ENH: Adding an if clause in regression.rolling.WLS._fit_single to avo…

…id unnecessary calls of np.linalg.inv
statsmodels · Nov 3, 2020 · f09def9 · f09def9
1 parent 5ca9ea8
commit f09def9
Showing 1 changed file with 2 additions and 1 deletion.
diff --git a/statsmodels/regression/rolling.py b/statsmodels/regression/rolling.py
@@ -223,7 +223,8 @@ def _fit_single(self, idx, wxpwx, wxpwy, nobs, store, params_only, method):
         if nobs < self._min_nobs:
             return
         try:
-            wxpwxi = np.linalg.inv(wxpwx)
+            if (method == "inv") or not params_only:
+                wxpwxi = np.linalg.inv(wxpwx)
             if method == "inv":
                 params = wxpwxi @ wxpwy
             else: