first_diff.py 文件源码

def estimate(self):
        """
        Estimate the first differenced OLS
        :return: results
        """
        # first difference data
        self.__first_diff()

        # first, make a dataframe out of the panel of indvars
        x_dataframe = self.fd_x.transpose(2,0,1).to_frame(False) # set to False to not drop NaNs
        # unstack the depvar dataframe into a series
        y_series = self.fd_y.unstack()

        # fit regression model with statsmodels
        results = sm.OLS(y_series.values, x_dataframe.values, missing='drop').fit()

        print(results.summary(self.depvar, self.indvars))

        self.result = results