Source code for spreg.twosls_regimes

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, sphstack, get_lags
from .twosls import BaseTSLS
from .robust import hac_multi
from .output import output, _spat_diag_out

"""
Two-stage Least Squares estimation with regimes.
"""

__author__ = "Luc Anselin, Pedro V. Amaral, David C. Folch"


[docs]class TSLS_Regimes(BaseTSLS, REGI.Regimes_Frame): """ Two stage least squares (2SLS) with regimes. Parameters ---------- y : array nx1 array for dependent variable x : array Two dimensional array with n rows and one column for each independent (exogenous) variable, excluding the constant yend : array Two dimensional array with n rows and one column for each endogenous variable q : array Two dimensional array with n rows and one column for each external exogenous variable to use as instruments (note: this should not contain any variables from x) regimes : list List of n values with the mapping of each observation to a regime. Assumed to be aligned with 'x'. constant_regi: string 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. 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. If 'ogmm', then Optimal GMM is used to estimate betas and the variance-covariance matrix. 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 sig2n_k : boolean If True, then use n-k to estimate sigma^2. If False, use n. vm : boolean If True, include variance-covariance matrix in summary 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_yend : list of strings Names of endogenous variables for use in output name_q : list of strings Names of instruments for use in output name_regimes : string Name of regimes variable 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 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 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) yend : array Two dimensional array with n rows and one column for each endogenous variable Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) q : array Two dimensional array with n rows and one column for each external exogenous variable used as instruments Only available in dictionary 'multi' when multiple regressions (see 'multi' below for details) vm : array Variance covariance matrix (kxk) regimes : list List of n values with the mapping of each observation to a regime. Assumed to be aligned with 'x'. constant_regi: [False, 'one', 'many'] 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 (default). cols2regi : list, 'all' 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 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_yend : list of strings Names of endogenous variables for use in output name_q : list of strings Names of instruments for use in output name_regimes : string Name of regimes variable 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 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 -------- We first need to import the needed modules, namely numpy to convert the data we read into arrays that ``spreg`` understands and ``pysal`` to perform all the analysis. >>> import numpy as np >>> import libpysal >>> from libpysal.examples import load_example >>> from libpysal.weights import Rook 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. >>> nat = load_example('Natregimes') >>> db = libpysal.io.open(nat.get_path('natregimes.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 = np.array([db.by_col(y_var)]).reshape(3085,1) 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 In this case we consider RD90 (resource deprivation) as an endogenous regressor. We tell the model that this is so by passing it in a different parameter from the exogenous variables (x). >>> yd_var = ['RD90'] >>> yd = np.array([db.by_col(name) for name in yd_var]).T Because we have endogenous variables, to obtain a correct estimate of the model, we need to instrument for RD90. We use FP89 (families below poverty) for this and hence put it in the instruments parameter, 'q'. >>> q_var = ['FP89'] >>> q = np.array([db.by_col(name) for name in q_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) Since we want to perform tests for spatial dependence, we need to specify the spatial weights matrix that includes the spatial configuration of the observations into the error component of the model. To do that, we can open an already existing gal file or create a new one. In this case, we will create one from ``NAT.shp``. >>> w = Rook.from_shapefile(nat.get_path("natregimes.shp")) Unless there is a good reason not to do it, the weights have to be row-standardized so every row of the matrix sums to one. Among other things, this allows to interpret the spatial lag of a variable as the average value of the neighboring observations. In PySAL, this can be easily performed in the following way: >>> w.transform = 'r' We can