GMM default xnames, truncate summary

[josef-pkt]

In an example with an extra parameter, additional to exog.shape[1], the extra parameter is not added to the params table in summary().

The default way that model.data.xnames is set, only looks at exog.
In GenericLikelihoodModel, there are additional adjustments to add names so exog_names matches params (same length).

GMM doesn't have anything similar. How do users define parameter names? except explicitely in summary call.

workaround:

mod = RobustGMM(endog, exog, instrument=None)
res = mod.fit(start_params=start_params, inv_weights=np.eye(len(start_params)))
mod.data.xnames.append('scale')
print res.summary()

[jseabold]

exog_names should be a settable property.

https://github.com/statsmodels/statsmodels/blob/master/statsmodels/base/model.py#L119
https://github.com/statsmodels/statsmodels/blob/master/statsmodels/tsa/arima_model.py#L853

Does that do it?

A bit inconsistent

https://github.com/statsmodels/statsmodels/blob/master/statsmodels/tsa/arima_model.py#L931

[josef-pkt]

Good, from what I remembered it wasn't settable. Correction: it can be changed but not assigned ?

>>> mod.exog_names = ['scale']
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
AttributeError: can't set attribute

I still need to find a way where to add the default adjustment. For GenericLikelihoodModel, I put it into the __init__ of the --Results-- Model class.

There I used (which I didn't remember):

        if extra_params_names is not None:
            if self.exog is not None:
                self.exog_names.extend(extra_params_names)
            else:
                self.data.xnames = extra_params_names

[josef-pkt]

BTW this works, but I don't know if it's not only because I already have the attribute in my example

>>> mod.exog_names[:] = ['scale']
>>> mod.exog_names
['scale']

[jseabold]

You can either overwrite exog_names property or assign to self.data.xnames. We're setting it in ARMA, but maybe because it hasn't been called yet? I'm not sure. I thought I explicitly used getter and setter somewhere.

[josef-pkt]

GMM case fixed in #4428, includes a set_param_names method in GMM

Aside: both solutions assigning to data.xname and modifying model.exog_names are now used by many models with extra params and by generic models.

#4426 new issue for more general param_names/xnames/exog_names inconsistencies