spreg.GM_Endog_Error¶

class spreg.GM_Endog_Error(y, x, yend, q, w, slx_lags=0, slx_vars='All', vm=False, name_y=None, name_x=None, name_yend=None, name_q=None, name_w=None, name_ds=None, latex=False, hard_bound=False)[source]¶

GMM method for a spatial error model with endogenous variables, with results and diagnostics; based on Kelejian and Prucha (1998, 1999) [KP98] [KP99].

Parameters:

ynumpy.ndarray or pandas.Series: nx1 array for dependent variable
xnumpy.ndarray or pandas object: Two dimensional array with n rows and one column for each independent (exogenous) variable, excluding the constant
yendnumpy.ndarray or pandas object: Two dimensional array with n rows and one column for each endogenous variable
qnumpy.ndarray or pandas object: 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)
wpysal W object: Spatial weights object (always needed)
slx_lagsinteger: Number of spatial lags of X to include in the model specification. If slx_lags>0, the specification becomes of the SLX-Error type.
slx_varseither “All” (default) or list of booleans to select x variables: to be lagged
vmbool: If True, include variance-covariance matrix in summary results
name_ystr: Name of dependent variable for use in output
name_xlist of strings: Names of independent variables for use in output
name_yendlist of strings: Names of endogenous variables for use in output
name_qlist of strings: Names of instruments for use in output
name_wstr: Name of weights matrix for use in output
name_dsstr: Name of dataset for use in output
latexbool: Specifies if summary is to be printed in latex format
hard_boundbool: If true, raises an exception if the estimated spatial autoregressive parameter is outside the maximum/minimum bounds.
Attributes
———-
outputdataframe: regression results pandas dataframe
summarystr: Summary of regression results and diagnostics (note: use in conjunction with the print command)
betasarray: kx1 array of estimated coefficients
uarray: nx1 array of residuals
e_filteredarray: nx1 array of spatially filtered residuals
predyarray: nx1 array of predicted y values
ninteger: Number of observations
kinteger: Number of variables for which coefficients are estimated (including the constant)
yarray: nx1 array for dependent variable
xarray: Two dimensional array with n rows and one column for each independent (exogenous) variable, including the constant
yendarray: Two dimensional array with n rows and one column for each endogenous variable
zarray: nxk array of variables (combination of x and yend)
mean_yfloat: Mean of dependent variable
std_yfloat: Standard deviation of dependent variable
vmarray: Variance covariance matrix (kxk)
pr2float: Pseudo R squared (squared correlation between y and ypred)
sig2float: Sigma squared used in computations
std_errarray: 1xk array of standard errors of the betas
z_statlist of tuples: z statistic; each tuple contains the pair (statistic, p-value), where each is a float
name_ystr: Name of dependent variable for use in output
name_xlist of strings: Names of independent variables for use in output
name_yendlist of strings: Names of endogenous variables for use in output
name_zlist of strings: Names of exogenous and endogenous variables for use in output
name_qlist of strings: Names of external instruments
name_hlist of strings: Names of all instruments used in ouput
name_wstr: Name of weights matrix for use in output
name_dsstr: Name of dataset for use in output
titlestr: Name of the regression method used

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 libpysal
>>> import numpy as np

Open data on Columbus neighborhood crime (49 areas) using libpysal.io.open(). This is the DBF associated with the Columbus 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.

>>> dbf = libpysal.io.open(libpysal.examples.get_path("columbus.dbf"),'r')

Extract the CRIME column (crime rates) 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 = np.array([dbf.by_col('CRIME')]).T

Extract INC (income) vector from the DBF to be used as independent variables in the regression. 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 = np.array([dbf.by_col('INC')]).T

In this case we consider HOVAL (home value) is an endogenous regressor. We tell the model that this is so by passing it in a different parameter from the exogenous variables (x).

>>> yend = np.array([dbf.by_col('HOVAL')]).T

Because we have endogenous variables, to obtain a correct estimate of the model, we need to instrument for HOVAL. We use DISCBD (distance to the CBD) for this and hence put it in the instruments parameter, ‘q’.

>>> q = np.array([dbf.by_col('DISCBD')]).T

Since we want to run a spatial error model, 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 use columbus.gal, which contains contiguity relationships between the observations in the Columbus dataset we are using throughout this example. Note that, in order to read the file, not only to open it, we need to append ‘.read()’ at the end of the command.

>>> w = libpysal.io.open(libpysal.examples.get_path("columbus.gal"), 'r').read()

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 are all set with the preliminars, we are good to run the model. In this case, we will need the variables (exogenous and endogenous), the instruments and the weights matrix. If we want to have the names of the variables printed in the output summary, we will have to pass them in as well, although this is optional.

>>> from spreg import GM_Endog_Error
>>> model = GM_Endog_Error(y, x, yend, q, w=w, name_x=['inc'], name_y='crime', name_yend=['hoval'], name_q=['discbd'], name_ds='columbus')

Once we have run the model, we can explore a little bit the output. The regression object we have created has many attributes so take your time to discover them. Note that because we are running the classical GMM error model from 1998/99, the spatial parameter is obtained as a point estimate, so although you get a value for it (there are for coefficients under model.betas), you cannot perform inference on it (there are only three values in model.se_betas). Also, this regression uses a two stage least squares estimation method that accounts for the endogeneity created by the endogenous variables included.

>>> print(model.name_z)
['CONSTANT', 'inc', 'hoval', 'lambda']
>>> np.around(model.betas, decimals=4)
array([[82.5723],
       [ 0.581 ],
       [-1.4481],
       [ 0.3499]])
>>> np.around(model.std_err, decimals=4)
array([16.1382,  1.3545,  0.7862])

__init__(y, x, yend, q, w, slx_lags=0, slx_vars='All', vm=False, name_y=None, name_x=None, name_yend=None, name_q=None, name_w=None, name_ds=None, latex=False, hard_bound=False)[source]¶

Methods

__init__(y, x, yend, q, w[, slx_lags, ...])

Attributes

`mean_y`
`std_y`

property mean_y¶

property std_y¶