python3-pandas 0.13.1-2ubuntu2 / usr / lib / python3 / dist-packages / pandas / stats / plm.py

"""
Linear regression objects for panel data
"""

# pylint: disable-msg=W0231
# pylint: disable-msg=E1101,E1103

from __future__ import division
from pandas.compat import range
from pandas import compat
import warnings

import numpy as np

from pandas.core.panel import Panel
from pandas.core.frame import DataFrame
from pandas.core.reshape import get_dummies
from pandas.core.series import Series
from pandas.core.sparse import SparsePanel
from pandas.stats.ols import OLS, MovingOLS
import pandas.stats.common as com
import pandas.stats.math as math
from pandas.util.decorators import cache_readonly


class PanelOLS(OLS):
    """Implements panel OLS.

    See ols function docs
    """
    _panel_model = True

    def __init__(self, y, x, weights=None, intercept=True, nw_lags=None,
                 entity_effects=False, time_effects=False, x_effects=None,
                 cluster=None, dropped_dummies=None, verbose=False,
                 nw_overlap=False):
        self._x_orig = x
        self._y_orig = y
        self._weights = weights

        self._intercept = intercept
        self._nw_lags = nw_lags
        self._nw_overlap = nw_overlap
        self._entity_effects = entity_effects
        self._time_effects = time_effects
        self._x_effects = x_effects
        self._dropped_dummies = dropped_dummies or {}
        self._cluster = com._get_cluster_type(cluster)
        self._verbose = verbose

        (self._x, self._x_trans,
         self._x_filtered, self._y,
         self._y_trans) = self._prepare_data()

        self._index = self._x.index.levels[0]

        self._T = len(self._index)

    def log(self, msg):
        if self._verbose:  # pragma: no cover
            print(msg)

    def _prepare_data(self):
        """Cleans and stacks input data into DataFrame objects

        If time effects is True, then we turn off intercepts and omit an item
        from every (entity and x) fixed effect.

        Otherwise:
           - If we have an intercept, we omit an item from every fixed effect.
           - Else, we omit an item from every fixed effect except one of them.

        The categorical variables will get dropped from x.
        """
        (x, x_filtered, y, weights, cat_mapping) = self._filter_data()

        self.log('Adding dummies to X variables')
        x = self._add_dummies(x, cat_mapping)

        self.log('Adding dummies to filtered X variables')
        x_filtered = self._add_dummies(x_filtered, cat_mapping)

        if self._x_effects:
            x = x.drop(self._x_effects, axis=1)
            x_filtered = x_filtered.drop(self._x_effects, axis=1)

        if self._time_effects:
            x_regressor = x.sub(x.mean(level=0), level=0)

            unstacked_y = y.unstack()
            y_regressor = unstacked_y.sub(unstacked_y.mean(1), axis=0).stack()
            y_regressor.index = y.index

        elif self._intercept:
            # only add intercept when no time effects
            self.log('Adding intercept')
            x = x_regressor = add_intercept(x)
            x_filtered = add_intercept(x_filtered)
            y_regressor = y
        else:
            self.log('No intercept added')
            x_regressor = x
            y_regressor = y

        if weights is not None:
            if not y_regressor.index.equals(weights.index):
                raise AssertionError("y_regressor and weights must have the "
                                     "same index")
            if not x_regressor.index.equals(weights.index):
                raise AssertionError("x_regressor and weights must have the "
                                     "same index")

            rt_weights = np.sqrt(weights)
            y_regressor = y_regressor * rt_weights
            x_regressor = x_regressor.mul(rt_weights, axis=0)

        return x, x_regressor, x_filtered, y, y_regressor

    def _filter_data(self):
        """

        """
        data = self._x_orig
        cat_mapping = {}

        if isinstance(data, DataFrame):
            data = data.to_panel()
        else:
            if isinstance(data, Panel):
                data = data.copy()

            if not isinstance(data, SparsePanel):
                data, cat_mapping = self._convert_x(data)

            if not isinstance(data, Panel):
                data = Panel.from_dict(data, intersect=True)

        x_names = data.items

        if self._weights is not None:
            data['__weights__'] = self._weights

        # Filter x's without y (so we can make a prediction)
        filtered = data.to_frame()

        # Filter all data together using to_frame

        # convert to DataFrame
        y = self._y_orig
        if isinstance(y, Series):
            y = y.unstack()

        data['__y__'] = y
        data_long = data.to_frame()

