spreg.GM_Lag_Regimes

class spreg.GM_Lag_Regimes(y, x, regimes, yend=None, q=None, w=None, w_lags=1, slx_lags=0, lag_q=True, robust='white', gwk=None, sig2n_k=False, spat_diag=True, spat_impacts='simple', constant_regi='many', cols2regi='all', regime_lag_sep=False, regime_err_sep=False, 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, latex=False, hard_bound=False)[source]

Spatial two stage least squares (S2SLS) with regimes; [Ans88]

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

regimeslist or pandas.Series

List of n values with the mapping of each observation to a regime. Assumed to be aligned with ‘x’.

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); cannot be used in combination with h

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).

cols2regilist, ‘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.

wpysal W object

Spatial weights object

w_lagsinteger

Orders of W to include as instruments for the spatially lagged dependent variable. For example, w_lags=1, then instruments are WX; if w_lags=2, then WX, WWX; and so on.

lag_qbool

If True, then include spatial lags of the additional instruments (q).

slx_lagsinteger

Number of spatial lags of X to include in the model specification. If slx_lags>0, the specification becomes of the Spatial Durbin type.

regime_lag_sep: boolean

If True (default), the spatial parameter for spatial lag is also computed according to different regimes. If False, the spatial parameter is fixed accross regimes. Option valid only when regime_err_sep=True

regime_err_sep: boolean

If True, a separate regression is run for each regime.

robuststr

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.

gwkpysal W object

Kernel spatial weights needed for HAC estimation. Note: matrix must have ones along the main diagonal.

sig2n_kbool

If True, then use n-k to estimate sigma^2. If False, use n.

spat_impactsstr or list
Include average direct impact (ADI), average indirect impact (AII),

and average total impact (ATI) in summary results. Options are ‘simple’, ‘full’, ‘power’, ‘all’ or None. See sputils.spmultiplier for more information.

spat_diagbool

If True, then compute Anselin-Kelejian test and Common Factor Hypothesis test (if applicable)

vmbool

If True, include variance-covariance matrix in summary results

coresbool

Specifies if multiprocessing is to be used Default: no multiprocessing, cores = False Note: Multiprocessing may not work on all platforms.

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_gwkstr

Name of kernel weights matrix for use in output

name_dsstr

Name of dataset for use in output

name_regimesstr

Name of regimes variable for use in output

latexbool

Specifies if summary is to be printed in latex format

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_predarray

nx1 array of residuals (using reduced form)

predyarray

nx1 array of predicted y values

predy_earray

nx1 array of predicted y values (using reduced form)

ninteger

Number of observations

kinteger

Number of variables for which coefficients are estimated (including the constant) Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

kstarinteger

Number of endogenous variables. Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

yarray

nx1 array for dependent variable

xarray

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)

yendarray

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)

qarray

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)

zarray

nxk array of variables (combination of x and yend) Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

harray

nxl array of instruments (combination of x and q) Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

robuststr

Adjustment for robust standard errors Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

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) Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

pr2_efloat

Pseudo R squared (squared correlation between y and ypred_e (using reduced form)) Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

utufloat

Sum of squared residuals

sig2float

Sigma squared used in computations Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

std_errarray

1xk array of standard errors of the betas Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

z_statlist of tuples

z 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)

ak_testtuple

Anselin-Kelejian test; tuple contains the pair (statistic, p-value) Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

cfh_testtuple

Common Factor Hypothesis test; tuple contains the pair (statistic, p-value). Only when it applies (see specific documentation).

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_gwkstr

Name of kernel weights matrix for use in output

name_dsstr

Name of dataset for use in output

name_regimesstr

Name of regimes variable for use in output

titlestr

Name of the regression method used Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

sig2nfloat

Sigma squared (computed with n in the denominator)

sig2n_kfloat

Sigma squared (computed with n-k in the denominator)

hthfloat

\(H'H\). Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

hthifloat

\((H'H)^{-1}\). Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

varbarray

\((Z'H (H'H)^{-1} H'Z)^{-1}\). Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

zthhthiarray

\(Z'H(H'H)^{-1}\). Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

pfora1a2array

n(zthhthi)’varb Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

sp_multipliers: dict

Dictionary of spatial multipliers (if spat_impacts is not None) Only available in dictionary ‘multi’ when multiple regressions (see ‘multi’ below for details)

regimeslist

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.

cols2regilist, ‘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_lag_sep: boolean

If True, the spatial parameter for spatial lag is also computed according to different regimes. If False (default), the spatial parameter is fixed accross regimes.

regime_err_sep: boolean

If True, a separate regression is run for each regime.

krint

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)

kfint

Number of variables/columns to be considered fixed or global across regimes and hence only obtain one parameter estimate

nrint

Number of different regimes in the ‘regimes’ list

multidictionary

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 import examples

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(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 = 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

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 run a spatial lag model, we need to specify the spatial weights matrix that includes the spatial configuration of the observations. 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.

