econmethods 3__tar.gz → 3.0.2__tar.gz

{econmethods-3 → econmethods-3.0.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: econmethods
-Version: 3
+Version: 3.0.2
 Summary: A python package implementing various econometrical tests and estimators
 Home-page: https://github.com/NaturionBG/econmethods
 Author: NaturionBG

{econmethods-3 → econmethods-3.0.2}/econmethods/Lib.py

@@ -312,29 +312,42 @@ class FECM:
   - *stat_vars*: a DataFrame of the same format as "df" - includes variables that will not be differenced and included into the ECM in their raw form. Ensure these variables are I(0). Defaults to None.
   - *lr_const*: Specify whether the long-run model should have a constant.
   - *autorem*: Enables/Disables automatic removal of insignificant regression coefficients in the ECM. Defaults to True.
+  - *remove_difs*: Remove the cointegration vector differences. Enabling this invalidates autorem. Passing a string removes that exact variable. Defaults to False.
+  - *remove_lr_ins*: Enables/Disables automatic removal of insignificant regression coefficients in the long-run model. Defaults to False.
+  - *sf*: Your significance level.
+  - *cont_means*: Enable/disable contemporanous means for the CCE- framework. Disabling will cause all means to be lagged by one period. Defaults to True.
   ----
   RETURNS:
   --
   A python dictionary (dict) containing:
     - Long-run estimation results | key = "lr_res"
     - ECM (short-run) estimation results | key = "sr_res"\n
-    If a CCE- method is chosen:
-    - The AR(d) estimation results to forecast the cross-sectional mean | key = "ar"
   '''
-  def __init__(self, df: pd.DataFrame, effects: str = 'rand', trend: int = 0, n_lags: int = 1, method: str = 'MG', coint: str | list[str] = 'x1', intercept: bool = True, stat_vars: pd.DataFrame|None = None, lr_const: bool = False, autorem: bool = True) -> None:
+  def __init__(self, df: pd.DataFrame, effects: str = 'rand', trend: int = 0, n_lags: int = 1, method: str = 'MG', coint: str | list[str] = 'x1', intercept: bool = True, stat_vars: pd.DataFrame|None = None, lr_const: bool = False, autorem: bool = True, remove_difs: bool | list[str] = False, remove_lr_ins: bool = False, sf: float = 0.05, cont_means: bool = True) -> None:
     self.__df = df
     self.__eff = effects.lower()
     self.__t = trend
     self.__autorem = autorem
     self.__C = intercept
     self.__lag = n_lags
+    self.sf = sf
     self.x_difs = []
+    self.__cont_means = cont_means
+    if type(remove_difs) == bool:
+      self.__remove_difs = remove_difs
+    else:
+      self.x_difs = np.array(remove_difs)+'_diff'
+      self.__remove_difs = True
     self.__method = method.lower()
     self.__exog = len(df.columns[3:])
     self.__l =[]
     self.__stat_vars = stat_vars
-    self.__mean_names = ['target_avg_l1']
+    if not self.__cont_means:
+      self.__mean_names = ['target_avg_l1']
+    else:
+      self.__mean_names = ['target_avg']
     self.__stat = []
+    self.__lr_autorem = remove_lr_ins
     self.__lr_c = lr_const
     if stat_vars is not None:
       for i in range(1, len(stat_vars.columns[2:])+1):
@@ -342,8 +355,12 @@ class FECM:
       self.__stat_vars.columns = ['SpUnit', 'time'] + self.__stat
     for i in range(1, self.__exog+1):
       self.__l.append(f'x{i}')
-      self.x_difs.append(f'x{i}_diff')
-      self.__mean_names.append(f'x{i}_avg')
+      if type(remove_difs) == bool:
+        self.x_difs.append(f'x{i}_diff')
+      if self.__cont_means:
+        self.__mean_names.append(f'x{i}_avg')
+      else:
+        self.__mean_names.append(f'x{i}_avg_1')
     self.__df.columns = ['SpUnit', 'time', 'target'] + self.__l
     if isinstance(coint, list):
       self.__lr_df = self.__df.copy(deep=True).loc[:, ['SpUnit', 'time', 'target', *coint]]
@@ -387,9 +404,11 @@ class FECM:
   def build_means(self) -> pd.DataFrame:
     mn = self.__df.copy(deep=True)
     mn = mn.set_index('time')
-    means = mn.groupby('time')[['target'] + self.__l].mean()
+    if not self.__cont_means:
+      means = mn.groupby('time')[['target'] + self.__l].mean().shift(1)
+    else:
+      means = mn.groupby('time')[['target'] + self.__l].mean()
     means.columns = self.__mean_names
-    means['target_avg_l1'] = means['target_avg_l1'].shift(1)
     return means
   