        x_filt = filtered.filter(x_names)
        x = data_long.filter(x_names)
        y = data_long['__y__']

        if self._weights is not None and not self._weights.empty:
            weights = data_long['__weights__']
        else:
            weights = None

        return x, x_filt, y, weights, cat_mapping

    def _convert_x(self, x):
        # Converts non-numeric data in x to floats. x_converted is the
        # DataFrame with converted values, and x_conversion is a dict that
        # provides the reverse mapping.  For example, if 'A' was converted to 0
        # for x named 'variety', then x_conversion['variety'][0] is 'A'.
        x_converted = {}
        cat_mapping = {}
        # x can be either a dict or a Panel, but in Python 3, dicts don't have
        # .iteritems
        iteritems = getattr(x, 'iteritems', x.items)
        for key, df in iteritems():
            if not isinstance(df, DataFrame):
                raise AssertionError("all input items must be DataFrames, "
                                     "at least one is of "
                                     "type {0}".format(type(df)))

            if _is_numeric(df):
                x_converted[key] = df
            else:
                try:
                    df = df.astype(float)
                except (TypeError, ValueError):
                    values = df.values
                    distinct_values = sorted(set(values.flat))
                    cat_mapping[key] = dict(enumerate(distinct_values))
                    new_values = np.searchsorted(distinct_values, values)
                    x_converted[key] = DataFrame(new_values, index=df.index,
                                                 columns=df.columns)

        if len(cat_mapping) == 0:
            x_converted = x

        return x_converted, cat_mapping

    def _add_dummies(self, panel, mapping):
        """
        Add entity and / or categorical dummies to input X DataFrame

        Returns
        -------
        DataFrame
        """
        panel = self._add_entity_effects(panel)
        panel = self._add_categorical_dummies(panel, mapping)

        return panel

    def _add_entity_effects(self, panel):
        """
        Add entity dummies to panel

        Returns
        -------
        DataFrame
        """
        from pandas.core.reshape import make_axis_dummies

        if not self._entity_effects:
            return panel

        self.log('-- Adding entity fixed effect dummies')

        dummies = make_axis_dummies(panel, 'minor')

        if not self._use_all_dummies:
            if 'entity' in self._dropped_dummies:
                to_exclude = str(self._dropped_dummies.get('entity'))
            else:
                to_exclude = dummies.columns[0]

            if to_exclude not in dummies.columns:
                raise Exception('%s not in %s' % (to_exclude,
                                                  dummies.columns))

            self.log('-- Excluding dummy for entity: %s' % to_exclude)

            dummies = dummies.filter(dummies.columns - [to_exclude])

        dummies = dummies.add_prefix('FE_')
        panel = panel.join(dummies)

        return panel

    def _add_categorical_dummies(self, panel, cat_mappings):
        """
        Add categorical dummies to panel

        Returns
        -------
        DataFrame
        """
        if not self._x_effects:
            return panel

        dropped_dummy = (self._entity_effects and not self._use_all_dummies)

        for effect in self._x_effects:
            self.log('-- Adding fixed effect dummies for %s' % effect)

            dummies = get_dummies(panel[effect])

            val_map = cat_mappings.get(effect)
            if val_map:
                val_map = dict((v, k) for k, v in compat.iteritems(val_map))

            if dropped_dummy or not self._use_all_dummies:
                if effect in self._dropped_dummies:
                    to_exclude = mapped_name = self._dropped_dummies.get(
                        effect)

                    if val_map:
                        mapped_name = val_map[to_exclude]
                else:
                    to_exclude = mapped_name = dummies.columns[0]

                if mapped_name not in dummies.columns:  # pragma: no cover
                    raise Exception('%s not in %s' % (to_exclude,
                                                      dummies.columns))

                self.log(
                    '-- Excluding dummy for %s: %s' % (effect, to_exclude))

                dummies = dummies.filter(dummies.columns - [mapped_name])
                dropped_dummy = True

            dummies = _convertDummies(dummies, cat_mappings.get(effect))
            dummies = dummies.add_prefix('%s_' % effect)
            panel = panel.join(dummies)

        return panel

    @property
    def _use_all_dummies(self):
        """
        In the case of using an intercept or including time fixed
        effects, completely partitioning the sample would make the X
        not full rank.
        """
        return (not self._intercept and not self._time_effects)

