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test_discrete.py
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test_discrete.py
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"""
Tests for discrete models
Notes
-----
DECIMAL_3 is used because it seems that there is a loss of precision
in the Stata *.dta -> *.csv output, NOT the estimator for the Poisson
tests.
"""
import os
import numpy as np
from numpy.testing import *
from statsmodels.discrete.discrete_model import (Logit, Probit, MNLogit,
Poisson)
from statsmodels.discrete.discrete_margins import _iscount, _isdummy
import statsmodels.api as sm
from sys import platform
from nose import SkipTest
from results.results_discrete import Spector, DiscreteL1
from statsmodels.tools.sm_exceptions import PerfectSeparationError
try:
import cvxopt
has_cvxopt = True
except ImportError:
has_cvxopt = False
DECIMAL_14 = 14
DECIMAL_10 = 10
DECIMAL_9 = 9
DECIMAL_4 = 4
DECIMAL_3 = 3
DECIMAL_2 = 2
DECIMAL_1 = 1
DECIMAL_0 = 0
iswindows = 'win' in platform.lower()
class CheckModelResults(object):
"""
res2 should be the test results from RModelWrap
or the results as defined in model_results_data
"""
def test_params(self):
assert_almost_equal(self.res1.params, self.res2.params, DECIMAL_4)
def test_conf_int(self):
assert_almost_equal(self.res1.conf_int(), self.res2.conf_int, DECIMAL_4)
def test_zstat(self):
assert_almost_equal(self.res1.tvalues, self.res2.z, DECIMAL_4)
def pvalues(self):
assert_almost_equal(self.res1.pvalues, self.res2.pvalues, DECIMAL_4)
# def test_cov_params(self):
# assert_almost_equal(self.res1.cov_params(), self.res2.cov_params,
# DECIMAL_4)
def test_llf(self):
assert_almost_equal(self.res1.llf, self.res2.llf, DECIMAL_4)
def test_llnull(self):
assert_almost_equal(self.res1.llnull, self.res2.llnull, DECIMAL_4)
def test_llr(self):
assert_almost_equal(self.res1.llr, self.res2.llr, DECIMAL_3)
def test_llr_pvalue(self):
assert_almost_equal(self.res1.llr_pvalue, self.res2.llr_pvalue,
DECIMAL_4)
def test_normalized_cov_params(self):
pass
def test_bse(self):
assert_almost_equal(self.res1.bse, self.res2.bse, DECIMAL_4)
def test_dof(self):
assert_equal(self.res1.df_model, self.res2.df_model)
assert_equal(self.res1.df_resid, self.res2.df_resid)
def test_aic(self):
assert_almost_equal(self.res1.aic, self.res2.aic, DECIMAL_3)
def test_bic(self):
assert_almost_equal(self.res1.bic, self.res2.bic, DECIMAL_3)
def test_predict(self):
assert_almost_equal(self.res1.model.predict(self.res1.params),
self.res2.phat, DECIMAL_4)
def test_predict_xb(self):
assert_almost_equal(self.res1.model.predict(self.res1.params,
linear=True),
self.res2.yhat, DECIMAL_4)
def test_loglikeobs(self):
#basic cross check
llobssum = self.res1.model.loglikeobs(self.res1.params).sum()
assert_almost_equal(llobssum, self.res1.llf, DECIMAL_14)
def test_jac(self):
#basic cross check
jacsum = self.res1.model.jac(self.res1.params).sum(0)
score = self.res1.model.score(self.res1.params)
assert_almost_equal(jacsum, score, DECIMAL_9) #Poisson has low precision ?
