Questions tagged [statsmodels]
A Python module for exploration, testing, and estimation. Do not use this tag for general statistical modeling questions! Nb, questions only about the module itself, Python, or coding will likely be off topic.
273
questions
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1answer
12 views
Python Mixed Linear Model Regression Interpretation of the Results
I cannot seem to find a proper guide on how to interpret the results from a Mixed Linear Model Regression.
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40 views
How to deal with extensive outlier periods caused by external factors like COVID?
I'm working on a timeseries that was significantly affected by the COVID-19 pandemic, but has since recovered to a more normal behavior. My objective is to have a good forecast for a couple of weeks, ...
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0answers
10 views
How to interpret the coefficients of a regressor in a ARIMAX model
I'm fitting an ARIMAX model with statsmodels SARIMAX library. I've done a logarithm transformation for both the dependent variable and the regressor and I've been left with the following coefficients:
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3
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2answers
57 views
Can't decide if my data is normally distributed
I have a problem comparing results from shapiro test and qqplot. Shapiro tells me my data doesn't have normal distribution characteristics (pvalue = 1.94...e-08 <= 0.05) however when I look on QQ ...
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1answer
27 views
Statsmodels: how to run and interpret a Gamma regression?
I have an endogenous variable that is continuous and non-negative. From what I can gather, a Poisson regression is not appropriate because the values of the response variable are not natural number, ...
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1answer
24 views
ARIMA model with delay in fitting and constant prediction
I am trying to use ARIMA (Python, statsmodel) on the following time series, values are collected with a weekly frequency:
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0answers
15 views
Unable to match numerical output of Newey-West standard error in statsmodel
I'm trying to implement Newey-West from scratch to better understand each component. Currently having trouble replicating a basic numerical example of Newey-West with lag=1 from ...
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0answers
11 views
ARIMA Forecasts (Python / Statsmodel)
Say I have an ARIMA model that I have fit and with with I want to make forecasts/predictions.
Say the model is an ARIMA(2,0,2) with some seasonality (1,0,0,365)
Since p and q are 2, we are relying on ...
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0answers
31 views
Forecasting Quarterly Time Series Data?
I've gotten very confused reading all the articles about forecasting time series data with seasonality on Medium and other sources. It seems that many provide useful background and importance of ...
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1answer
18 views
Can logistic regression be used when the dataset has observations from the same users but are unique per day
I have a dataset that captures user information by day (the users are unique per day but often have observations on multiple days) and I want to analyze a binary outcome.
Is there a more appropriate ...
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0answers
23 views
How to calculate statistics for categorical variable level omitted by one-hot encoding?
I'm performing an ordinary least squares regression on a dataset whose predictors are two categorical variables and the dependent variable is continuous.
The resulting model gives me stats like the ...
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0answers
22 views
Why aren't all my categorical variables included in the OLS model from statsmodels?
I'm using statsmodels to perform an Ordinary Least Squares regression between two categorical variables and a continuous dependent variable.
My data is structured ...
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0answers
21 views
coint_johansen test results
I am running the coint_johansen test (Python) on stock data of 3 different banks. The results im getting are the following:
Trace statistics:
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0answers
35 views
How to read and extract p & q values from the given ACF & PACF plot with fluctuations?
So I am new to Time-Series and have started with some basic financial data. Since it was not covariance stationary, I transformed it by taking daily percentage changed. The data became stationary and ...
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1answer
75 views
Measuring Strength of Trend and Seasonalities for Time-Series presenting Multi-Seasonal Patterns
My goal is to cluster time-series which may present daily/weekly/yearly seasonalities. To do so, I plan to use different variables and among them, the following ones: $F_{s_{daily}}$, $F_{s_{weekly}}$ ...
3
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5answers
125 views
is logistic regression stochastic like neural network?
I have observed that neural network models (using Keras TensorFlow) can be very unstable (when my sample size is small) in the sense that if I were to train 999 NN models, there might only be 99 with ...
1
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1answer
93 views
Standard Errors for LS Means
In Python, I'm trying to validate the LS means from a mixed model that I ran with R's lme4 after using the lsmeans library. I'm using Python's mixedlm() from statsmodels.
I've successfully obtained ...
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0answers
23 views
How to visually verify correlation in a Generalized Linear Model with Binomial Distribution?
I am trying to determine whether my exogenous variables have significant influence over an endogenous variable.
This response variable is a count, so I am using a generalized linear model with a ...
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0answers
32 views
Why does my ARIMA model forecast drastic drop at the second timestamp in the prediction period?
I am trying to reproduce SPSS results with python.
I'm using statsmodels SARIMAX package in python.
My model produces forecasting results which shows sudden drop at '2020-08-01'.
After '2020-08-01', ...
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0answers
27 views
VECM - Impulse reponse function - statsmodels - AttributeError: 'lr_effects'
I am using statsmodels version '0.11.1'. I am trying to sum cumulative effects of using the impulse response function derived of a VECM, but I am getting an AttributeError regarding 'lr_effects'. As ...
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0answers
31 views
Granger causality and meaning of lag for time series $X_{t}$ and $X_{t+1}$
Consider 2 time series $X_{t}$ and $X_{t+1}$ created as follows
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1
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1answer
34 views
Statsmodel logit producing param nans, large std err, warnings, but model performance is fine [duplicate]
I keep getting warnings such as
RuntimeWarning: invalid value encountered in greaterreturn (a < x) & (x < b)
and my model summary is full of nans and ...
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0answers
27 views
Fitting a VAR model with nonstationary data and possible cointegration
I have time series data from multiple realisations (trials) of the same process in the shape (n_trials, n_sensors, n_times) which I would like to fit a vector ...
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0answers
36 views
Converting Cohen's $F^2$ to Cohen's $D$
How can I convert Cohen's $F^2$ to Cohen's $D$? I am interested in calculating the effect size for the difference between two groups in a mixed model. The data is from a within-subjects experiment ...
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0answers
13 views
Suggestion on statistical models that compare likeness
I have a large dataset with thousands of entries. there are two columns the first being a type value (A,B,C,D,E,F) and the second column is a raw data value. I'd like to run statistical analysis on ...
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125 views
statsmodels seasonal_decompose(): What is the right “period of the series” in the context of a list column (constant vs. varying number of items)
Assume having a list column so that your time series is nested, see https://stackoverflow.com/questions/63246938/convert-pandas-df-with-data-in-a-list-column-into-a-time-series-in-long-format for ...
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1answer
79 views
all non-significant or NAN p-values in Logit
I'm running a logit with statsmodels that has around 25 regressors, ranging from categorical, ordinal and continuous variables.
My code is the following, with its output:
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0answers
19 views
What do VAR model coeefficient probabilities represent?
I understand that with simple linear regression, each estimated coefficient has an associated p-value that corresponds to the null hypothesis that the coefficient in question is 0. If this p-value is ...
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0answers
108 views
Difference between forecasting and predicting in statsmodels SARIMAX
I am using SARIMAX model from the statsmodels library to predict(forecast) future values in a time-series.
The library contains four methods: predict(), get_predictions(), forecast(), get forecast(). ...
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0answers
15 views
Maximum likelihood estimation of a 3-parameter logistic function using statsmodels
I would like to fit a 3-parameter logistic function to data using maximum likelihood estimation via statsmodels (and/or pymc3). The logistic function is defined as follows:
I am stuck because I don't ...
2
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1answer
63 views
chi squared test in python libraries
As I understand it, statsmodels.stats.contingency_tables.Table.test_nominal_association() and scipy.stats.chi2_contingency() ...
5
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2answers
73 views
How to find the 95% confidence interval when there is outliers?
I know how to find the 95% confidence interval for normal distributions. But how to find it when there is outliers?
Question: The health-care costs, in thousands of dollars for 20 males aged 75 or ...
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13 views
Do I need to ensure that my time series are stationary before using statsmodels' `grangercausalitytests`?
The documentation here doesn't mention anything about stationarity, so I'm not sure how to proceed. Can I just apply grangercausalitytests to two non-stationary ...
