Why do I get only one parameter from a statsmodels OLS fit

Question

Here is what I am doing:

$ python
Python 2.7.6 (v2.7.6:3a1db0d2747e, Nov 10 2013, 00:42:54) 
[GCC 4.2.1 (Apple Inc. build 5666) (dot 3)] on darwin
>>> import statsmodels.api as sm
>>> statsmodels.__version__
'0.5.0'
>>> import numpy 
>>> y = numpy.array([1,2,3,4,5,6,7,8,9])
>>> X = numpy.array([1,1,2,2,3,3,4,4,5])
>>> res_ols = sm.OLS(y, X).fit()
>>> res_ols.params
array([ 1.82352941])

I had expected an array with two elements?!? The intercept and the slope coefficient?

Solution 1

Try this:

X = sm.add_constant(X)
sm.OLS(y,X)

as in the documentation:

An intercept is not included by default and should be added by the user

statsmodels.tools.tools.add_constant

Solution 2

Just to be complete, this works:

>>> import numpy 
>>> import statsmodels.api as sm
>>> y = numpy.array([1,2,3,4,5,6,7,8,9])
>>> X = numpy.array([1,1,2,2,3,3,4,4,5])
>>> X = sm.add_constant(X)
>>> res_ols = sm.OLS(y, X).fit()
>>> res_ols.params
array([-0.35714286,  1.92857143])

It does give me a different slope coefficient, but I guess that figures as we now do have an intercept.

Solution 3

Try this, it worked for me:

import statsmodels.formula.api as sm

from statsmodels.api import add_constant

X_train = add_constant(X_train)

X_test = add_constant(X_test)


model = sm.OLS(y_train,X_train)

results = model.fit()

y_pred=results.predict(X_test)

results.params

Solution 4

I'm running 0.6.1 and it looks like the "add_constant" function has been moved into the statsmodels.tools module. Here's what I ran that worked:

res_ols = sm.OLS(y, statsmodels.tools.add_constant(X)).fit()

Solution 5

i did add the code X = sm.add_constant(X) but python did not return the intercept value so using a little algebra i decided to do it myself in code:

this code computes regression over 35 samples, 7 features plus one intercept value that i added as feature to the equation:

import statsmodels.api as sm
from sklearn import datasets ## imports datasets from scikit-learn
import numpy as np
import pandas as pd

x=np.empty((35,8)) # (numSamples, oneIntercept + numFeatures))
feature_names = np.empty((8,))
y = np.empty((35,))

dbfv = open("dataset.csv").readlines()


interceptConstant = 1;
i = 0
# reading data and writing in numpy arrays
while i<len(dbfv):
    cells = dbfv[i].split(",")
    j = 0
    x[i][j] = interceptConstant
    feature_names[j] = str(j)
    while j<len(cells)-1:
        x[i][j+1] = cells[j]
        feature_names[j+1] = str(j+1)
        j += 1
    y[i] = cells[len(cells)-1]
    i += 1
# creating dataframes
df = pd.DataFrame(x, columns=feature_names)

target = pd.DataFrame(y, columns=["TARGET"])

X = df
y = target["TARGET"]

model = sm.OLS(y, X).fit()

print(model.params)

# predictions = model.predict(X) # make the predictions by the model


# Print out the statistics
print(model.summary())

View more solutions

Comments

[Tom]

I was looking at the ols example ate the wls page so I guess that is why I overlooked the add_constant(), as it's not mentioned on that page.

[Desta Haileselassie Hagos]

@behzad-nouri, I would appreciate if you could have a look at this: stackoverflow.com/questions/44747203/…

[FaCoffee]

I am quite puzzled by this. Why isn't an intercept added by default? Why do you want to run the linear regression without the bloody constant? It makes no sense to me.

[Josef]

use import statsmodels.api as sm instead. formula.api will not have OLS (capital case) in the next release, only ols (lower case for formula interface)

[Golden Lion]

what does adding a column of ones to an array do to X?