class CheckBinaryResults(CheckModelResults):
def test_pred_table(self):
assert_array_equal(self.res1.pred_table(), self.res2.pred_table)
class CheckMargEff(object):
"""
Test marginal effects (margeff) and its options
"""
def test_nodummy_dydxoverall(self):
me = self.res1.get_margeff()
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_dydx, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_dydx_se, DECIMAL_4)
def test_nodummy_dydxmean(self):
me = self.res1.get_margeff(at='mean')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_dydxmean, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_dydxmean_se, DECIMAL_4)
def test_nodummy_dydxmedian(self):
me = self.res1.get_margeff(at='median')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_dydxmedian, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_dydxmedian_se, DECIMAL_4)
def test_nodummy_dydxzero(self):
me = self.res1.get_margeff(at='zero')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_dydxzero, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_dydxzero, DECIMAL_4)
def test_nodummy_dyexoverall(self):
me = self.res1.get_margeff(method='dyex')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_dyex, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_dyex_se, DECIMAL_4)
def test_nodummy_dyexmean(self):
me = self.res1.get_margeff(at='mean', method='dyex')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_dyexmean, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_dyexmean_se, DECIMAL_4)
def test_nodummy_dyexmedian(self):
me = self.res1.get_margeff(at='median', method='dyex')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_dyexmedian, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_dyexmedian_se, DECIMAL_4)
def test_nodummy_dyexzero(self):
me = self.res1.get_margeff(at='zero', method='dyex')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_dyexzero, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_dyexzero_se, DECIMAL_4)
def test_nodummy_eydxoverall(self):
me = self.res1.get_margeff(method='eydx')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_eydx, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_eydx_se, DECIMAL_4)
def test_nodummy_eydxmean(self):
me = self.res1.get_margeff(at='mean', method='eydx')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_eydxmean, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_eydxmean_se, DECIMAL_4)
def test_nodummy_eydxmedian(self):
me = self.res1.get_margeff(at='median', method='eydx')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_eydxmedian, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_eydxmedian_se, DECIMAL_4)
def test_nodummy_eydxzero(self):
me = self.res1.get_margeff(at='zero', method='eydx')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_eydxzero, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_eydxzero_se, DECIMAL_4)
def test_nodummy_eyexoverall(self):
me = self.res1.get_margeff(method='eyex')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_eyex, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_eyex_se, DECIMAL_4)
def test_nodummy_eyexmean(self):
me = self.res1.get_margeff(at='mean', method='eyex')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_eyexmean, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_eyexmean_se, DECIMAL_4)
def test_nodummy_eyexmedian(self):
me = self.res1.get_margeff(at='median', method='eyex')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_eyexmedian, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_eyexmedian_se, DECIMAL_4)
def test_nodummy_eyexzero(self):
me = self.res1.get_margeff(at='zero', method='eyex')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_eyexzero, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_eyexzero_se, DECIMAL_4)
def test_dummy_dydxoverall(self):
me = self.res1.get_margeff(dummy=True)
assert_almost_equal(me.margeff,
self.res2.margeff_dummy_dydx, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_dummy_dydx_se, DECIMAL_4)
def test_dummy_dydxmean(self):
me = self.res1.get_margeff(at='mean', dummy=True)
assert_almost_equal(me.margeff,
self.res2.margeff_dummy_dydxmean, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_dummy_dydxmean_se, DECIMAL_4)
def test_dummy_eydxoverall(self):
me = self.res1.get_margeff(method='eydx', dummy=True)
assert_almost_equal(me.margeff,
self.res2.margeff_dummy_eydx, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_dummy_eydx_se, DECIMAL_4)
def test_dummy_eydxmean(self):
me = self.res1.get_margeff(at='mean', method='eydx', dummy=True)
assert_almost_equal(me.margeff,
self.res2.margeff_dummy_eydxmean, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_dummy_eydxmean_se, DECIMAL_4)
def test_count_dydxoverall(self):
me = self.res1.get_margeff(count=True)
assert_almost_equal(me.margeff,
self.res2.margeff_count_dydx, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_count_dydx_se, DECIMAL_4)
def test_count_dydxmean(self):
me = self.res1.get_margeff(count=True, at='mean')
assert_almost_equal(me.margeff,
self.res2.margeff_count_dydxmean, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_count_dydxmean_se, DECIMAL_4)
def test_count_dummy_dydxoverall(self):
me = self.res1.get_margeff(count=True, dummy=True)
assert_almost_equal(me.margeff,
self.res2.margeff_count_dummy_dydxoverall, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_count_dummy_dydxoverall_se, DECIMAL_4)
def test_count_dummy_dydxmean(self):
me = self.res1.get_margeff(count=True, dummy=True, at='mean')
assert_almost_equal(me.margeff,
self.res2.margeff_count_dummy_dydxmean, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_count_dummy_dydxmean_se, DECIMAL_4)
class TestProbitNewton(CheckBinaryResults):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=False)
cls.res1 = Probit(data.endog, data.exog).fit(method="newton", disp=0)
res2 = Spector()
res2.probit()
cls.res2 = res2
#def test_predict(self):
# assert_almost_equal(self.res1.model.predict(self.res1.params),
# self.res2.predict, DECIMAL_4)
def test_resid(self):
assert_almost_equal(self.res1.resid, self.res2.resid, DECIMAL_4)
class TestProbitBFGS(CheckBinaryResults):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=False)
cls.res1 = Probit(data.endog, data.exog).fit(method="bfgs",
disp=0)
res2 = Spector()
res2.probit()
cls.res2 = res2
class TestProbitNM(CheckBinaryResults):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=False)
res2 = Spector()
res2.probit()
cls.res2 = res2
cls.res1 = Probit(data.endog, data.exog).fit(method="nm",
disp=0, maxiter=500)
class TestProbitPowell(CheckBinaryResults):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=False)
res2 = Spector()
res2.probit()
cls.res2 = res2
cls.res1 = Probit(data.endog, data.exog).fit(method="powell",
disp=0, ftol=1e-8)
class TestProbitCG(CheckBinaryResults):
@classmethod
def setupClass(cls):
if iswindows: # does this work with classmethod?
