Python pandas has no attribute ols - Error (rolling OLS)
pd.stats.ols.MovingOLS
was removed in Pandas version 0.20.0
http://pandas-docs.github.io/pandas-docs-travis/whatsnew.html#whatsnew-0200-prior-deprecations
https://github.com/pandas-dev/pandas/pull/11898
I can't find an 'off the shelf' solution for what should be such an obvious use case as rolling regressions.
The following should do the trick without investing too much time in a more elegant solution. It uses numpy to calculate the predicted value of the regression based on the regression parameters and the X values in the rolling window.
window = 1000
a = np.array([np.nan] * len(df))
b = [np.nan] * len(df) # If betas required.
y_ = df.y.values
x_ = df[['x']].assign(constant=1).values
for n in range(window, len(df)):
y = y_[(n - window):n]
X = x_[(n - window):n]
# betas = Inverse(X'.X).X'.y
betas = np.linalg.inv(X.T.dot(X)).dot(X.T).dot(y)
y_hat = betas.dot(x_[n, :])
a[n] = y_hat
b[n] = betas.tolist() # If betas required.
The code above is equivalent to the following and about 35% faster:
model = pd.stats.ols.MovingOLS(y=df.y, x=df.x, window_type='rolling', window=1000, intercept=True)
y_pandas = model.y_predict
Desta Haileselassie Hagos
Updated on June 06, 2022Comments
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Desta Haileselassie Hagos over 1 year
For my evaluation, I wanted to run a rolling 1000 window
OLS regression estimation
of the dataset found in this URL: https://drive.google.com/open?id=0B2Iv8dfU4fTUa3dPYW5tejA0bzg using the followingPython
script.# /usr/bin/python -tt import numpy as np import matplotlib.pyplot as plt import pandas as pd from statsmodels.formula.api import ols df = pd.read_csv('estimated.csv', names=('x','y')) model = pd.stats.ols.MovingOLS(y=df.Y, x=df[['y']], window_type='rolling', window=1000, intercept=True) df['Y_hat'] = model.y_predict
However, when I run my Python script, I am getting this error:
AttributeError: module 'pandas.stats' has no attribute 'ols'
. Could this error be from the version that I am using? Thepandas
installed on my Linux node has a version of0.20.2
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Desta Haileselassie Hagos over 6 yearsYes, that's right as I have learned from the comments above. So, do you have any idea on how we can use it with the latest version of
Pandas
? -
Alexander over 6 years@DestaHaileselassieHagos What results do you want from the rolling regression (e.g. slope, intercept, predicted value, etc)
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Desta Haileselassie Hagos over 6 years@Alexander, for example predicted value. Thanks!
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Desta Haileselassie Hagos over 6 yearsI actually rollback my
pandas
version to0.18.0
and theols
is working now. Thank you so much! -
Lost1 about 6 years@DestaHaileselassieHagos does the old package have any statistical feature which allow you to calculate the significance of the coefficients?
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Desta Haileselassie Hagos about 6 years@Lost1, no it doesn't.