    @cache_readonly
    def _beta_raw(self):
        """Runs the regression and returns the beta."""
        X = self._x_trans.values
        Y = self._y_trans.values.squeeze()

        beta, _, _, _ = np.linalg.lstsq(X, Y)

        return beta

    @cache_readonly
    def beta(self):
        return Series(self._beta_raw, index=self._x.columns)

    @cache_readonly
    def _df_model_raw(self):
        """Returns the raw model degrees of freedom."""
        return self._df_raw - 1

    @cache_readonly
    def _df_resid_raw(self):
        """Returns the raw residual degrees of freedom."""
        return self._nobs - self._df_raw

    @cache_readonly
    def _df_raw(self):
        """Returns the degrees of freedom."""
        df = math.rank(self._x_trans.values)
        if self._time_effects:
            df += self._total_times

        return df

    @cache_readonly
    def _r2_raw(self):
        Y = self._y_trans.values.squeeze()
        X = self._x_trans.values

        resid = Y - np.dot(X, self._beta_raw)

        SSE = (resid ** 2).sum()

        if self._use_centered_tss:
            SST = ((Y - np.mean(Y)) ** 2).sum()
        else:
            SST = (Y ** 2).sum()

        return 1 - SSE / SST

    @property
    def _use_centered_tss(self):
        # has_intercept = np.abs(self._resid_raw.sum()) < _FP_ERR
        return self._intercept or self._entity_effects or self._time_effects

    @cache_readonly
    def _r2_adj_raw(self):
        """Returns the raw r-squared adjusted values."""
        nobs = self._nobs
        factors = (nobs - 1) / (nobs - self._df_raw)
        return 1 - (1 - self._r2_raw) * factors

    @cache_readonly
    def _resid_raw(self):
        Y = self._y.values.squeeze()
        X = self._x.values
        return Y - np.dot(X, self._beta_raw)

    @cache_readonly
    def resid(self):
        return self._unstack_vector(self._resid_raw)

    @cache_readonly
    def _rmse_raw(self):
        """Returns the raw rmse values."""
        # X = self._x.values
        # Y = self._y.values.squeeze()

        X = self._x_trans.values
        Y = self._y_trans.values.squeeze()

        resid = Y - np.dot(X, self._beta_raw)
        ss = (resid ** 2).sum()
        return np.sqrt(ss / (self._nobs - self._df_raw))

    @cache_readonly
    def _var_beta_raw(self):
        cluster_axis = None
        if self._cluster == 'time':
            cluster_axis = 0
        elif self._cluster == 'entity':
            cluster_axis = 1

        x = self._x
        y = self._y

        if self._time_effects:
            xx = _xx_time_effects(x, y)
        else:
            xx = np.dot(x.values.T, x.values)

        return _var_beta_panel(y, x, self._beta_raw, xx,
                               self._rmse_raw, cluster_axis, self._nw_lags,
                               self._nobs, self._df_raw, self._nw_overlap)

    @cache_readonly
    def _y_fitted_raw(self):
        """Returns the raw fitted y values."""
        return np.dot(self._x.values, self._beta_raw)

    @cache_readonly
    def y_fitted(self):
        return self._unstack_vector(self._y_fitted_raw, index=self._x.index)

    def _unstack_vector(self, vec, index=None):
        if index is None:
            index = self._y_trans.index
        panel = DataFrame(vec, index=index, columns=['dummy'])
        return panel.to_panel()['dummy']

    def _unstack_y(self, vec):
        unstacked = self._unstack_vector(vec)
        return unstacked.reindex(self.beta.index)

    @cache_readonly
    def _time_obs_count(self):
        return self._y_trans.count(level=0).values

    @cache_readonly
    def _time_has_obs(self):
        return self._time_obs_count > 0

    @property
    def _nobs(self):
        return len(self._y)


def _convertDummies(dummies, mapping):
    # cleans up the names of the generated dummies
    new_items = []
    for item in dummies.columns:
        if not mapping:
            var = str(item)
            if isinstance(item, float):
                var = '%g' % item

            new_items.append(var)
        else:
            # renames the dummies if a conversion dict is provided
            new_items.append(mapping[int(item)])

    dummies = DataFrame(dummies.values, index=dummies.index,
                        columns=new_items)

    return dummies


def _is_numeric(df):
    for col in df:
        if df[col].dtype.name == 'object':
            return False

    return True


def add_intercept(panel, name='intercept'):
    """
    Add column of ones to input panel

    Parameters
    ----------
    panel: Panel / DataFrame
    name: string, default 'intercept']

    Returns
    -------
    New object (same type as input)
    """
    panel = panel.copy()
    panel[name] = 1.

    return panel.consolidate()


class MovingPanelOLS(MovingOLS, PanelOLS):
    """Implements rolling/expanding panel OLS.

