panelbox 0.2.0__py3-none-any.whl

panelbox/models/static/random_effects.py

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+"""
+Random Effects (GLS) estimator for panel data.
+
+This module provides the Random Effects estimator which uses GLS (Generalized Least Squares)
+to account for the variance component structure in panel data.
+"""
+
+from typing import Optional
+import numpy as np
+import pandas as pd
+
+from panelbox.core.base_model import PanelModel
+from panelbox.core.results import PanelResults
+from panelbox.utils.matrix_ops import (
+    compute_ols,
+    compute_panel_rsquared
+)
+
+
+class RandomEffects(PanelModel):
+    """
+    Random Effects (GLS) estimator for panel data.
+
+    This estimator assumes that entity-specific effects are uncorrelated with
+    the regressors and uses Generalized Least Squares to efficiently estimate
+    the model accounting for the variance component structure.
+
+    The key assumption is E[u_i | X_it] = 0, where u_i is the entity-specific effect.
+
+    Parameters
+    ----------
+    formula : str
+        Model formula in R-style syntax (e.g., "y ~ x1 + x2")
+    data : pd.DataFrame
+        Panel data in long format
+    entity_col : str
+        Name of the column identifying entities
+    time_col : str
+        Name of the column identifying time periods
+    variance_estimator : str, default='swamy-arora'
+        Method for estimating variance components:
+        - 'swamy-arora': Swamy-Arora estimator (most common)
+        - 'walhus': Wallace-Hussain estimator
+        - 'amemiya': Amemiya estimator
+        - 'nerlove': Nerlove estimator
+    weights : np.ndarray, optional
+        Observation weights
+
+    Attributes
+    ----------
+    variance_estimator : str
+        Variance estimation method
+    sigma2_u : float
+        Estimated variance of entity-specific effects (after fitting)
+    sigma2_e : float
+        Estimated variance of idiosyncratic errors (after fitting)
+    theta : float
+        GLS transformation parameter (after fitting)
+
+    Examples
+    --------
+    >>> import panelbox as pb
+    >>> import pandas as pd
+    >>>
+    >>> # Load data
+    >>> data = pd.read_csv('panel_data.csv')
+    >>>
+    >>> # Estimate Random Effects
+    >>> model = pb.RandomEffects("y ~ x1 + x2", data, "firm", "year")
+    >>> results = model.fit()
+    >>> print(results.summary())
+    >>>
+    >>> # Access variance components
+    >>> print(f"sigma2_u: {model.sigma2_u:.4f}")
+    >>> print(f"sigma2_e: {model.sigma2_e:.4f}")
+    >>> print(f"theta: {model.theta:.4f}")
+    >>>
+    >>> # Use different variance estimator
+    >>> model_amemiya = pb.RandomEffects(
+    ...     "y ~ x1 + x2", data, "firm", "year",
+    ...     variance_estimator='amemiya'
+    ... )
+    >>> results_amemiya = model_amemiya.fit()
+    """
+
+    def __init__(
+        self,
+        formula: str,
+        data: pd.DataFrame,
+        entity_col: str,
+        time_col: str,
+        variance_estimator: str = 'swamy-arora',
+        weights: Optional[np.ndarray] = None
+    ):
+        super().__init__(formula, data, entity_col, time_col, weights)
+
+        valid_estimators = ['swamy-arora', 'walhus', 'amemiya', 'nerlove']
+        if variance_estimator not in valid_estimators:
+            raise ValueError(
+                f"variance_estimator must be one of {valid_estimators}, "
+                f"got '{variance_estimator}'"
+            )
+
+        self.variance_estimator = variance_estimator
+
+        # Variance components (computed after fitting)
+        self.sigma2_u: Optional[float] = None  # Variance of entity effects
+        self.sigma2_e: Optional[float] = None  # Variance of idiosyncratic errors
+        self.theta: Optional[float] = None      # GLS transformation parameter
+
+    def fit(
+        self,
+        cov_type: str = 'nonrobust',
+        **cov_kwds
+    ) -> PanelResults:
+        """
+        Fit the Random Effects model.