now run the regression and then have a summary of the output by typing: model.summary Alternatively, we can just check the betas and standard errors of the parameters: >>> from spreg import TSLS_Regimes >>> tslsr = TSLS_Regimes(y, x, yd, q, regimes, w=w, constant_regi='many', spat_diag=False, name_y=y_var, name_x=x_var, name_yend=yd_var, name_q=q_var, name_regimes=r_var, name_ds='NAT', name_w='NAT.shp') >>> tslsr.betas array([[ 3.66973562], [ 1.06950466], [ 0.14680946], [ 2.45864196], [ 9.55873243], [ 1.94666348], [-0.30810214], [ 3.68718119]]) >>> np.sqrt(tslsr.vm.diagonal()) array([0.38389901, 0.09963973, 0.04672091, 0.22725012, 0.49181223, 0.19630774, 0.07784587, 0.25529011]) >>> print(tslsr.summary) REGRESSION RESULTS ------------------ <BLANKLINE> SUMMARY OF OUTPUT: TWO STAGE LEAST SQUARES ESTIMATION - REGIME 0 ---------------------------------------------------------------- Data set : NAT Weights matrix : NAT.shp Dependent Variable : 0_HR90 Number of Observations: 1673 Mean dependent var : 3.3416 Number of Variables : 4 S.D. dependent var : 4.6795 Degrees of Freedom : 1669 Pseudo R-squared : 0.2092 <BLANKLINE> ------------------------------------------------------------------------------------ Variable Coefficient Std.Error z-Statistic Probability ------------------------------------------------------------------------------------ 0_CONSTANT 3.6697356 0.3838990 9.5591172 0.0000000 0_PS90 1.0695047 0.0996397 10.7337170 0.0000000 0_UE90 0.1468095 0.0467209 3.1422643 0.0016765 0_RD90 2.4586420 0.2272501 10.8191009 0.0000000 ------------------------------------------------------------------------------------ Instrumented: 0_RD90 Instruments: 0_FP89 Regimes variable: SOUTH <BLANKLINE> SUMMARY OF OUTPUT: TWO STAGE LEAST SQUARES ESTIMATION - REGIME 1 ---------------------------------------------------------------- Data set : NAT Weights matrix : NAT.shp Dependent Variable : 1_HR90 Number of Observations: 1412 Mean dependent var : 9.5493 Number of Variables : 4 S.D. dependent var : 7.0389 Degrees of Freedom : 1408 Pseudo R-squared : 0.2987 <BLANKLINE> ------------------------------------------------------------------------------------ Variable Coefficient Std.Error z-Statistic Probability ------------------------------------------------------------------------------------ 1_CONSTANT 9.5587324 0.4918122 19.4357356 0.0000000 1_PS90 1.9466635 0.1963077 9.9163867 0.0000000 1_UE90 -0.3081021 0.0778459 -3.9578483 0.0000756 1_RD90 3.6871812 0.2552901 14.4431026 0.0000000 ------------------------------------------------------------------------------------ Instrumented: 1_RD90 Instruments: 1_FP89 Regimes variable: SOUTH ------------------------------------------------------------------------------------ GLOBAL DIAGNOSTICS <BLANKLINE> REGIMES DIAGNOSTICS - CHOW TEST VARIABLE DF VALUE PROB CONSTANT 1 89.093 0.0000 PS90 1 15.876 0.0001 UE90 1 25.106 0.0000 RD90 1 12.920 0.0003 Global test 4 201.237 0.0000 ================================ END OF REPORT ===================================== """
[docs] def __init__( self, y, x, yend, q, regimes, w=None, robust=None, gwk=None, slx_lags=0, 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, latex=False, ): n = USER.check_arrays(y, x) y = USER.check_y(y, n) 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 if spat_diag: set_warn( self, "Spatial diagnostics are not available for HAC estimation. The spatial diagnostics have been disabled for this model.", ) spat_diag = False USER.check_spat_diag(spat_diag, w) 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 slx_lags > 0: USER.check_weights(w, y, w_required=True) lag_x = get_lags(w, x_constant, slx_lags) x_constant = np.hstack((x_constant, lag_x)) name_x += USER.set_name_spatial_lags(name_x, slx_lags) else: USER.check_weights(w, y, w_required=False) 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_constant) + name_yend self.n = n cols2regi = REGI.check_cols2regi( constant_regi, cols2regi, x_constant, 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_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._tsls_regimes_multi( x_constant, yend, q, w, regi_ids, cores, gwk, slx_lags, sig2n_k, robust, spat_diag, vm, name_x, name_yend, name_q, summ, latex ) else: q, self.name_q = REGI.Regimes_Frame.__init__( self, q, regimes, constant_regi=None, cols2regi="all", names=name_q ) x, self.name_x, x_rlist = REGI.Regimes_Frame.__init__( self, x_constant, regimes, constant_regi, cols2regi=cols2regi, names=name_x, rlist=True ) yend, self.name_yend, yend_rlist = REGI.Regimes_Frame.__init__( self, yend, regimes, constant_regi=None, cols2regi=cols2regi, yend=True, names=name_yend, rlist=True ) self.output = pd.DataFrame(self.name_x+self.name_yend, columns=['var_names']) self.output['var_type'] = ['x']*len(self.name_x)+['yend']*len(self.name_yend) self.output['regime'] = x_rlist+yend_rlist self.output['equation'] = 0 BaseTSLS.__init__( self, y=y, x=x, yend=yend, q=q, robust=robust, gwk=gwk, sig2n_k=sig2n_k ) if slx_lags == 0: self.title = "TWO STAGE LEAST SQUARES - REGIMES" else: self.title = "TWO STAGE LEAST SQUARES WITH SPATIALLY LAGGED X (2SLS-SLX) - 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: if spat_diag: diag_out = _spat_diag_out(self, w, 'yend') else: diag_out = None output(reg=self, vm=vm, robust=robust, other_end=diag_out, latex=latex)
