如何使用 statsmodels python 进行 2SLS IV 回归? [英] How to do 2SLS IV regression using statsmodels python?

问题描述

我正在尝试使用 statsmodels 库在 python 中进行两阶段最小二乘回归.

I'm trying to do 2 stage least squares regression in python using the statsmodels library.

from statsmodels.sandbox.regression.gmm import IV2SLS                       
resultIV = IV2SLS(dietdummy['Log Income'], dietdummy.drop(['Log Income', 'Diabetes']),     
dietdummy.drop(['Log Income', 'Reads Nutri')

Reads Nutri 是我的内生变量，我的工具是 Diabetes，我的因变量是 Log Income.

Reads Nutri is my endogenous variable my instrument is Diabetes and my dependent variable is Log Income.

我这样做对吗?它与我在 stata 上做的方式大不相同.

Did I do this right? its much different than the way I would do it on stata.

此外，当我执行 resultIV.summary() 时，我收到一个类型错误，这与 F 统计数据为 nonetype 有关系，我该如何重新喜欢这个?

Also, when I do resultIV.summary() I get a type error, something to do with the F statistic being nonetype, how can i reslove this?

非常感谢任何帮助.

推荐答案

当我想自己做一个 IV2SLS 回归并遇到同样的问题时，我发现了这个问题.所以，只为所有来到这里的其他人.

I found this question when I wanted to do an IV2SLS regression myself and had the same problem. So, just for everybody else who landed here.

统计模型文档显示如何使用这个命令.您的参数是 endog、exog 和 instrument，其中 exog 包括检测的变量和 instrument 工具和其他控制变量.从这个意义上说，你的模型很好.

The documentation of statsmodels shows how to use this command. Your arguments are endog, exog, and instrumentin that order where exog includes variables which are instrumented and instrument the instruments and other control variables. In that sense, your model is fine.

您发现的 TypeError 当前是一个开放错误 在 0.6.0 和 0.8.1 版本中.并将根据里程碑在 0.9.0 中修复.

The TypeError you found is currently an open bug in versions 0.6.0 and 0.8.1. and will be fixed in 0.9.0 according to the milestone.

更新 (28.06.2018):9.0.0 版已于 5 月 15 日发布，应包含对上述错误的修复.

Update (28.06.2018): Version 9.0.0 was released on 15 May and should include a fix for the aforementioned bug.

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