python回归模型_缺少Python statsmodels中OLS回归模型的截取

我正在进行滚动,例如在

this link(

https://drive.google.com/drive/folders/0B2Iv8dfU4fTUMVFyYTEtWXlzYkk)中找到的数据集的100窗口OLS回归估计,如下面的格式.

time X Y

0.000543 0 10

0.000575 0 10

0.041324 1 10

0.041331 2 10

0.041336 3 10

0.04134 4 10

...

9.987735 55 239

9.987739 56 239

9.987744 57 239

9.987749 58 239

9.987938 59 239

我的数据集中的第三列(Y)是我的真实值 – 这就是我想要预测的(估计).我想做一个Y的预测(即根据之前的X的3个滚动值预测Y的当前值.为此,我使用statsmodels进行以下python脚本工作.

# /usr/bin/python -tt

import pandas as pd

import numpy as np

import statsmodels.api as sm

df=pd.read_csv('estimated_pred.csv')

df=df.dropna() # to drop nans in case there are any

window = 100

#print(df.index) # to print index

df['a']=None #constant

df['b1']=None #beta1

df['b2']=None #beta2

for i in range(window,len(df)):

temp=df.iloc[i-window:i,:]

RollOLS=sm.OLS(temp.loc[:,'Y'],sm.add_constant(temp.loc[:,['time','X']], has_constant = 'add')).fit()

df.iloc[i,df.columns.get_loc('a')]=RollOLS.params[0]

df.iloc[i,df.columns.get_loc('b1')]=RollOLS.params[1]

df.iloc[i,df.columns.get_loc('b2')]=RollOLS.params[2]

# Predicted values in a row

df['predicted']=df['a'].shift(1)+df['b1'].shift(1)*df['time']+df['b2'].shift(1)*df['X']

#print(df['predicted'])

print(temp)

这给了我以下格式的示例输出.

time X Y a b1 b2 predicted

0 0.000543 0 10 None None None NaN

1 0.000575 0 10 None None None NaN

2 0.041324 1 10 None None None NaN

3 0.041331 2 10 None None None NaN

4 0.041336 3 10 None None None NaN

.. ... .. .. ... ... ... ...

50 0.041340 4 10 10 0 1.55431e-15 NaN

51 0.041345 5 10 10 1.7053e-13 7.77156e-16 10

52 0.041350 6 10 10 1.74623e-09 -7.99361e-15 10

53 0.041354 7 10 10 6.98492e-10 -6.21725e-15 10

.. ... .. .. ... ... ... ...

509 0.160835 38 20 20 4.88944e-09 -1.15463e-14 20

510 0.160839 39 20 20 1.86265e-09 5.32907e-15 20

.. ... .. .. ... ... ... ...

最后,我想包括所有预测(OLS回归分析的摘要)值的均方误差(MSE).例如,如果我们查看第5行,则X的值为2,Y的值为10.假设当前行的y的预测值为6,因此mse将为(10-6)^ 2 . sm.OLS返回此类的实例< class'statsmodels.regression.linear_model.OLS'>当我们打印(RollOLS.summary()).

OLS Regression Results

==============================================================================

Dep. Variable: Y R-squared: -inf

Model: OLS Adj. R-squared: -inf

Method: Least Squares F-statistic: -48.50

Date: Tue, 04 Jul 2017 Prob (F-statistic): 1.00

Time: 22:19:18 Log-Likelihood: 2359.7

No. Observations: 100 AIC: -4713.

Df Residuals: 97 BIC: -4706.

Df Model: 2

Covariance Type: nonrobust

==============================================================================

coef std err t P>|t| [95.0% Conf. Int.]

------------------------------------------------------------------------------

const 239.0000 2.58e-09 9.26e+10 0.000 239.000 239.000

time 4.547e-13 2.58e-10 0.002 0.999 -5.12e-10 5.13e-10

X -3.886e-16 1.1e-13 -0.004 0.997 -2.19e-13 2.19e-13

==============================================================================

Omnibus: 44.322 Durbin-Watson: 0.000

Prob(Omnibus): 0.000 Jarque-Bera (JB): 86.471

Skew: -1.886 Prob(JB): 1.67e-19

Kurtosis: 5.556 Cond. No. 9.72e+04

==============================================================================

但是,例如,rsquared(print(RollOLS.rsquared))的值应该介于0和1之间,而不是-inf,这似乎是缺少截取的问题.如果我们想打印mse,我们按照documentation打印(RollOLS.mse_model)…等.我们如何添加截距并使用正确的值打印回归统计数据,就像我们对预测值一样？我在这里做错了什么？或者是否有另一种使用scikit-learnlibraries的方法？