def _tsls_regimes_multi( self, x, yend, q, w, regi_ids, cores, gwk, slx_lags, sig2n_k, robust, spat_diag, vm, name_x, name_yend, name_q, summ, 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,yend,q,robust,sig2n_k,self.name_ds,self.name_y,name_x,name_yend,name_q,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,yend,q,robust,sig2n_k,self.name_ds,self.name_y,name_x,name_yend,name_q,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 + name_yend 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, yend, q, robust, sig2n_k, self.name_ds, self.name_y, name_x, name_yend, name_q, self.name_w, self.name_regimes, slx_lags ), ) else: results_p[r] = _work( *( self.y, x_constant, w, regi_ids, r, yend, q, robust, sig2n_k, self.name_ds, self.name_y, name_x, name_yend, name_q, self.name_w, self.name_regimes, slx_lags ) ) self.kryd = 0 self.kr = x_constant.shape[1] + yend.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, self.name_yend, self.name_q, self.name_z, self.name_h, ) = ([], [], [], [], [], []) 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.name_yend += results[r].name_yend self.name_q += results[r].name_q self.name_z += results[r].name_z self.name_h += results[r].name_h self.output = pd.concat([self.output, pd.DataFrame({'var_names': results[r].name_x+results[r].name_yend, 'var_type': ['x']*len(results[r].name_x)+['yend']*len(results[r].name_yend), 'regime': r, 'equation': r})], ignore_index=True) counter += 1 self.multi = results self.hac_var = sphstack(x_constant[:, 1:], q) if robust == "hac": hac_multi(self, gwk) if robust == "ogmm": set_warn( self, "Residuals treated as homoskedastic for the purpose of diagnostics.", ) self.chow = REGI.Chow(self) if spat_diag: self._get_spat_diag_props(results, regi_ids, x_constant, yend, q) diag_out = _spat_diag_out(self, w, 'yend') else: diag_out = None if summ: self.output.sort_values(by='regime', inplace=True) output(reg=self, vm=vm, robust=robust, other_end=diag_out, latex=latex) def _get_spat_diag_props(self, results, regi_ids, x, yend, q): self._cache = {} 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 _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, slx_lags, ): y_r = y[regi_ids[r]] x_r = x[regi_ids[r]] yend_r = yend[regi_ids[r]] q_r = q[regi_ids[r]] if robust == "hac" or robust == "ogmm": robust2 = None else: robust2 = robust model = BaseTSLS(y_r, x_r, yend_r, q_r, robust=robust2, sig2n_k=sig2n_k) if slx_lags == 0: model.title = "TWO STAGE LEAST SQUARES ESTIMATION - REGIME %s" % r else: model.title = "TWO STAGE LEAST SQUARES ESTIMATION WITH SLX - 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 def _optimal_weight(reg, sig2n_k, warn=True): try: Hu = reg.h.toarray() * reg.u ** 2 except: Hu = reg.h * reg.u ** 2 if sig2n_k: S = spdot(reg.h.T, Hu, array_out=True) / (reg.n - reg.k) else: S = spdot(reg.h.T, Hu, array_out=True) / reg.n Si = np.linalg.inv(S) ZtH = spdot(reg.z.T, reg.h) ZtHSi = spdot(ZtH, Si) fac2 = np.linalg.inv(spdot(ZtHSi, ZtH.T, array_out=True)) fac3 = spdot(ZtHSi, spdot(reg.h.T, reg.y), array_out=True) betas = np.dot(fac2, fac3) if sig2n_k: vm = fac2 * (reg.n - reg.k) else: vm = fac2 * reg.n RegressionProps_basic(reg, betas=betas, vm=vm, sig2=False) #reg.title += " (Optimal-Weighted GMM)" if warn: set_warn( reg, "Residuals treated as homoskedastic for the purpose of diagnostics." ) return 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 libpysal.examples import load_example nat = load_example("Natregimes") db = libpysal.io.open(nat.get_path("natregimes.dbf"), "r") y_var = "HR60" y = np.array([db.by_col(y_var)]).T x_var = ["PS60", "DV60", "RD60"] x = np.array([db.by_col(name) for name in x_var]).T yd_var = ["UE60"] yd = np.array([db.by_col(name) for name in yd_var]).T q_var = ["FP59", "MA60"] q = np.array([db.by_col(name) for name in q_var]).T r_var = "SOUTH" regimes = db.by_col(r_var) w = libpysal.weights.Rook.from_shapefile(nat.get_path("natregimes.shp")) w.transform = "r" tslsr = TSLS_Regimes( y, x, yd, q, regimes, w = w, constant_regi="many", spat_diag=True, name_y=y_var, name_x=x_var, name_yend=yd_var, name_q=q_var, name_regimes=r_var, #cols2regi=[False, True, True, False], sig2n_k=False, regime_err_sep = True, #robust = 'hac', vm = False ) print(tslsr.output) print(tslsr.summary)