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2answers
78 views
Unable to recreate Statsmodels ARIMAX (1, 1, 0) forecasts by hand
I have fit an ARIMAX (1, 1, 0) model to a timeseries dataset consisting of 1 endogenous timeseries ("Y") and 1 exogenous timeseries ("X"). My exogenous timeseries in the model was ...
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0answers
15 views
How do I know if p-hat is in the 75th percentile?
I have a statsmodels GLM model that returns a prediction: p-hat. If p-hat is in the 75th percentile I should assign the observation "class 1". If p-hat is below the 75th percentile I should ...
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1answer
140 views
Interpreting statsmodel Granger Causality test results: ssr_chi2test
I am trying to use statsmodels Granger Causality test: https://www.statsmodels.org/stable/generated/statsmodels.tsa.stattools.grangercausalitytests.html
to assess whether "positivity score" ...
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1answer
59 views
Hierarchical modelling in Python with statsmodels
I have a dataset with random effects at different hierarchies and now I want to analyze how they influence my target variable. Somehow I'm looking into statsmodels ...
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0answers
24 views
How to update an ExponentialSmoothing model on new data without refitting
I'm trying to find the correct way to update an already fitted ExponentialSmoothing model on new data. My guess was like this:
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0answers
18 views
how to check heteroskedasticity in pyhton?
After building model by using glm. How to check heteroskedasticity? are there any tests available to find or is it checked by using graphs??
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0answers
50 views
Why does uncertainty of the autocorrelation coefficient increase as lag increases?
The Python module statsmodels contains functions for ACF and PACF. Below is an example from the docs with a plot that shows the (zero-centered) confidence ...
1
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1answer
207 views
calculating variance inflation factor for logistic regression using statsmodels (or python)?
I am making a logistic regression model using Statsmodels while following the book "Discovering statistics using R" by Andy Field, Jeremy Miles, and Zoë Field . While following along the ...
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0answers
9 views
Performing ljung-box test on multiple timeseries at once
Background
Performing multiple linear regression analysis on dataset containing 21 time-series of 4 data points. Each data points represents 9 variables which could describe a value. The 21 data ...
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0answers
45 views
How is the p-value in an OLS regression in statsmodels calculated?
I ran an OLS regression using statsmodels. The summary is as follows.
I am confused looking at the t-stat and the corresponding p-values. For 'var_1' since the t-stat lies beyond the 95% confidence ...
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0answers
47 views
How to use HAC errors in VAR model
I would like to use the Newey-West method for the standard errors in a VAR(p)-model (I use statsmodels.tsa.vector_ar). The VAR(p)-model assumes that the residuals ...
0
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1answer
36 views
Can you explain how OLS for non-linear data is working in statsmodels OLS implementation?
reference: https://www.statsmodels.org/stable/examples/notebooks/generated/ols.html#OLS-non-linear-curve-but-linear-in-parameters
How is OLS in this implementation working? Is it finding the best ...
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0answers
20 views
Confidence intervals for bootstrapped multinomial proportions: Sison-Glaz?
I read the rules and looked for similar posts, but couldn't find any. New to the platform, so if I missed anything, pardon me.
I have started looking into uncertainty quantification and I want to ...
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0answers
94 views
Statsmodels multinomial logit returning nan for sparse features
I have a travel survey and wish to compare a discrete choice model with some machine learning approaches. For the former, I am using statsmodels MNLogit to calculate the coefficents and p-values of my ...
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2answers
227 views
Including random effects in prediction with Linear Mixed Model
I have a question regarding Linear Mixed Modeling using statsmodels.
The first picture below shows the mixed model I fitted. My dummy dataset only contains one variable, and multiple groups. I would ...
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0answers
28 views
SARIMAX giving predictions which doesn't match the data inputs
I am building a SARIMAX model on the data which is monthly aggregated. To select the best params, applied a grid search to select the best parameters. Once I get the best parameters for the data I am ...
0
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1answer
96 views
Logistic Regression with continuous exogenous variable
So I'm trying to understand how a logistic regression can work with a continuous exogenous variable.
I'm trying out this code with Python and statsmodels
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