    See ols function docs
    """
    _panel_model = True

    def __init__(self, y, x, weights=None,
                 window_type='expanding', window=None,
                 min_periods=None,
                 min_obs=None,
                 intercept=True,
                 nw_lags=None, nw_overlap=False,
                 entity_effects=False,
                 time_effects=False,
                 x_effects=None,
                 cluster=None,
                 dropped_dummies=None,
                 verbose=False):

        self._args = dict(intercept=intercept,
                          nw_lags=nw_lags,
                          nw_overlap=nw_overlap,
                          entity_effects=entity_effects,
                          time_effects=time_effects,
                          x_effects=x_effects,
                          cluster=cluster,
                          dropped_dummies=dropped_dummies,
                          verbose=verbose)

        PanelOLS.__init__(self, y=y, x=x, weights=weights,
                          **self._args)

        self._set_window(window_type, window, min_periods)

        if min_obs is None:
            min_obs = len(self._x.columns) + 1

        self._min_obs = min_obs

    @cache_readonly
    def resid(self):
        return self._unstack_y(self._resid_raw)

    @cache_readonly
    def y_fitted(self):
        return self._unstack_y(self._y_fitted_raw)

    @cache_readonly
    def y_predict(self):
        """Returns the predicted y values."""
        return self._unstack_y(self._y_predict_raw)

    def lagged_y_predict(self, lag=1):
        """
        Compute forecast Y value lagging coefficient by input number
        of time periods

        Parameters
        ----------
        lag : int

        Returns
        -------
        DataFrame
        """
        x = self._x.values
        betas = self._beta_matrix(lag=lag)
        return self._unstack_y((betas * x).sum(1))

    @cache_readonly
    def _rolling_ols_call(self):
        return self._calc_betas(self._x_trans, self._y_trans)

    @cache_readonly
    def _df_raw(self):
        """Returns the degrees of freedom."""
        df = self._rolling_rank()

        if self._time_effects:
            df += self._window_time_obs

        return df[self._valid_indices]

    @cache_readonly
    def _var_beta_raw(self):
        """Returns the raw covariance of beta."""
        x = self._x
        y = self._y

        dates = x.index.levels[0]

        cluster_axis = None
        if self._cluster == 'time':
            cluster_axis = 0
        elif self._cluster == 'entity':
            cluster_axis = 1

        nobs = self._nobs
        rmse = self._rmse_raw
        beta = self._beta_raw
        df = self._df_raw
        window = self._window

        if not self._time_effects:
            # Non-transformed X
            cum_xx = self._cum_xx(x)

        results = []
        for n, i in enumerate(self._valid_indices):
            if self._is_rolling and i >= window:
                prior_date = dates[i - window + 1]
            else:
                prior_date = dates[0]

            date = dates[i]

            x_slice = x.truncate(prior_date, date)
            y_slice = y.truncate(prior_date, date)

            if self._time_effects:
                xx = _xx_time_effects(x_slice, y_slice)
            else:
                xx = cum_xx[i]
                if self._is_rolling and i >= window:
                    xx = xx - cum_xx[i - window]

            result = _var_beta_panel(y_slice, x_slice, beta[n], xx, rmse[n],
                                     cluster_axis, self._nw_lags,
                                     nobs[n], df[n], self._nw_overlap)

            results.append(result)

        return np.array(results)

    @cache_readonly
    def _resid_raw(self):
        beta_matrix = self._beta_matrix(lag=0)

        Y = self._y.values.squeeze()
        X = self._x.values
        resid = Y - (X * beta_matrix).sum(1)

        return resid

    @cache_readonly
    def _y_fitted_raw(self):
        x = self._x.values
        betas = self._beta_matrix(lag=0)
        return (betas * x).sum(1)

