How to generate many interaction terms in Pandas?

Question

I would like to estimate an IV regression model using many interactions with year, demographic, and etc. dummies. I can't find an explicit method to do this in Pandas and am curious if anyone has tips.

I'm thinking of trying scikit-learn and this function:

http://scikit-learn.org/stable/modules/generated/sklearn.preprocessing.PolynomialFeatures.html

Solution 1

I was now faced with a similar problem, where I needed a flexible way to create specific interactions and looked through StackOverflow. I followed the tip in the comment above of @user333700 and thanks to him found patsy (http://patsy.readthedocs.io/en/latest/overview.html) and after a Google search this scikit-learn integration patsylearn (https://github.com/amueller/patsylearn).

So going through the example of @motam79, this is possible:

import numpy as np
import pandas as pd
from patsylearn import PatsyModel, PatsyTransformer
x = np.array([[ 3, 20, 11],
   [ 6,  2,  7],
   [18,  2, 17],
   [11, 12, 19],
   [ 7, 20,  6]])
df = pd.DataFrame(x, columns=["a", "b", "c"])
x_t = PatsyTransformer("a:b + a:c + b:c", return_type="dataframe").fit_transform(df)

This returns the following:

     a:b    a:c    b:c
0   60.0   33.0  220.0
1   12.0   42.0   14.0
2   36.0  306.0   34.0
3  132.0  209.0  228.0
4  140.0   42.0  120.0

I answered to a similar question here, where I provide another example with categorical variables: How can an interaction design matrix be created from categorical variables?

Solution 2

You can use sklearn's PolynomialFeatures function. Here is an example:

Let's assume, this is your design (i.e. feature) matrix:

x = array([[ 3, 20, 11],
       [ 6,  2,  7],
       [18,  2, 17],
       [11, 12, 19],
       [ 7, 20,  6]])


x_t = PolynomialFeatures(2, interaction_only=True, include_bias=False).fit_transform(x)

Here is the result:

array([[   3.,   20.,   11.,   60.,   33.,  220.],
       [   6.,    2.,    7.,   12.,   42.,   14.],
       [  18.,    2.,   17.,   36.,  306.,   34.],
       [  11.,   12.,   19.,  132.,  209.,  228.],
       [   7.,   20.,    6.,  140.,   42.,  120.]])

The first 3 features are the original features, and the next three are interactions of the original features.