python的ols_Python – 滚动窗口OLS回归估计

以下是使用statsmodel滚动OLS的概述,应该适用于您的数据.只需使用df = pd.read_csv(‘estimated_pred.csv’)而不是我随机生成的df：

import pandas as pd

import numpy as np

import statsmodels.api as sm

#random data

#df=pd.DataFrame(np.random.normal(size=(500,3)),columns=['time','X','Y'])

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

df=df.dropna() #uncomment this line to drop nans

window = 5

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']])).fit()

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

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

d