>>> from libpysal import weights
>>> w = weights.Rook.from_shapefile(examples.get_path("NAT.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'

This class runs a lag model, which means that includes the spatial lag of the dependent variable on the right-hand side of the equation. 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_Lag_Regimes
>>> model=GM_Lag_Regimes(y, x, regimes, w=w, regime_lag_sep=False, regime_err_sep=False, name_y=y_var, name_x=x_var, name_regimes=r_var, name_ds='NAT', name_w='NAT.shp')
>>> model.betas
array([[ 1.28897623],
       [ 0.79777722],
       [ 0.56366891],
       [ 8.73327838],
       [ 1.30433406],
       [ 0.62418643],
       [-0.39993716]])

Once the model is run, we can have a summary of the output by typing: model.summary . Alternatively, we can obtain the standard error of the coefficient estimates by calling:

>>> model.std_err
array([0.38492902, 0.19106926, 0.06063249, 1.25607153, 0.36117334,
       0.092293  , 0.15116983])

In the example above, all coefficients but the spatial lag vary according to the regime. It is also possible to have the spatial lag varying according to the regime, which effective will result in an independent spatial lag model estimated for each regime. To run these models, the argument regime_lag_sep must be set to True:

>>> model=GM_Lag_Regimes(y, x, regimes, w=w, regime_lag_sep=True, name_y=y_var, name_x=x_var, name_regimes=r_var, name_ds='NAT', name_w='NAT.shp')
>>> print(model.output)
    var_names coefficients   std_err   zt_stat      prob
0  0_CONSTANT     1.365848  0.385177  3.546023  0.000391
1      0_PS90     0.808757  0.206672   3.91325  0.000091
2      0_UE90     0.569468  0.067703  8.411247       0.0
3    0_W_HR90    -0.434244  0.177208 -2.450478  0.014267
4  1_CONSTANT     7.907311  1.772336  4.461518  0.000008
5      1_PS90     1.274657  0.368306  3.460869  0.000538
6      1_UE90     0.601677  0.102102  5.892907       0.0
7    1_W_HR90    -0.296034  0.226243 -1.308474  0.190712

Alternatively, we can type: ‘model.summary’ to see the organized results output. The class is flexible enough to accomodate a spatial lag model that, besides the spatial lag of the dependent variable, includes other non-spatial endogenous regressors. As an example, we will add the endogenous variable RD90 (resource deprivation) and we decide to instrument for it with FP89 (families below poverty):

>>> yd_var = ['RD90']
>>> yd = np.array([db.by_col(name) for name in yd_var]).T
>>> q_var = ['FP89']
>>> q = np.array([db.by_col(name) for name in q_var]).T

And we can run the model again:

>>> model = GM_Lag_Regimes(y, x, regimes, yend=yd, q=q, w=w, regime_lag_sep=False, regime_err_sep=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')
>>> model.betas
array([[ 3.42195202],
       [ 1.03311878],
       [ 0.14308741],
       [ 8.99740066],
       [ 1.91877758],
       [-0.32084816],
       [ 2.38918212],
       [ 3.67243761],
       [ 0.06959139]])

Once the model is run, we can obtain the standard error of the coefficient estimates. Alternatively, we can have a summary of the output by typing: model.summary

>>> model.std_err
array([0.49529467, 0.18912143, 0.05157813, 0.92277557, 0.33711135,
       0.08993181, 0.33506177, 0.36381449, 0.07209498])
__init__(y, x, regimes, yend=None, q=None, w=None, w_lags=1, slx_lags=0, lag_q=True, robust='white', gwk=None, sig2n_k=False, spat_diag=True, spat_impacts='simple', constant_regi='many', cols2regi='all', regime_lag_sep=False, regime_err_sep=False, 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, latex=False, hard_bound=False)[source]

Methods

GM_Lag_Regimes_Multi(y, x, w_i, w, regi_ids)

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

sp_att_reg(w_i, regi_ids, wy)

Attributes

mean_y

pfora1a2

sig2n

sig2n_k

std_y

utu

vm

GM_Lag_Regimes_Multi(y, x, w_i, w, regi_ids, cores=False, yend=None, q=None, w_lags=1, slx_lags=0, lag_q=True, robust=None, gwk=None, sig2n_k=False, cols2regi='all', spat_impacts=False, spat_diag=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, latex=False, hard_bound=False)[source]
property mean_y
property pfora1a2
property sig2n
property sig2n_k
sp_att_reg(w_i, regi_ids, wy)[source]
property std_y
property utu
property vm