raise SkipTest("fmin_cg sometimes fails to converge on windows")
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=False)
res2 = Spector()
res2.probit()
cls.res2 = res2
cls.res1 = Probit(data.endog, data.exog).fit(method="cg",
disp=0, maxiter=500)
class TestProbitNCG(CheckBinaryResults):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=False)
res2 = Spector()
res2.probit()
cls.res2 = res2
cls.res1 = Probit(data.endog, data.exog).fit(method="ncg",
disp=0, avextol=1e-8)
class CheckLikelihoodModelL1(object):
"""
For testing results generated with L1 regularization
"""
def test_params(self):
assert_almost_equal(self.res1.params, self.res2.params, DECIMAL_4)
def test_conf_int(self):
assert_almost_equal(
self.res1.conf_int(), self.res2.conf_int, DECIMAL_4)
def test_bse(self):
assert_almost_equal(self.res1.bse, self.res2.bse, DECIMAL_4)
def test_nnz_params(self):
assert_almost_equal(
self.res1.nnz_params, self.res2.nnz_params, DECIMAL_4)
def test_aic(self):
assert_almost_equal(
self.res1.aic, self.res2.aic, DECIMAL_3)
def test_bic(self):
assert_almost_equal(
self.res1.bic, self.res2.bic, DECIMAL_3)
class TestProbitL1(CheckLikelihoodModelL1):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=True)
alpha = np.array([0.1, 0.2, 0.3, 10]) #/ data.exog.shape[0]
cls.res1 = Probit(data.endog, data.exog).fit_regularized(
method="l1", alpha=alpha, disp=0, trim_mode='auto',
auto_trim_tol=0.02, acc=1e-10, maxiter=1000)
res2 = DiscreteL1()
res2.probit()
cls.res2 = res2
def test_cov_params(self):
assert_almost_equal(
self.res1.cov_params(), self.res2.cov_params, DECIMAL_4)
class TestMNLogitL1(CheckLikelihoodModelL1):
@classmethod
def setupClass(cls):
anes_data = sm.datasets.anes96.load()
anes_exog = anes_data.exog
anes_exog = sm.add_constant(anes_exog, prepend=False)
mlogit_mod = sm.MNLogit(anes_data.endog, anes_exog)
alpha = 10. * np.ones((mlogit_mod.J - 1, mlogit_mod.K)) #/ anes_exog.shape[0]
alpha[-1,:] = 0
cls.res1 = mlogit_mod.fit_regularized(
method='l1', alpha=alpha, trim_mode='auto', auto_trim_tol=0.02,
acc=1e-10, disp=0)
res2 = DiscreteL1()
res2.mnlogit()
cls.res2 = res2
class TestLogitL1(CheckLikelihoodModelL1):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=True)
cls.alpha = 3 * np.array([0., 1., 1., 1.]) #/ data.exog.shape[0]
cls.res1 = Logit(data.endog, data.exog).fit_regularized(
method="l1", alpha=cls.alpha, disp=0, trim_mode='size',
size_trim_tol=1e-5, acc=1e-10, maxiter=1000)
res2 = DiscreteL1()
res2.logit()
cls.res2 = res2
def test_cov_params(self):
assert_almost_equal(
self.res1.cov_params(), self.res2.cov_params, DECIMAL_4)
class TestCVXOPT(object):
@classmethod
def setupClass(self):
self.data = sm.datasets.spector.load()
self.data.exog = sm.add_constant(self.data.exog, prepend=True)
def test_cvxopt_versus_slsqp(self):
#Compares resutls from cvxopt to the standard slsqp
if has_cvxopt:
self.alpha = 3. * np.array([0, 1, 1, 1.]) #/ self.data.endog.shape[0]
res_slsqp = Logit(self.data.endog, self.data.exog).fit_regularized(
method="l1", alpha=self.alpha, disp=0, acc=1e-10, maxiter=1000,
trim_mode='auto')
res_cvxopt = Logit(self.data.endog, self.data.exog).fit_regularized(
method="l1_cvxopt_cp", alpha=self.alpha, disp=0, abstol=1e-10,
trim_mode='auto', auto_trim_tol=0.01, maxiter=1000)
assert_almost_equal(res_slsqp.params, res_cvxopt.params, DECIMAL_4)
else:
raise SkipTest("Skipped test_cvxopt since cvxopt is not available")
class TestSweepAlphaL1(object):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=True)
cls.model = Logit(data.endog, data.exog)
cls.alphas = np.array(
[[0.1, 0.1, 0.1, 0.1],
[0.4, 0.4, 0.5, 0.5],
[0.5, 0.5, 1, 1]]) #/ data.exog.shape[0]
cls.res1 = DiscreteL1()
cls.res1.sweep()
def test_sweep_alpha(self):
for i in range(3):
alpha = self.alphas[i, :]
res2 = self.model.fit_regularized(
method="l1", alpha=alpha, disp=0, acc=1e-10,
trim_mode='off', maxiter=1000)
assert_almost_equal(res2.params, self.res1.params[i], DECIMAL_4)
class CheckL1Compatability(object):
"""
Tests compatability between l1 and unregularized by setting alpha such
that certain parameters should be effectively unregularized, and others
should be ignored by the model.