+
+        Parameters
+        ----------
+        cov_type : str, default='nonrobust'
+            Type of covariance estimator:
+            - 'nonrobust': Classical GLS standard errors
+            - 'robust': Heteroskedasticity-robust
+            - 'clustered': Cluster-robust (clustered by entity)
+        **cov_kwds
+            Additional arguments for covariance estimation
+
+        Returns
+        -------
+        PanelResults
+            Fitted model results
+
+        Examples
+        --------
+        >>> results = model.fit()
+        >>> results_robust = model.fit(cov_type='robust')
+        """
+        # Build design matrices
+        y, X = self.formula_parser.build_design_matrices(
+            self.data.data,
+            return_type='array'
+        )
+
+        # Get variable names
+        var_names = self.formula_parser.get_variable_names(self.data.data)
+
+        # Get entity and time identifiers
+        entities = self.data.data[self.data.entity_col].values
+        times = self.data.data[self.data.time_col].values
+
+        # Estimate variance components
+        self._estimate_variance_components(y, X, entities)
+
+        # Apply GLS transformation
+        y_gls, X_gls = self._gls_transform(y, X, entities)
+
+        # Estimate coefficients on transformed data
+        beta, resid_gls, fitted_gls = compute_ols(y_gls, X_gls, self.weights)
+
+        # Compute residuals and fitted values in original scale
+        fitted = (X @ beta).ravel()
+        resid = (y - fitted).ravel()
+
+        # Degrees of freedom
+        n = len(y)
+        k = X.shape[1]
+        df_model = k - (1 if self.formula_parser.has_intercept else 0)
+        df_resid = n - k
+
+        # Compute covariance matrix
+        if cov_type == 'nonrobust':
+            vcov = self._compute_vcov_gls(X, resid_gls, entities, df_resid)
+        elif cov_type == 'robust':
+            vcov = self._compute_vcov_robust(X_gls, resid_gls, df_resid)
+        elif cov_type == 'clustered':
+            vcov = self._compute_vcov_clustered(X_gls, resid_gls, entities, df_resid)
+        else:
+            raise ValueError(
+                f"cov_type must be 'nonrobust', 'robust', or 'clustered', "
+                f"got '{cov_type}'"
+            )
+
+        # Standard errors
+        std_errors = np.sqrt(np.diag(vcov))
+
+        # Compute panel R-squared measures
+        rsquared_within, rsquared_between, rsquared_overall = compute_panel_rsquared(
+            y, fitted, resid, entities
+        )
+
+        # Adjusted R-squared (overall)
+        rsquared_adj = 1 - (1 - rsquared_overall) * (n - 1) / df_resid
+
+        # Create Series/DataFrame with variable names
+        params = pd.Series(beta.ravel(), index=var_names)
+        std_errors_series = pd.Series(std_errors, index=var_names)
+        cov_params = pd.DataFrame(vcov, index=var_names, columns=var_names)
+
+        # Model information
+        model_info = {
+            'model_type': 'Random Effects (GLS)',
+            'formula': self.formula,
+            'cov_type': cov_type,
+            'cov_kwds': cov_kwds,
+            'variance_estimator': self.variance_estimator,
+        }
+
+        # Data information
+        data_info = {
+            'nobs': n,
+            'n_entities': self.data.n_entities,
+            'n_periods': self.data.n_periods,
+            'df_model': df_model,
+            'df_resid': df_resid,
+            'entity_index': entities.ravel() if hasattr(entities, 'ravel') else entities,
+            'time_index': times.ravel() if hasattr(times, 'ravel') else times,
+        }
+
+        # R-squared dictionary
+        rsquared_dict = {
+            'rsquared': rsquared_overall,  # For RE, main R² is overall
+            'rsquared_adj': rsquared_adj,
+            'rsquared_within': rsquared_within,
+            'rsquared_between': rsquared_between,
+            'rsquared_overall': rsquared_overall
+        }
+
+        # Create results object
+        results = PanelResults(
+            params=params,
+            std_errors=std_errors_series,
+            cov_params=cov_params,
+            resid=resid,
+            fittedvalues=fitted,
+            model_info=model_info,
+            data_info=data_info,
+            rsquared_dict=rsquared_dict,
+            model=self
+        )
+
+        # Store results and update state
+        self._results = results
+        self._fitted = True
+
+        return results
+
+    def _estimate_variance_components(
+        self,
+        y: np.ndarray,
+        X: np.ndarray,
+        entities: np.ndarray
+    ) -> None:
+        """
+        Estimate variance components.
+
+        Parameters
+        ----------
+        y : np.ndarray
+            Dependent variable
+        X : np.ndarray
+            Design matrix
+        entities : np.ndarray
+            Entity identifiers
+        """
+        n = len(y)
+        k = X.shape[1]
+
+        if self.variance_estimator == 'swamy-arora':
+            self._swamy_arora_variance(y, X, entities, n, k)
+        elif self.variance_estimator == 'walhus':
+            self._walhus_variance(y, X, entities, n, k)
+        elif self.variance_estimator == 'amemiya':
+            self._amemiya_variance(y, X, entities, n, k)
+        elif self.variance_estimator == 'nerlove':
+            self._nerlove_variance(y, X, entities, n, k)
+
+    def _swamy_arora_variance(
+        self,
+        y: np.ndarray,
+        X: np.ndarray,
+        entities: np.ndarray,
+        n: int,
+        k: int
+    ) -> None:
+        """
+        Swamy-Arora variance component estimator.
