M/PhvdZddlZddlmZmZddlmZdZdZ dZ Gdd Z Gd d eZ dS) a1Panel data analysis for short T and large N Created on Sat Dec 17 19:32:00 2011 Author: Josef Perktold License: BSD-3 starting from scratch before looking at references again just a stub to get the basic structure for group handling target outsource as much as possible for reuse Notes ----- this is the basic version using a loop over individuals which will be more widely applicable. Depending on the special cases, there will be faster implementations possible (sparse, kroneker, ...) the only two group specific methods or get_within_cov and whiten N)OLSGLS) GroupSortedcdd}|D]"}||}|tj||z }#|S)zIsum outerproduct dot(x_i, x_i.T) over individuals loop version r)npouter)x group_itermomgx_gs e/var/www/html/test/jupyter/venv/lib/python3.11/site-packages/statsmodels/sandbox/panel/panel_short.pysum_outer_product_looprsD C Z\\""d rxS!!! Jcf|d|d}tj||jS)zsum outerproduct dot(x_i, x_i.T) over individuals where x_i is (nobs_i, 1), and result is (nobs_i, nobs_i) reshape-dot version, for x.ndim=1 only F)order)reshaperdotT)r n_groupsxrss rsum_outer_product_balancedr,s/ ))B) , ,C 6#su  rcg}|D]2}||}|tj||3tj|S)zAapply linear transform for each individual loop version )appendrr concatenate)r transformr x_newr r s rwhiten_individuals_loopr >sX E Z\\--d RVIs++,,,, >%  rc0eZdZdZdZdZdZdZdZdS)ShortPanelGLS2Short Panel with general intertemporal within correlation assumes data is stacked by individuals, panel is balanced and within correlation structure is identical across individuals. It looks like this can just inherit GLS and overwrite whiten cl||_||_t||_|jj|_dSN)endogexogrgroupr)selfr&r'r(s r__init__zShortPanelGLS2.__init__Xs/   ''  + rcrt|j|j|_|jSr%rr&r'fit res_pooledr)s rfit_olszShortPanelGLS2.fit_ols_s+dj$)4488::rcJt||jj}||jz Sr%rr(r rr)residr s rget_within_covzShortPanelGLS2.get_within_covc#$UDJ,ABBT]""rc<t|||jj}|Sr%r r(r r)r cholsigmainv_iwxs r whiten_groupszShortPanelGLS2.whiten_groupsh $Q 8M N N rc|}||j}tjtj|j|_| |j |j}| |j |j}t|| |_|jSr%)r0r5r4rlinalgcholeskypinvrr:r<r&r'rr-res1r)r.sigma_iwendogwexogs rr-zShortPanelGLS2.fitms\\^^ %%j&677 i001H1HIIK##DJ0CDD""49d.ABB&&**,, yrN) __name__ __module__ __qualname____doc__r*r0r5r<r-rrr"r"Osi,,,###  rr"cJeZdZdZd fd ZdZdZdZdZdZ d d Z xZ S) ShortPanelGLSr#Nct||_|jj|_t||jz }|!t jt |}tjtj |j |_ t|j |||ddS)N)sigma)rr(rlenreyeintr?r@rArr:super __class__r*)r)r&r'r(rDnobs_irTs rr*zShortPanelGLS.__init__s ''  + Udm+ ?fS[[))G i001H1HIIK dnd##,,UD,EEEEErcJt||jj}||jz Sr%r2r3s rr5zShortPanelGLS.get_within_covr6rc<t|||jj}|Sr%r8r9s rr<zShortPanelGLS.whiten_groupsr=rcrt|j|j|_|jSr%r,r/s r_fit_olszShortPanelGLS._fit_olss+dj$)4488::rc|}||j}tjtj|j|_| |j |j}| |j |j}t|| |_|jSr%)rYr5r4rr?r@rArr:r<r&r'rr-rBrCs r_fit_oldzShortPanelGLS._fit_olds]]__ %%j&677 i001H1HIIK##DJ0CDD""49d.ABB&&**,, yrcFt||j|jj}|Sr%)r r:r(r )r)r r;s rwhitenzShortPanelGLS.whitens $Q(;TZ=R S S rc8|dkrtdddl}|t|_t |D]}t |dr|`|}|jd |j ||dz ks{||_ | |j }tjtj|j|_||S)a# Perform an iterative two-step procedure to estimate the GLS model. Parameters ---------- maxiter : int, optional the number of iterations Notes ----- maxiter=1: returns the estimated based on given weights maxiter=2: performs a second estimation with the updated weights, this is 2-step estimation maxiter>2: iteratively estimate and update the weights TODO: possible extension stop iteration if change in parameter estimates is smaller than x_tol Repeated calls to fit_iterative, will do one redundant pinv_wexog calculation. Calling fit_iterative(maxiter) once does not do any redundant recalculations (whitening or calculating pinv_wexog). zmaxiter needs to be at least 1rN pinv_wexog self_params) ValueError collections defaultdictlisthistoryrangehasattrrar-rparams results_oldr5r4rr?r@rArr: initialize)r)maxiterrdiresultsrDs r fit_iterativezShortPanelGLS.fit_iteratives: Q;;=>> >"..t44 w " "At\** $OhhjjG L ' . .w~ > > > >>#* --gm<<&(i&8&89P9P&Q&Q&S#!!!rr%)r^) rGrHrIrJr*r5r<rYr[r]rp __classcell__)rTs@rrMrMwsFFFFFF"###    99999999rrM) rJnumpyr#statsmodels.regression.linear_modelrrstatsmodels.tools.grouputilsrrrr r"rMrKrrrus.88888888444444      $ ! ! !"&&&&&&&&PrrrrrCrrrrrr