"""
def test_params(self):
assert_almost_equal(
self.res_unreg.params, self.res_reg.params[:3], DECIMAL_4)
# The last entry should be close to zero
assert_almost_equal(0, self.res_reg.params[3], DECIMAL_4)
def test_cov_params(self):
# The restricted cov_params should be equal
assert_almost_equal(
self.res_unreg.cov_params(), self.res_reg.cov_params()[:3, :3],
DECIMAL_1)
def test_df(self):
assert_equal(self.res_unreg.df_model, self.res_reg.df_model)
assert_equal(self.res_unreg.df_resid, self.res_reg.df_resid)
def test_t_test(self):
t_unreg = self.res_unreg.t_test(np.eye(3))
t_reg = self.res_reg.t_test(np.eye(4))
assert_almost_equal(t_unreg.effect, t_reg.effect[:3], DECIMAL_3)
assert_almost_equal(t_unreg.sd, t_reg.sd[:3], DECIMAL_3)
assert_almost_equal(np.nan, t_reg.sd[3])
assert_almost_equal(t_unreg.tvalue, t_reg.tvalue[:3], DECIMAL_3)
assert_almost_equal(np.nan, t_reg.tvalue[3])
def test_f_test(self):
f_unreg = self.res_unreg.f_test(np.eye(3))
f_reg = self.res_reg.f_test(np.eye(4)[:3])
assert_almost_equal(f_unreg.fvalue, f_reg.fvalue, DECIMAL_3)
assert_almost_equal(f_unreg.pvalue, f_reg.pvalue, DECIMAL_3)
def test_bad_r_matrix(self):
assert_raises(ValueError, self.res_reg.f_test, np.eye(4) )
class TestLogitL1Compatability(CheckL1Compatability):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=True)
# Do a regularized fit with alpha, effectively dropping the last column
alpha = np.array([0, 0, 0, 10])
cls.res_reg = Logit(data.endog, data.exog).fit_regularized(
method="l1", alpha=alpha, disp=0, acc=1e-15, maxiter=2000,
trim_mode='auto')
# Actually drop the last columnand do an unregularized fit
exog_no_PSI = data.exog[:, :3]
cls.res_unreg = Logit(data.endog, exog_no_PSI).fit(disp=0, tol=1e-15)
class TestMNLogitL1Compatability(CheckL1Compatability):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=True)
alpha = np.array([0, 0, 0, 10])
cls.res_reg = MNLogit(data.endog, data.exog).fit_regularized(
method="l1", alpha=alpha, disp=0, acc=1e-15, maxiter=2000,
trim_mode='auto')
# Actually drop the last columnand do an unregularized fit
exog_no_PSI = data.exog[:, :3]
cls.res_unreg = MNLogit(data.endog, exog_no_PSI).fit(
disp=0, tol=1e-15)
#
def test_t_test(self):
t_unreg = self.res_unreg.t_test(np.eye(3))
t_reg = self.res_reg.t_test(np.eye(4))
assert_almost_equal(t_unreg.effect, t_reg.effect[:3], DECIMAL_3)
assert_almost_equal(t_unreg.sd, t_reg.sd[:3], DECIMAL_3)
assert_almost_equal(np.nan, t_reg.sd[3])
assert_almost_equal(t_unreg.tvalue, t_reg.tvalue[:3, :3], DECIMAL_3)
def test_f_test(self):
raise SkipTest("Skipped test_f_test for MNLogit")
class TestProbitL1Compatability(CheckL1Compatability):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=True)
alpha = np.array([0, 0, 0, 10])
cls.res_reg = Probit(data.endog, data.exog).fit_regularized(
method="l1", alpha=alpha, disp=0, acc=1e-15, maxiter=2000,
trim_mode='auto')
# Actually drop the last columnand do an unregularized fit
exog_no_PSI = data.exog[:, :3]
cls.res_unreg = Probit(data.endog, exog_no_PSI).fit(disp=0, tol=1e-15)
class CompareL1(object):
"""
For checking results for l1 regularization.
Assumes self.res1 and self.res2 are two legitimate models to be compared.