   def build_GLS(self, w_err: float) -> np.ndarray:
@@ -420,20 +439,20 @@ class FECM:
         res_lr = sm.OLS(lr_fe.loc[:, 'target'], sm.add_constant(lr_fe.iloc[:, 3:])).fit()
       else:
         res_lr = sm.OLS(lr_fe.loc[:, 'target'], lr_fe.iloc[:, 3:]).fit()
-      while True:
-        flag = True
-        for coef, t in zip(res_lr.params.index, res_lr.pvalues):
-          if t > 0.05:
-            lr_fe = lr_fe.drop(columns=[coef])
-            flag=False
-        if flag:
-          break
-        else:
-          if self.__lr_c:
-            res_lr = sm.OLS(lr_fe.loc[:, 'target'], sm.add_constant(lr_fe.iloc[:, 3:])).fit()
+      if self.__lr_autorem:
+        while True:
+          flag = True
+          for coef, t in zip(res_lr.params.index, res_lr.pvalues):
+            if t > self.sf:
+              lr_fe = lr_fe.drop(columns=[coef])
+              flag=False
+          if flag:
+            break
           else:
-            res_lr = sm.OLS(lr_fe.loc[:, 'target'], lr_fe.iloc[:, 3:]).fit()
-      
+            if self.__lr_c:
+              res_lr = sm.OLS(lr_fe.loc[:, 'target'], sm.add_constant(lr_fe.iloc[:, 3:])).fit()
+            else:
+              res_lr = sm.OLS(lr_fe.loc[:, 'target'], lr_fe.iloc[:, 3:]).fit()
       return res_lr
     else:
       lr_fe = self.build_FE()
@@ -514,27 +533,34 @@ class FECM:
       else:
         est.append(sm.OLS(pool['target_diff'], pool.iloc[:, 3:]).fit())
       if self.__autorem:
-        while True:
-          ts = []
-          flag = True
-          if max(zip(est[0].params.index, est[0].pvalues), key=lambda x: x[1])[1] > 0.06:
-            pool = pool.drop(columns=[max(zip(est[0].params.index, est[0].pvalues), key=lambda x: x[1])[0]])
-            flag=False
-          for i in self.x_difs:
-            try:
-              tmp = est[0].pvalues[i] <= 0.05
-              if tmp:
+        if not self.__remove_difs:
+          while True:
+            ts = []
+            flag = True
+            if max(zip(est[0].params.index, est[0].pvalues), key=lambda x: x[1])[1] > self.sf:
+              pool = pool.drop(columns=[max(zip(est[0].params.index, est[0].pvalues), key=lambda x: x[1])[0]])
+              flag=False
+            for i in self.x_difs:
+              try:
+                tmp = est[0].pvalues[i] <= self.sf
+                if tmp:
+                  ts.append(1)
+              except Exception:
                 ts.append(1)
-            except Exception:
-              ts.append(1)
-              
-          if flag or len(ts) == len(self.x_difs):
-            break
-          else:
-            if self.__C:
-              est[0] = sm.OLS(pool['target_diff'], sm.add_constant(pool.iloc[:, 3:])).fit()
+                
+            if flag or len(ts) == len(self.x_difs):
+              break
             else:
-              est[0] = sm.OLS(pool['target_diff'], pool.iloc[:, 3:]).fit()
+              if self.__C:
+                est[0] = sm.OLS(pool['target_diff'], sm.add_constant(pool.iloc[:, 3:])).fit()
+              else:
+                est[0] = sm.OLS(pool['target_diff'], pool.iloc[:, 3:]).fit()
+        else:
+          pool = pool.drop(columns=[*self.x_difs])
+          if self.__C:
+            est[0] = sm.OLS(pool['target_diff'], sm.add_constant(pool.iloc[:, 3:])).fit()
+          else:
+            est[0] = sm.OLS(pool['target_diff'], pool.iloc[:, 3:]).fit()
       return est
 
   def mg_algorithm(self) -> pd.DataFrame:
@@ -568,29 +594,35 @@ class FECM:
       dct['lr_res'] = self.__lr
       res = self.mg_algorithm()
       if self.__autorem:
-        while True:
-          ts = []
-          flag = True
-          if max(zip(res['coefs'].index, res['coefs']['T-pvalues']), key=lambda x: x[1])[1] > 0.06:
-            self.__sr = self.build_sr([max(zip(res['coefs'].index, res['coefs']['T-pvalues']), key=lambda x: x[1])[0]])
-            flag=False
-          for i in self.x_difs:
-            try:
-              tmp = res['coefs']['T-pvalues'][i] <= 0.05
-              if tmp:
+        if not self.__remove_difs:
+          while True:
+            ts = []
+            flag = True
+            if max(zip(res['coefs'].index, res['coefs']['T-pvalues']), key=lambda x: x[1])[1] > self.sf:
+              self.__sr = self.build_sr([max(zip(res['coefs'].index, res['coefs']['T-pvalues']), key=lambda x: x[1])[0]])
+              flag=False
+            for i in self.x_difs:
+              try:
+                tmp = res['coefs']['T-pvalues'][i] <= 0.1
+                if tmp:
+                  ts.append(1)
+              except Exception:
                 ts.append(1)
-            except Exception:
-              ts.append(1)
-          if flag or len(ts) == len(self.x_difs):
-            break
-          else:
-            res =  self.mg_algorithm()
+            if flag or len(ts) == len(self.x_difs):
+              break
+            else:
+              res =  self.mg_algorithm()
+        else:
+          self.__sr = self.build_sr(self.x_difs)
+          res = self.mg_algorithm()
+          
 
       dct['sr_res'] = res
     return dct
   
   def __del__(self) -> None:
     pass
+
 class CDTwoWay:
   '''
   Implementation of the CD test to validate/reject cross-sectional dependence.

{econmethods-3 → econmethods-3.0.2}/econmethods.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: econmethods
-Version: 3
+Version: 3.0.2
 Summary: A python package implementing various econometrical tests and estimators
 Home-page: https://github.com/NaturionBG/econmethods
 Author: NaturionBG

{econmethods-3 → econmethods-3.0.2}/setup.py

@@ -5,7 +5,7 @@ with open('README.md', 'r') as f:
   
 setup(
   name = 'econmethods',
-  version = 'v3',
+  version = 'v3.0.2',
   description='A python package implementing various econometrical tests and estimators',
   packages = find_packages(),
   long_description=long_desc,