运用STATSMODELS库函数最小二回归t检验等

import xlrd
from scipy.optimize import leastsq
from scipy.stats import ttest_rel
import xlwt
from sklearn.metrics import r2_score
import numpy as np
import statsmodels.api as sm

def data_reader():
    path="C:/Users/Administrator/Desktop/mn/择时选股2.xlsx"
    work=xlrd.open_workbook(path)
    sheet1=work.sheet_by_name("Sheet1")
    sheet2=work.sheet_by_name("SMBHML")

    person_id=[]
    person_name=[]
    time=[]
    rpt=[]
    rft=[]
    rmt=[]
    time_s=[]
    rpt_s = []
    rft_s = []
    rmt_s = []


    id_1 = sheet1.cell_value(1, 0)
    person_id.append(id_1)
    person_name.append(sheet1.cell_value(1,1))
    #print(sheet1.cell_value(1,12)[0:6])
    time_s.append(sheet1.cell_value(1,12)[0:6])
    rpt_s.append(sheet1.cell_value(1,3))
    rft_s.append(sheet1.cell_value(1, 4))
    rmt_s.append(sheet1.cell_value(1, 5))

    for i in range(sheet1.nrows-2):
        if id_1==sheet1.cell_value(2+i,0):
            time_s.append(sheet1.cell_value(2+i, 12)[0:6])
            rpt_s.append(sheet1.cell_value(2+i, 3))
            rft_s.append(sheet1.cell_value(2+i, 4))
            rmt_s.append(sheet1.cell_value(2+i, 5))
        else:
            time.append(time_s)
            rpt.append(rpt_s)
            rft.append(rft_s)
            rmt.append(rmt_s)
            id_1=sheet1.cell_value(2+i,0)
            person_id.append(id_1)
            person_name.append(sheet1.cell_value(2+i,1))

            time_s=[]
            rpt_s = []
            rft_s = []
            rmt_s = []
            time_s.append(sheet1.cell_value(2+i, 12)[0:6])
            rpt_s.append(sheet1.cell_value(2+i, 3))
            rft_s.append(sheet1.cell_value(2+i, 4))
            rmt_s.append(sheet1.cell_value(2+i, 5))

    time.append(time_s)
    rpt.append(rpt_s)
    rft.append(rft_s)
    rmt.append(rmt_s)

    #print(len(time),len(rpt),len(person_name),len(person_id))
    #print(time[0],rpt[0],rft[0],rmt[0])

    time2=[]
    smb=[]
    hml=[]

    for i in range(sheet2.nrows-1):
        time2.append(str(int(sheet2.cell_value(i+1,0))))
        smb.append(sheet2.cell_value(i+1,1))
        hml.append(sheet2.cell_value(i+1,2))
    #print(time2,smb,hml)

    return time,rpt,rft,rmt,time2,smb,hml,person_id,person_name

time,rpt,rft,rmt,time2,smb,hml,person_id,person_name=data_reader()


def tm_model(rpt_s,rft_s,rmt_s):
    rpt_s=np.asfarray(rpt_s)
    rft_s=np.asfarray(rft_s)
    rmt_s=np.asfarray(rmt_s)
    sig=0

    nsmaple=len(rpt_s)
    model=np.column_stack((np.ones(nsmaple),(rmt_s-rft_s),(rmt_s-rft_s)**2))
    #beta=[0,0,0]
    y=rpt_s-rft_s+sig*np.random.normal(size=nsmaple)
    res=sm.OLS(y,model).fit()
    #print(res.summary())
    #print(res.params,res.rsquared,res.tvalues,res.pvalues)
    alpha,beta1,beta2=res.params
    r2=res.rsquared
    t1,t2,t3=res.tv