"""
def test_basic_results(self):
assert_almost_equal(self.res1.params, self.res2.params, DECIMAL_4)
assert_almost_equal(self.res1.cov_params(), self.res2.cov_params(), DECIMAL_4)
assert_almost_equal(self.res1.conf_int(), self.res2.conf_int(), DECIMAL_4)
assert_almost_equal(self.res1.pvalues, self.res2.pvalues, DECIMAL_4)
assert_almost_equal(self.res1.pred_table(), self.res2.pred_table(), DECIMAL_4)
assert_almost_equal(self.res1.bse, self.res2.bse, DECIMAL_4)
assert_almost_equal(self.res1.llf, self.res2.llf, DECIMAL_4)
assert_almost_equal(self.res1.aic, self.res2.aic, DECIMAL_4)
assert_almost_equal(self.res1.bic, self.res2.bic, DECIMAL_4)
assert_almost_equal(self.res1.pvalues, self.res2.pvalues, DECIMAL_4)
class CompareL11D(CompareL1):
"""
Check t and f tests. This only works for 1-d results
"""
def test_tests(self):
restrictmat = np.eye(len(self.res1.params.ravel()))
assert_almost_equal(self.res1.t_test(restrictmat).pvalue,
self.res2.t_test(restrictmat).pvalue, DECIMAL_4)
assert_almost_equal(self.res1.f_test(restrictmat).pvalue,
self.res2.f_test(restrictmat).pvalue, DECIMAL_4)
class TestL1AlphaZeroLogit(CompareL11D):
"""
Compares l1 model with alpha = 0 to the unregularized model.
"""
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=True)
cls.res1 = Logit(data.endog, data.exog).fit_regularized(
method="l1", alpha=0, disp=0, acc=1e-15, maxiter=1000,
trim_mode='auto', auto_trim_tol=0.01)
cls.res2 = Logit(data.endog, data.exog).fit(disp=0, tol=1e-15)
class TestL1AlphaZeroProbit(CompareL11D):
"""
Compares l1 model with alpha = 0 to the unregularized model.
"""
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=True)
cls.res1 = Probit(data.endog, data.exog).fit_regularized(
method="l1", alpha=0, disp=0, acc=1e-15, maxiter=1000,
trim_mode='auto', auto_trim_tol=0.01)
cls.res2 = Probit(data.endog, data.exog).fit(disp=0, tol=1e-15)
class TestL1AlphaZeroMNLogit(CompareL1):
@classmethod
def setupClass(cls):
data = sm.datasets.anes96.load()
data.exog = sm.add_constant(data.exog, prepend=False)
cls.res1 = MNLogit(data.endog, data.exog).fit_regularized(
method="l1", alpha=0, disp=0, acc=1e-15, maxiter=1000,
trim_mode='auto', auto_trim_tol=0.01)
cls.res2 = MNLogit(data.endog, data.exog).fit(disp=0, tol=1e-15)
class TestLogitNewton(CheckBinaryResults, CheckMargEff):
@classmethod
def setupClass(cls):
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=False)
cls.res1 = Logit(data.endog, data.exog).fit(method="newton", disp=0)
res2 = Spector()
res2.logit()
cls.res2 = res2
def test_nodummy_exog1(self):
me = self.res1.get_margeff(atexog={0 : 2.0, 2 : 1.})
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_atexog1, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_atexog1_se, DECIMAL_4)
def test_nodummy_exog2(self):
me = self.res1.get_margeff(atexog={1 : 21., 2 : 0}, at='mean')
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_atexog2, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_atexog2_se, DECIMAL_4)
def test_dummy_exog1(self):
me = self.res1.get_margeff(atexog={0 : 2.0, 2 : 1.}, dummy=True)
assert_almost_equal(me.margeff,
self.res2.margeff_dummy_atexog1, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_dummy_atexog1_se, DECIMAL_4)
def test_dummy_exog2(self):