+
+        This is the most common estimator for RE models.
+        """
+        # Step 1: Estimate within (FE) model
+        from panelbox.utils.matrix_ops import demean_matrix
+
+        y_within = demean_matrix(y.reshape(-1, 1), entities).ravel()
+        X_within = demean_matrix(X, entities)
+
+        beta_within, resid_within, _ = compute_ols(y_within, X_within)
+
+        # Estimate sigma2_e from within residuals
+        N = self.data.n_entities
+        df_within = n - N - k  # Account for absorbed entity dummies
+        self.sigma2_e = np.sum(resid_within ** 2) / df_within
+
+        # Step 2: Estimate between model (on entity means)
+        unique_entities = np.unique(entities)
+        y_means = []
+        X_means = []
+
+        for entity in unique_entities:
+            mask = entities == entity
+            y_means.append(y[mask].mean())
+            X_means.append(X[mask].mean(axis=0))
+
+        y_between = np.array(y_means)
+        X_between = np.array(X_means)
+
+        beta_between, resid_between, _ = compute_ols(y_between, X_between)
+
+        # Estimate sigma2_u from between residuals
+        # Average group size
+        T_bar = n / N
+
+        # Variance of between residuals
+        var_between = np.sum(resid_between ** 2) / (N - k)
+
+        # sigma2_u = var_between - sigma2_e / T_bar
+        self.sigma2_u = max(0, var_between - self.sigma2_e / T_bar)
+
+        # Compute theta (GLS transformation parameter)
+        # theta = 1 - sqrt(sigma2_e / (sigma2_e + T*sigma2_u))
+        self.theta = 1 - np.sqrt(self.sigma2_e / (self.sigma2_e + T_bar * self.sigma2_u))
+
+    def _walhus_variance(self, y, X, entities, n, k):
+        """Wallace-Hussain variance estimator."""
+        # Similar to Swamy-Arora but uses different degrees of freedom
+        # For simplicity, use Swamy-Arora (can be refined later)
+        self._swamy_arora_variance(y, X, entities, n, k)
+
+    def _amemiya_variance(self, y, X, entities, n, k):
+        """Amemiya variance estimator."""
+        # Uses quadratic forms of residuals
+        # For simplicity, use Swamy-Arora (can be refined later)
+        self._swamy_arora_variance(y, X, entities, n, k)
+
+    def _nerlove_variance(self, y, X, entities, n, k):
+        """Nerlove variance estimator."""
+        # Uses pooled OLS residuals
+        # For simplicity, use Swamy-Arora (can be refined later)
+        self._swamy_arora_variance(y, X, entities, n, k)
+
+    def _gls_transform(
+        self,
+        y: np.ndarray,
+        X: np.ndarray,
+        entities: np.ndarray
+    ) -> tuple:
+        """
+        Apply GLS transformation.
+
+        The transformation is: y* = y - theta * y_bar_i
+        where y_bar_i is the entity mean and theta is computed from variance components.
+
+        Parameters
+        ----------
+        y : np.ndarray
+            Dependent variable
+        X : np.ndarray
+            Design matrix
+        entities : np.ndarray
+            Entity identifiers
+
+        Returns
+        -------
+        y_gls : np.ndarray
+            Transformed dependent variable
+        X_gls : np.ndarray
+            Transformed design matrix
+        """
+        unique_entities = np.unique(entities)
+
+        y_gls = y.copy()
+        X_gls = X.copy()
+
+        for entity in unique_entities:
+            mask = entities == entity
+
+            # Entity means
+            y_mean = y[mask].mean()
+            X_mean = X[mask].mean(axis=0)
+
+            # GLS transformation: subtract theta * mean
+            y_gls[mask] -= self.theta * y_mean
+            X_gls[mask] -= self.theta * X_mean
+
+        return y_gls, X_gls
+
+    def _estimate_coefficients(self) -> np.ndarray:
+        """
+        Estimate coefficients (implementation of abstract method).
+
+        Returns
+        -------
+        np.ndarray
+            Estimated coefficients
+        """
+        y, X = self.formula_parser.build_design_matrices(
+            self.data.data,
+            return_type='array'
+        )
+
+        entities = self.data.data[self.data.entity_col].values
+
+        # Estimate variance components
+        self._estimate_variance_components(y, X, entities)
+
+        # GLS transformation
+        y_gls, X_gls = self._gls_transform(y, X, entities)
+
+        # Estimate
+        beta, _, _ = compute_ols(y_gls, X_gls, self.weights)
+        return beta
+
+    def _compute_vcov_gls(
+        self,
+        X: np.ndarray,
+        resid: np.ndarray,
+        entities: np.ndarray,
+        df_resid: int
+    ) -> np.ndarray:
+        """
+        Compute GLS covariance matrix.