    @cache_readonly
    def _y_predict_raw(self):
        """Returns the raw predicted y values."""
        x = self._x.values
        betas = self._beta_matrix(lag=1)
        return (betas * x).sum(1)

    def _beta_matrix(self, lag=0):
        if lag < 0:
            raise AssertionError("'lag' must be greater than or equal to 0, "
                                 "input was {0}".format(lag))

        index = self._y_trans.index
        major_labels = index.labels[0]
        labels = major_labels - lag
        indexer = self._valid_indices.searchsorted(labels, side='left')

        beta_matrix = self._beta_raw[indexer]
        beta_matrix[labels < self._valid_indices[0]] = np.NaN

        return beta_matrix

    @cache_readonly
    def _enough_obs(self):
        # XXX: what's the best way to determine where to start?
        # TODO: write unit tests for this

        rank_threshold = len(self._x.columns) + 1
        if self._min_obs < rank_threshold:  # pragma: no cover
            warnings.warn('min_obs is smaller than rank of X matrix')

        enough_observations = self._nobs_raw >= self._min_obs
        enough_time_periods = self._window_time_obs >= self._min_periods
        return enough_time_periods & enough_observations


def create_ols_dict(attr):
    def attr_getter(self):
        d = {}
        for k, v in compat.iteritems(self.results):
            result = getattr(v, attr)
            d[k] = result

        return d

    return attr_getter


def create_ols_attr(attr):
    return property(create_ols_dict(attr))


class NonPooledPanelOLS(object):
    """Implements non-pooled panel OLS.

    Parameters
    ----------
    y : DataFrame
    x : Series, DataFrame, or dict of Series
    intercept : bool
        True if you want an intercept.
    nw_lags : None or int
        Number of Newey-West lags.
    window_type : {'full_sample', 'rolling', 'expanding'}
        'full_sample' by default
    window : int
        size of window (for rolling/expanding OLS)
    """

    ATTRIBUTES = [
        'beta',
        'df',
        'df_model',
        'df_resid',
        'f_stat',
        'p_value',
        'r2',
        'r2_adj',
        'resid',
        'rmse',
        'std_err',
        'summary_as_matrix',
        't_stat',
        'var_beta',
        'x',
        'y',
        'y_fitted',
        'y_predict'
    ]

    def __init__(self, y, x, window_type='full_sample', window=None,
                 min_periods=None, intercept=True, nw_lags=None,
                 nw_overlap=False):

        for attr in self.ATTRIBUTES:
            setattr(self.__class__, attr, create_ols_attr(attr))

        results = {}

        for entity in y:
            entity_y = y[entity]

            entity_x = {}
            for x_var in x:
                entity_x[x_var] = x[x_var][entity]

            from pandas.stats.interface import ols
            results[entity] = ols(y=entity_y,
                                  x=entity_x,
                                  window_type=window_type,
                                  window=window,
                                  min_periods=min_periods,
                                  intercept=intercept,
                                  nw_lags=nw_lags,
                                  nw_overlap=nw_overlap)

        self.results = results


def _var_beta_panel(y, x, beta, xx, rmse, cluster_axis,
                    nw_lags, nobs, df, nw_overlap):
    from pandas.core.frame import group_agg
    xx_inv = math.inv(xx)

    yv = y.values

    if cluster_axis is None:
        if nw_lags is None:
            return xx_inv * (rmse ** 2)
        else:
            resid = yv - np.dot(x.values, beta)
            m = (x.values.T * resid).T

            xeps = math.newey_west(m, nw_lags, nobs, df, nw_overlap)

            return np.dot(xx_inv, np.dot(xeps, xx_inv))
    else:
        Xb = np.dot(x.values, beta).reshape((len(x.values), 1))
        resid = DataFrame(yv[:, None] - Xb, index=y.index, columns=['resid'])

        if cluster_axis == 1:
            x = x.swaplevel(0, 1).sortlevel(0)
            resid = resid.swaplevel(0, 1).sortlevel(0)

        m = group_agg(x.values * resid.values, x.index._bounds,
                      lambda x: np.sum(x, axis=0))

        if nw_lags is None:
            nw_lags = 0

        xox = 0
        for i in range(len(x.index.levels[0])):
            xox += math.newey_west(m[i: i + 1], nw_lags,
                                   nobs, df, nw_overlap)

        return np.dot(xx_inv, np.dot(xox, xx_inv))


def _xx_time_effects(x, y):
    """
    Returns X'X - (X'T) (T'T)^-1 (T'X)
    """
    # X'X
    xx = np.dot(x.values.T, x.values)
    xt = x.sum(level=0).values

    count = y.unstack().count(1).values
    selector = count > 0

    # X'X - (T'T)^-1 (T'X)
    xt = xt[selector]
    count = count[selector]

    return xx - np.dot(xt.T / count, xt)