me = self.res1.get_margeff(atexog={1 : 21., 2 : 0}, at='mean',
dummy=True)
assert_almost_equal(me.margeff,
self.res2.margeff_dummy_atexog2, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_dummy_atexog2_se, DECIMAL_4)
class TestLogitBFGS(CheckBinaryResults, CheckMargEff):
@classmethod
def setupClass(cls):
# import scipy
# major, minor, micro = scipy.__version__.split('.')[:3]
# if int(minor) < 9:
# raise SkipTest
#Skip this unconditionally for release 0.3.0
#since there are still problems with scipy 0.9.0 on some machines
#Ralf on mailing list 2011-03-26
raise SkipTest
data = sm.datasets.spector.load()
data.exog = sm.add_constant(data.exog, prepend=False)
res2 = Spector()
res2.logit()
cls.res2 = res2
cls.res1 = Logit(data.endog, data.exog).fit(method="bfgs",
disp=0)
class TestPoissonNewton(CheckModelResults):
@classmethod
def setupClass(cls):
from results.results_discrete import RandHIE
data = sm.datasets.randhie.load()
exog = sm.add_constant(data.exog, prepend=False)
cls.res1 = Poisson(data.endog, exog).fit(method='newton', disp=0)
res2 = RandHIE()
res2.poisson()
cls.res2 = res2
def test_margeff_overall(self):
me = self.res1.get_margeff()
assert_almost_equal(me.margeff,
self.res2.margeff_nodummy_overall, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_nodummy_overall_se, DECIMAL_4)
def test_margeff_dummy_overall(self):
me = self.res1.get_margeff(dummy=True)
assert_almost_equal(me.margeff,
self.res2.margeff_dummy_overall, DECIMAL_4)
assert_almost_equal(me.margeff_se,
self.res2.margeff_dummy_overall_se, DECIMAL_4)
class TestMNLogitNewtonBaseZero(CheckModelResults):
@classmethod
def setupClass(cls):
from results.results_discrete import Anes
data = sm.datasets.anes96.load()
cls.data = data
exog = data.exog
exog = sm.add_constant(exog, prepend=False)
cls.res1 = MNLogit(data.endog, exog).fit(method="newton", disp=0)
res2 = Anes()
res2.mnlogit_basezero()
cls.res2 = res2
def test_margeff_overall(self):
me = self.res1.get_margeff()
assert_almost_equal(me.margeff, self.res2.margeff_dydx_overall, 6)
assert_almost_equal(me.margeff_se, self.res2.margeff_dydx_overall_se, 6)
def test_margeff_mean(self):
me = self.res1.get_margeff(at='mean')
assert_almost_equal(me.margeff, self.res2.margeff_dydx_mean, 7)
assert_almost_equal(me.margeff_se, self.res2.margeff_dydx_mean_se, 7)
def test_margeff_dummy(self):
data = self.data
vote = data.data['vote']
exog = np.column_stack((data.exog, vote))
exog = sm.add_constant(exog, prepend=False)
res = MNLogit(data.endog, exog).fit(method="newton", disp=0)
me = res.get_margeff(dummy=True)
assert_almost_equal(me.margeff, self.res2.margeff_dydx_dummy_overall,
6)
assert_almost_equal(me.margeff_se,
self.res2.margeff_dydx_dummy_overall_se, 6)
me = res.get_margeff(dummy=True, method="eydx")
assert_almost_equal(me.margeff, self.res2.margeff_eydx_dummy_overall,
5)
assert_almost_equal(me.margeff_se,
self.res2.margeff_eydx_dummy_overall_se, 6)
def test_j(self):
assert_equal(self.res1.model.J, self.res2.J)
def test_k(self):
assert_equal(self.res1.model.K, self.res2.K)
def test_endog_names(self):
assert_equal(self.res1._get_endog_name(None,None)[1],
['y=1', 'y=2', 'y=3', 'y=4', 'y=5', 'y=6'])
def test_pred_table(self):
# fitted results taken from gretl
pred = [6, 1, 1, 1, 0, 1, 0, 1, 1, 0, 0, 1, 1, 1, 0, 6, 0, 1, 6, 0, 0,