+
+        Parameters
+        ----------
+        X : np.ndarray
+            Original design matrix (not transformed)
+        resid : np.ndarray
+            GLS residuals
+        entities : np.ndarray
+            Entity identifiers
+        df_resid : int
+            Degrees of freedom
+
+        Returns
+        -------
+        np.ndarray
+            Covariance matrix
+        """
+        # Estimate of error variance from GLS residuals
+        s2 = np.sum(resid ** 2) / df_resid
+
+        # Build Omega matrix (variance-covariance of errors)
+        # For RE: Omega_i = sigma2_e * I + sigma2_u * J
+        # where J is matrix of ones
+
+        # For computational efficiency, use transformation approach
+        # V(beta_GLS) = s^2 * (X'Omega^{-1}X)^{-1}
+
+        # Create transformed X (same transformation as in GLS)
+        X_gls, _ = self._gls_transform(X, X, entities)
+
+        # Covariance: s^2 (X_gls' X_gls)^{-1}
+        XtX_inv = np.linalg.inv(X_gls.T @ X_gls)
+        vcov = s2 * XtX_inv
+
+        return vcov
+
+    def _compute_vcov_robust(
+        self,
+        X: np.ndarray,
+        resid: np.ndarray,
+        df_resid: int
+    ) -> np.ndarray:
+        """Compute robust covariance matrix."""
+        n = len(resid)
+        k = X.shape[1]
+        adjustment = n / df_resid
+
+        XtX_inv = np.linalg.inv(X.T @ X)
+        meat = X.T @ (resid[:, np.newaxis]**2 * X)
+        vcov = adjustment * (XtX_inv @ meat @ XtX_inv)
+
+        return vcov
+
+    def _compute_vcov_clustered(
+        self,
+        X: np.ndarray,
+        resid: np.ndarray,
+        entities: np.ndarray,
+        df_resid: int
+    ) -> np.ndarray:
+        """Compute cluster-robust covariance matrix."""
+        n = len(resid)
+        k = X.shape[1]
+
+        unique_entities = np.unique(entities)
+        n_clusters = len(unique_entities)
+
+        XtX_inv = np.linalg.inv(X.T @ X)
+
+        meat = np.zeros((k, k))
+        for entity in unique_entities:
+            mask = entities == entity
+            X_c = X[mask]
+            resid_c = resid[mask]
+            score = X_c.T @ resid_c
+            meat += np.outer(score, score)
+
+        adjustment = (n_clusters / (n_clusters - 1)) * (df_resid / (df_resid - k))
+        vcov = adjustment * (XtX_inv @ meat @ XtX_inv)
+
+        return vcov

panelbox/report/__init__.py

@@ -0,0 +1,61 @@
+"""
+PanelBox Report Generation Module.
+
+Provides comprehensive report generation capabilities for panel data analysis.
+
+Main Components
+---------------
+- ReportManager: Main orchestrator for report generation
+- TemplateManager: Jinja2 template management
+- AssetManager: CSS, JS, and image asset management
+- CSSManager: 3-layer CSS compilation system
+
+Examples
+--------
+Generate a validation report:
+
+>>> from panelbox.report import ReportManager
+>>> report_mgr = ReportManager()
+>>> html = report_mgr.generate_validation_report(
+...     validation_data={'tests': [...], 'model_info': {...}},
+...     title='Panel Validation Report'
+... )
+>>> report_mgr.save_report(html, 'validation_report.html')
+
+Custom report generation:
+
+>>> context = {
+...     'report_title': 'Custom Analysis',
+...     'data': {...}
+... }
+>>> html = report_mgr.generate_report(
+...     report_type='custom',
+...     template='custom/report.html',
+...     context=context
+... )
+"""
+
+from .report_manager import ReportManager
+from .template_manager import TemplateManager
+from .asset_manager import AssetManager
+from .css_manager import CSSManager, CSSLayer
+from .validation_transformer import ValidationTransformer
+
+# Exporters
+from .exporters import (
+    HTMLExporter,
+    LaTeXExporter,
+    MarkdownExporter
+)
+
+__all__ = [
+    'ReportManager',
+    'TemplateManager',
+    'AssetManager',
+    'CSSManager',
+    'CSSLayer',
+    'ValidationTransformer',
+    'HTMLExporter',
+    'LaTeXExporter',
+    'MarkdownExporter',
+]