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Questions tagged [linearmodels]

A python package which provides estimation and inference in some common linear models including panel data and instrumental variables estimators. For questions related to implementation or interpretation of a linearmodels estimator.

linearmodels is a package which provides some more complex linear estimation techniques to Python, based around numpy and pandas.

Common linear models such as Two-stage least squares, Generalized Method of Moments etc. are missing from the popular statsmodels package and this package fills that gap.

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The second 'for' loop not working in nested loop

I would like to run each model 10 times at each level of introduced standard deviation (for a total of 21 'levels'), each time with different generated normal distributions. However, the models are only being run once at each level of standard…
scienceguy_96
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Divide one linear model on several linear models using dummies and specific range of time in R

I trying to learn R as well as do my scientific paper, so I want to replicate the data in this way in R. I discovered that I should use the stargaze library, but I don't clearly understand how to divide one linear model by range of years dummies…
Alpha_particle
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Regression with regularization Python

How do you train a linear regression on a training-set with a single regularization constant lambda, λ = 0.01? I need to do it in python. I need it for the outer-loop in 2-level-cross validation. when training with the optimal lambda found. I know…
Ida
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PanelOLS failing with timestamp in hierarchical MultiIndex

I would like to run PanelOLS on the data resembling the extract provided below: import pandas as pd from io import StringIO from datetime import datetime from linearmodels import PanelOLS import statsmodels.api as sm TESTDATA = StringIO( …
Konrad
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I want to do OLS fitting on this model using python

a is {0, 1} binary variable, X dimension is 3 (first column is all-ones vector, the number of predictor is 2) If write the expression differently, it becomes like this y = Xb0 + aX(b1-b0) + e = b00 + b01X1 + b02X2 + (b10-b00)a + (b11-b01)aX1 +…
imsh
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How to run Panel OLS regressions with 3+ fixed-effect and errors clustering?

I want to run Panel OLS regressions with 3+ fixed-effect and errors clustering, but linearmodels.PanelOLS only allow for ≤2 fixed-effect and my implementation with statsmodels.OLS doesn't cope with error clustering. Context Dataset I have a panel…
ebosi
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How to build a lmer model with these data?

I was asked to build a mixed effect model using 'lmer' and 'lmerTest'. The data is shown below: The full Question is : "Use the lme4 and lmerTest R packages to run a linear mixed-effects model examining how herbivores (Herbivory), pollinators…
Sam Chen
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linearmodels.PanelOLS with KeyError: 'This `Formula` instance does not have structure @ `1`.'

from statsmodels.datasets import grunfeld data = grunfeld.load_pandas().data data = data.set_index(['firm','year']) from linearmodels import PanelOLS mod = PanelOLS.from_formula('invest ~ value + capital + EntityEffects + TimeEffects', …
Alex W
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What to do if there are missing values in data

As shown in the picture, row 19 contains a missing data. However, I am suppose to plot points by iterating over a sliding window of 5 using 2 previously defined functions. I thought of simply omitting the row with the missing data, but this would…
user19825372
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Probing interactions in nlme using the "interactions" package in R

I am running a linear mixed effects models using the "nlme" package looking at stress and lifestyle as predictors of change in cognition over 4 years in a longitudinal dataset. All variables in the model are continuous variables. I am able to create…
danielledamico
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Find OLS solution using optim

I am trying to find the solution of a linear model using optim. I could use lm or even use matrix multiplication to find explicit solution. However, the end goal is to use different objective functions. Since I can't replicate the lm solution, there…
Osvaldo Assunção
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Why do we need Hypothesis to build a model

Why do we need a hypothesis to build a model.? (In this case Linear Regression) Instead, why don't we use a straight line equation to find the parameters?
Priya
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Custom F-test in linearmodels (Python)

I have fit a linearmodels.PanelOLS model and stored it in m. I now want to test if certain coefficients are simultaneously equal to zero. Does a fitted linearmodels.PanelOLS object have an F-test function where I can pass my own restriction…
Arturo Sbr
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Python PanelOLS different statistics with single categorical and multiple dummy columns

I am trying to balance check on a Pandas DataFrame using an OLS with entity fixed effects. An example DataFrame is…
OJT
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linear regression: Would these variables be considered multicollinear?

My linear model would be Score ~ Age + Collection1 + Collection3 I transform the Collection Column into dummy variables and I don't have Collection5 column to prevent the dummy variable trap. For Collection 1, 3, and 5, I am sampling the same people…
Michael Zhao
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