1, 1, 6, 0, 1, 0, 1, 1, 1, 0, 0, 1, 1, 6, 0, 0, 6, 6, 0, 0, 1,
1, 6, 1, 6, 0, 0, 0, 1, 0, 1, 0, 0, 0, 6, 0, 0, 6, 0, 0, 0, 1,
1, 0, 0, 6, 6, 6, 6, 1, 0, 5, 1, 1, 0, 0, 0, 1, 1, 0, 0, 0, 0,
6, 0, 6, 6, 1, 0, 1, 1, 6, 5, 1, 0, 0, 0, 5, 0, 0, 6, 0, 1, 0,
0, 0, 0, 0, 1, 1, 0, 6, 6, 6, 6, 5, 0, 1, 1, 0, 1, 0, 6, 6, 0,
0, 0, 6, 0, 0, 0, 6, 6, 0, 5, 1, 0, 0, 0, 0, 6, 0, 5, 6, 6, 0,
0, 0, 0, 6, 1, 0, 0, 1, 0, 1, 6, 1, 1, 1, 1, 1, 0, 0, 0, 6, 0,
5, 1, 0, 6, 6, 6, 0, 0, 0, 0, 1, 6, 6, 0, 0, 0, 1, 1, 5, 6, 0,
6, 1, 0, 0, 1, 6, 0, 0, 1, 0, 6, 6, 0, 5, 6, 6, 0, 0, 6, 1, 0,
6, 0, 1, 0, 1, 6, 0, 1, 1, 1, 6, 0, 5, 0, 0, 6, 1, 0, 6, 5, 5,
0, 6, 1, 1, 1, 0, 0, 6, 0, 0, 5, 0, 0, 6, 6, 6, 6, 6, 0, 1, 0,
0, 6, 6, 0, 0, 1, 6, 0, 0, 6, 1, 6, 1, 1, 1, 0, 1, 6, 5, 0, 0,
1, 5, 0, 1, 6, 6, 1, 0, 0, 1, 6, 1, 5, 6, 1, 0, 0, 1, 1, 0, 6,
1, 6, 0, 1, 1, 5, 6, 6, 5, 1, 1, 1, 0, 6, 1, 6, 1, 0, 1, 0, 0,
1, 5, 0, 1, 1, 0, 5, 6, 0, 5, 1, 1, 6, 5, 0, 6, 0, 0, 0, 0, 0,
0, 1, 6, 1, 0, 5, 1, 0, 0, 1, 6, 0, 0, 6, 6, 6, 0, 2, 1, 6, 5,
6, 1, 1, 0, 5, 1, 1, 1, 6, 1, 6, 6, 5, 6, 0, 1, 0, 1, 6, 0, 6,
1, 6, 0, 0, 6, 1, 0, 6, 1, 0, 0, 0, 0, 6, 6, 6, 6, 5, 6, 6, 0,
0, 6, 1, 1, 6, 0, 0, 6, 6, 0, 6, 6, 0, 0, 6, 0, 0, 6, 6, 6, 1,
0, 6, 0, 0, 0, 6, 1, 1, 0, 1, 5, 0, 0, 5, 0, 0, 0, 1, 1, 6, 1,
0, 0, 0, 6, 6, 1, 1, 6, 5, 5, 0, 6, 6, 0, 1, 1, 0, 6, 6, 0, 6,
5, 5, 6, 5, 1, 0, 6, 0, 6, 1, 0, 1, 6, 6, 6, 1, 0, 6, 0, 5, 6,
6, 5, 0, 5, 1, 0, 6, 0, 6, 1, 5, 5, 0, 1, 5, 5, 2, 6, 6, 6, 5,
0, 0, 1, 6, 1, 0, 1, 6, 1, 0, 0, 1, 5, 6, 6, 0, 0, 0, 5, 6, 6,
6, 1, 5, 6, 1, 0, 0, 6, 5, 0, 1, 1, 1, 6, 6, 0, 1, 0, 0, 0, 5,
0, 0, 6, 1, 6, 0, 6, 1, 5, 5, 6, 5, 0, 0, 0, 0, 1, 1, 0, 5, 5,
0, 0, 0, 0, 1, 0, 6, 6, 1, 1, 6, 6, 0, 5, 5, 0, 0, 0, 6, 6, 1,
6, 0, 0, 5, 0, 1, 6, 5, 6, 6, 5, 5, 6, 6, 1, 0, 1, 6, 6, 1, 6,
0, 6, 0, 6, 5, 0, 6, 6, 0, 5, 6, 0, 6, 6, 5, 0, 1, 6, 6, 1, 0,
1, 0, 6, 6, 1, 0, 6, 6, 6, 0, 1, 6, 0, 1, 5, 1, 1, 5, 6, 6, 0,
1, 6, 6, 1, 5, 0, 5, 0, 6, 0, 1, 6, 1, 0, 6, 1, 6, 0, 6, 1, 0,
0, 0, 6, 6, 0, 1, 1, 6, 6, 6, 1, 6, 0, 5, 6, 0, 5, 6, 6, 5, 5,
5, 6, 0, 6, 0, 0, 0, 5, 0, 6, 1, 2, 6, 6, 6, 5, 1, 6, 0, 6, 0,
0, 0, 0, 6, 5, 0, 5, 1, 6, 5, 1, 6, 5, 1, 1, 0, 0, 6, 1, 1, 5,
6, 6, 0, 5, 2, 5, 5, 0, 5, 5, 5, 6, 5, 6, 6, 5, 2, 6, 5, 6, 0,
0, 6, 5, 0, 6, 0, 0, 6, 6, 6, 0, 5, 1, 1, 6, 6, 5, 2, 1, 6, 5,
6, 0, 6, 6, 1, 1, 5, 1, 6, 6, 6, 0, 0, 6, 1, 0, 5, 5, 1, 5, 6,
1, 6, 0, 1, 6, 5, 0, 0, 6, 1, 5, 1, 0, 6, 0, 6, 6, 5, 5, 6, 6,
6, 6, 2, 6, 6, 6, 5, 5, 5, 0, 1, 0, 0, 0, 6, 6, 1, 0, 6, 6, 6,
6, 6, 1, 0, 6, 1, 5, 5, 6, 6, 6, 6, 6, 5, 6, 1, 6, 2, 5, 5, 6,
5, 6, 6, 5, 6, 6, 5, 5, 6, 1, 5, 1, 6, 0, 2, 5, 0, 5, 0, 2, 1,
6, 0, 0, 6, 6, 1, 6, 0, 5, 5, 6, 6, 1, 6, 6, 6, 5, 6, 6, 1, 6,
5, 6, 1, 1, 0, 6, 6, 5, 1, 0, 0, 6, 6, 5, 6, 0, 1, 6, 0, 5, 6,
5, 2, 5, 2, 0, 0, 1, 6, 6, 1, 5, 6, 6, 0, 6, 6, 6, 6, 6, 5]
assert_array_equal(self.res1.predict().argmax(1), pred)
# the rows should add up for pred table
assert_array_equal(self.res1.pred_table().sum(0), np.bincount(pred))
# note this is just a regression test, gretl doesn't have a prediction
# table
pred = [[ 126., 41., 2., 0., 0., 12., 19.],
[ 77., 73., 3., 0., 0., 15., 12.],
[ 37., 43., 2., 0., 0., 19., 7.],
[ 12., 9., 1., 0., 0., 9., 6.],
[ 19., 10., 2., 0., 0., 20., 43.],
[ 22., 25., 1., 0., 0., 31., 71.],
[ 9., 7., 1., 0., 0., 18., 140.]]
