1], dtype=int32) """
[docs] def __init__( self, y, x, w, n_clusters=None, quorum=-1, trace=True, name_y=None, name_x=None, constant_regi='many', cols2regi='all', regime_err_sep=True, **kwargs): n = USER.check_arrays(y, x) y, name_y = USER.check_y(y, n, name_y) w = USER.check_weights(w, y, w_required=True) x_constant, name_x, warn = USER.check_constant(x, name_x, just_rem=True) set_warn(self, warn) warn = USER.check_regi_args(constant_regi, cols2regi, regime_err_sep) set_warn(self, warn) # Standardize the variables x_std = (x_constant - np.mean(x_constant, axis=0)) / np.std(x_constant, axis=0) if quorum < 0: quorum = np.max([(x_constant.shape[1]+1)*10, 30]) if not n_clusters: n_clusters_opt = x_constant.shape[0]*0.70//quorum if n_clusters_opt < 2: raise ValueError( "The combination of the values of `N` and `quorum` is not compatible with regimes estimation.") sk_reg_results = Skater_reg().fit(n_clusters_opt, w, x_std, {'reg':BaseOLS,'y':y,'x':x_constant}, quorum=quorum, trace=True) n_clusters = optim_k([sk_reg_results._trace[i][1][2] for i in range(1, len(sk_reg_results._trace))]) self.clusters = sk_reg_results._trace[n_clusters-1][0] self.score = sk_reg_results._trace[n_clusters-1][1][2] else: try: # Call the Skater_reg method based on OLS sk_reg_results = Skater_reg().fit(n_clusters, w, x_std, {'reg':BaseOLS,'y':y,'x':x_constant}, quorum=quorum, trace=trace) self.clusters = sk_reg_results.current_labels_ self.score = sk_reg_results._trace[-1][1][2] except Exception as e: if str(e) == "one or more input arrays have more columns than rows": raise ValueError("One or more input ended up with more variables than observations. Please check your setting for `quorum`.") else: print("An error occurred:", e) self._trace = sk_reg_results._trace self.SSR = [self._trace[i][1][2] for i in range(1, len(self._trace))] OLS_Regimes.__init__(self, y, x_constant, regimes=self.clusters, w=w, name_regimes='Skater_reg', name_y=name_y, name_x=name_x, constant_regi='many', cols2regi='all', regime_err_sep=True, **kwargs)
def _test(): import doctest start_suppress = np.get_printoptions()["suppress"] np.set_printoptions(suppress=True) doctest.testmod() np.set_printoptions(suppress=start_suppress) if __name__ == "__main__": _test() import numpy as np import libpysal from spreg import OLS_Regimes db = libpysal.io.open(libpysal.examples.get_path("NAT.dbf"), "r") y_var = "HR90" y = np.array(db.by_col(y_var)).reshape(-1,1) x_var = ['PS90','UE90'] x = np.array([db.by_col(name) for name in x_var]).T r_var = "SOUTH" regimes = db.by_col(r_var) w = libpysal.weights.Rook.from_shapefile(libpysal.examples.get_path("NAT.shp")) w.transform = "r" olsr = OLS_Regimes( y, x, regimes, w=w, constant_regi="many", nonspat_diag=True, spat_diag=True, name_y=y_var, name_x=x_var, name_ds="NAT", name_regimes=r_var, regime_err_sep=True, cols2regi=[True, True], sig2n_k=False, white_test=True, #robust="white" ) print(olsr.output) print(olsr.summary)