ó áp7]c @sdZddlmZddlmZmZddlmZddlZ dgZ ddl m Z d„Z d „Zd e fd „ƒYZdefd „ƒYZd efd„ƒYZdefd„ƒYZdefd„ƒYZedkrddl Z ddl m Z ddljZddljjZejjjde ƒZ!e!j"d Z"e!j#d Z$ej%e$de"e&de ƒZ'e j(e'ƒZ)e)j*ddgƒj+ƒZ,e$ddgj-e&ƒj.ddƒZ#ej/e#de ƒZ#e e$dƒZ0e$dZ1ee"e#e0e1dddgdd ƒZ2e2j3d!d"ƒZ4e2j3d!d#d$d%ƒZ5e2j3d!d&d$d%ƒZ6e2j3d!d#d$d'ƒZ7e2j3d!d&d$d'ƒZ8e2j3d!d&d$d(ƒZ9e j:d)d)d)d*d*dddgƒZ;e;j<d)Z=e j>e;ƒZ?e j:d)d*dd*dd)d*dgƒZ@e j>e@ƒZAe;dd…dfe?kjCe&ƒZDe@dd…dfeAkjCe&ƒZEd+ZFe jGd,ƒZHe jGd-ƒZIe jJeHeDeIeEfZKe jLeKeKjMƒeFe jNe=ƒZOePeOƒePe jQjReOƒƒe jQjSeOƒ\ZTZUe jLeUd*eTeUjMƒZVe jQjWeOƒZXe jLeUeTeUjMƒZYePe jZe j[eYeOƒƒƒePe jZe j[e jLeVeOƒe jNe=ƒƒƒƒeUe jGeTƒZ\ePe jZe j[e jLe\e\jMƒeVƒƒƒe j:eHeIeFgƒZ]e j^e;e@fƒZ_ee_e]ƒ\Z`ZaZbePe jZe j[e`eOƒƒƒePe jZe j[eaeVƒƒƒePe jZe j[ebe\ƒƒƒee jLeDe jQjWe jLeDjMeDƒƒeDjMgƒZce jNe=ƒecZdePe jZe j[e jLede;ƒƒƒƒndS(.s Sandbox Panel Estimators References ----------- Baltagi, Badi H. `Econometric Analysis of Panel Data.` 4th ed. Wiley, 2008. iÿÿÿÿ(tprint_function(trangetreduce(tGLSNt PanelModel(tPanelcCsi}tjt|ƒƒ}x]tt|ƒƒD]I}|||kre|jit|ƒ||6ƒn|||||>> X = np.array(['a','a','b','c','b','c']) >>> group(X) >>> g array([ 0., 0., 1., 2., 1., 2.]) (tnptzerostlenRtupdate(tXt uniq_dicttgroupti((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyR s !c Cs|jdkr(|dd…df}n|j\}}|dtj|ƒ}xyt|ƒD]k}|dd…||d…f}tj|ƒ}||||kjtƒ}|tj ||j ƒ7}q[Wtj j |ƒ\} } tj | d| | j ƒ} | tj | ƒ} || | fS(s=calculate error covariance matrix for random effects model Parameters ---------- groups : array, (nobs, nre) or (nobs,) array of group/category observations sigma : array, (nre+1,) array of standard deviations of random effects, last element is the standard deviation of the idiosyncratic error Returns ------- omega : array, (nobs, nobs) covariance matrix of error omegainv : array, (nobs, nobs) inverse covariance matrix of error omegainvsqrt : array, (nobs, nobs) squareroot inverse covariance matrix of error such that omega = omegainvsqrt * omegainvsqrt.T Notes ----- This does not use sparse matrices and constructs nobs by nobs matrices. Also, omegainvsqrt is not sparse, i.e. elements are non-zero iNiÿÿÿÿ(tndimtNonetshapeRteyeRtuniquetastypetfloattdottTtlinalgteightsqrt( tgroupstsigmastnobstnretomegatigrR t groupuniqtdummygrtevtevectomegainvt omegainvhalf((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyt repanel_cov&s t PanelDatacBseZRS((t__name__t __module__(((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyR'RscBsteZdZd d d d d d d d„Zd„Zd„Zdeed„Zd d dd„Z d„Z d„Z RS( sà An abstract statistical model class for panel (longitudinal) datasets. Parameters ---------- endog : array-like or str If a pandas object is used then endog should be the name of the endogenous variable as a string. # exog # panel_arr # time_arr panel_data : pandas.Panel object Notes ----- If a pandas object is supplied it is assumed that the major_axis is time and that the minor_axis has the panel variable. cCs/|dkr+|j||||||ƒndS(N(Rt initialize(tselftendogtexogtpanelttimetxtnamestequationt panel_data((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyt__init__hs c Cs"|jdƒ}|d|_|d}|d|_|d|_|jdƒdk} t| kr‘tj| dkƒdd} |j| dƒn| |_ ||_ tj tj |ƒƒ|_ tj |ƒ}||_tj |ƒ|_tj |ƒ|_tj|ƒ|_tj|ƒ|_dS(sG Initialize plain array model. See PanelModel t iitconsN(tsplitt endog_namet panel_namet time_nametvartTrueRtwheretinsertt _cons_indext exog_namestsqueezetasarrayR,R-R.R/Rt paneluniqttimeuniq( R+R,R-R.R/R0R1tnamesR?tnovart cons_index((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyR*ys$         cCs–||_||j}tj|ƒ|_|dkrS|jjƒ}|j|ƒn|j |ƒj|_ ||_ ||_ |j |_|j|_dS(N(R2tvaluesRR@R,Rtcolumnsttolisttremovet filterItemsR-t _exog_namet _endog_namet major_axist _timeseriest minor_axist _panelseries(R+R2R7t exog_nameR,((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pytinitialize_pandas·s      tonewayc CsÀ|dkr!|j}|j}n1|dkrB|j}|j}ntd|ƒ‚t|||dd…dft|ƒt|ƒt|dd…dfƒ|ƒ||dd…dfkjt ƒ}|j dkrt j ||ƒ|j dƒdd…df}nt j ||ƒ|j dƒ}|tkrA|tkrA|S|tkrl|tkrl||j dƒfS|tkrš|tkrš||j dƒ|fS|tkr¼|tkr¼||fSdS(s[ Get group means of X by time or by panel. index default is panel RTR/sindex %s not understoodNi(R.RBR/RCt ValueErrortprintRRRRRRRtsumtFalseR;( R+R tindextcountstdummiestYtuniqtdummytmean((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyt _group_meanÇs*      G%2cCs§|r|jƒ}n|jƒ}|rF|d krFtd|ƒ‚n|dkrkt|j|jƒjƒS|d kr‡|j||ƒS|d kr£|j||ƒSd S( sb method : LSDV, demeaned, MLE, GLS, BE, FE, optional model : between fixed random pooled [gmm] effects : oneway time twoway femethod : demeaned (only one implemented) WLS remethod : swar - amemiya nerlove walhus Notes ----- This is unfinished. None of the method arguments work yet. Only oneway effects should work. tlsdvtdemeanedtmletglstbetfes%s not a valid methodtpooledtbetweentfixedN(RaRbRcRdReRf(tlowerRURR,R-tfitt _fit_btwnt _fit_fixed(R+tmodeltmethodteffects((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyRkçs      cCsh|dkr?|j|jd|ƒ}|j|jd|ƒ}ntd|ƒ‚t||ƒjƒ}|S(NttwowayRYs1%s effects is not valid for the between estimator(R`R,R-RURRk(R+RoRpR,R-tbefit((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyRls  c Cs`|j}|j}t}|d kr¹|dkr?t}d}n|j|d|dtƒ\}}|j|d|ƒ}|jtƒ}|tj||ƒ}|tj||ddƒ}n|sË|dkr3|j|dddtƒ\}} |j|ddƒ}|tj || ƒ}|tj | j |ƒ}nt ||dd…|j fƒj ƒ} | S( NRTttwowaysRYRZtaxisiR/R[(RTRs(R,R-RXR;R`RtintRtrepeatRRRR>Rk( R+RoRpR,R-t demeantwicet endog_meanRZt exog_meanR[tfefit((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyRm(s*     )N( R(R)t__doc__RR3R*RSRXR`RkRlRm(((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyRUs  >  6 tSURPanelcBseZRS((R(R)(((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyR|DstSEMPanelcBseZRS((R(R)(((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyR}Gst DynamicPanelcBseZRS((R(R)(((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pyR~Jst__main__t as_pandasiìÿÿÿt investmenttusemasktyeartfirmtvaluetcapitalitprependR0R1sinvest value capitalRnRgRhRpRTRiR/Rsiigð?g@g@(eR{t __future__Rtstatsmodels.compat.pythonRRt#statsmodels.regression.linear_modelRtnumpyRt__all__tpandasRR R&R'tobjectRR|R}R~R(tstatsmodels.apitapitsmtnumpy.lib.recfunctionstlibt recfunctionstnprftdatasetstgrunfeldtloadRXtdataR,R-tfullexogt append_fieldsRt panel_arrt DataFrametpanel_dft set_indextto_panelt panel_pandatviewtreshapet add_constantR.Rƒt panel_modRkt panel_olstpanel_betpanel_fet panel_bett panel_fett panel_fe2tarrayRRRRR tperiodst perioduniqRRR!tdummypetsigmaRtsigmagrtsigmapetc_tdummyallRRRRRVRtcholeskyRR"R#R$tinvt omegainv2t omegacomptmaxtabsR%tsigmas2t column_stacktgroups2tomega_t omegainv_t omegainvhalf_tPgrtQgr(((sAlib/python2.7/site-packages/statsmodels/sandbox/panel/panelmod.pytsŠ    ,ï     %  ' '%%&  5/     -