assert_array_equal(self.res1.pred_table(), pred)
def test_perfect_prediction():
cur_dir = os.path.dirname(os.path.abspath(__file__))
iris_dir = os.path.join(cur_dir, '..', '..', 'genmod', 'tests', 'results')
iris_dir = os.path.abspath(iris_dir)
iris = np.genfromtxt(os.path.join(iris_dir, 'iris.csv'), delimiter=",",
skip_header=1)
y = iris[:,-1]
X = iris[:,:-1]
X = X[y != 2]
y = y[y != 2]
X = sm.add_constant(X, prepend=True)
mod = Logit(y,X)
assert_raises(PerfectSeparationError, mod.fit)
#turn off raise PerfectSeparationError
mod.raise_on_perfect_prediction = False
mod.fit() #should not raise
def test_poisson_predict():
#GH: 175, make sure poisson predict works without offset and exposure
data = sm.datasets.randhie.load()
exog = sm.add_constant(data.exog, prepend=True)
res = sm.Poisson(data.endog, exog).fit(method='newton', disp=0)
pred1 = res.predict()
pred2 = res.predict(exog)
assert_almost_equal(pred1, pred2)
#exta options
pred3 = res.predict(exog, offset=0, exposure=1)
assert_almost_equal(pred1, pred3)
pred3 = res.predict(exog, offset=0, exposure=2)
assert_almost_equal(2*pred1, pred3)
pred3 = res.predict(exog, offset=np.log(2), exposure=1)
assert_almost_equal(2*pred1, pred3)
def test_poisson_newton():
#GH: 24, Newton doesn't work well sometimes
nobs = 10000
np.random.seed(987689)
x = np.random.randn(nobs, 3)
x = sm.add_constant(x, prepend=True)
y_count = np.random.poisson(np.exp(x.sum(1)))
mod = sm.Poisson(y_count, x)
res = mod.fit(start_params=-np.ones(4), method='newton', disp=0)
assert_(not res.mle_retvals['converged'])
def test_issue_339():
# make sure MNLogit summary works for J != K.
data = sm.datasets.anes96.load()
exog = data.exog
# leave out last exog column
exog = exog[:,:-1]
exog = sm.add_constant(exog, prepend=True)
res1 = sm.MNLogit(data.endog, exog).fit(method="newton", disp=0)
# strip the header from the test
smry = "\n".join(res1.summary().as_text().split('\n')[9:])
cur_dir = os.path.dirname(os.path.abspath(__file__))
test_case_file = os.path.join(cur_dir, 'results', 'mn_logit_summary.txt')
test_case = open(test_case_file, 'r').read()
np.testing.assert_(smry == test_case[:-1])
def test_issue_341():
data = sm.datasets.anes96.load()
exog = data.exog
# leave out last exog column
exog = exog[:,:-1]
exog = sm.add_constant(exog, prepend=True)
res1 = sm.MNLogit(data.endog, exog).fit(method="newton", disp=0)
x = exog[0]
np.testing.assert_equal(res1.predict(x).shape, (1,7))
np.testing.assert_equal(res1.predict(x[None]).shape, (1,7))
def test_iscount():
X = np.random.random((50, 10))
X[:,2] = np.random.randint(1, 10, size=50)
X[:,6] = np.random.randint(1, 10, size=50)
X[:,4] = np.random.randint(0, 2, size=50)
X[:,1] = np.random.randint(-10, 10, size=50) # not integers
count_ind = _iscount(X)
assert_equal(count_ind, [2, 6])
def test_isdummy():
X = np.random.random((50, 10))
X[:,2] = np.random.randint(1, 10, size=50)
X[:,6] = np.random.randint(0, 2, size=50)
X[:,4] = np.random.randint(0, 2, size=50)
X[:,1] = np.random.randint(-10, 10, size=50) # not integers
count_ind = _isdummy(X)
assert_equal(count_ind, [4, 6])
if __name__ == "__main__":
import nose
nose.runmodule(argv=[__file__, '-vvs', '-x', '--pdb'],
exit=False)