python经济统计_statsmodels：在Python中的统计建模和计量经济学

About statsmodels

statsmodels is a Python package that provides a complement to scipy for statistical computations including descriptive statistics and estimation and inference for statistical models.

Documentation

The documentation for the latest release is at

The documentation for the development version is at

Recent improvements are highlighted in the release notes

Main Features

Linear regression models:

Ordinary least squares

Generalized least squares

Weighted least squares

Least squares with autoregressive errors

Quantile regression

Recursive least squares

Mixed Linear Model with mixed effects and variance components

GLM: Generalized linear models with support for all of the one-parameter exponential family distributions

Bayesian Mixed GLM for Binomial and Poisson

GEE: Generalized Estimating Equations for one-way clustered or longitudinal data

Discrete models:

Logit and Probit

Multinomial logit (MNLogit)

Poisson and Generalized Poisson regression

Negative Binomial regression

Zero-Inflated Count models

RLM: Robust linear models with support for several M-estimators.

Time Series Analysis: models for time series analysis

Complete StateSpace modeling framework

Seasonal ARIMA and ARIMAX models

VARMA and VARMAX models

Dynamic Factor models

Unobserved Component models

Markov switching models (MSAR), also known as Hidden Markov Models (HMM)

Univariate time series analysis: AR, ARIMA

Vector autoregressive models, VAR and structural VAR

Vector error correction modle, VECM

exponential smoothing, Holt-Winters

Hypothesis tests for time series: unit root, cointegration and others

Descriptive statistics and process models for time series analysis

Survival analysis:

Proportional hazards regression (Cox models)

Survivor function estimation (Kaplan-Meier)

Cumulative incidence function estimation

Multivariate:

Principal Component Analysis with missing data

Factor Analysis with rotation

MANOVA

Canonical Correlation

Nonparametric statistics: Univariate and multivariate kernel density estimators

Datasets: Datasets used for examples and in testing

Statistics: a wide range of statistical tests

diagnostics and specification tests

goodness-of-fit and normality tests

functions for multiple testing

various additional statistical tests

Imputation with MICE, regression on order statistic and Gaussian imputation

Mediation analysis

Graphics includes plot functions for visual analysis of data and model results

I/O

Tools for reading Stata .dta files, but pandas has a more recent version

Table output to ascii, latex, and html

Miscellaneous models

Sandbox: statsmodels contains a sandbox folder with code in various stages of development and testing which is not considered "production ready". This covers among others

Generalized method of moments (GMM) estimators

Kernel regression

Various extensions to scipy.stats.distributions

Panel data models

Information theoretic measures

How to get it

The master branch on GitHub is the most up to date code

Source download of release tags are available on GitHub

Binaries and source distributions are available from PyPi

Binaries can be installed in Anaconda

conda install statsmodels

Installing from sources

See INSTALL.txt for requirements or see the documentation

Contributing

Contributions in any form are welcome, including:

Documentation improvements

Additional tests

New features to existing models

New models

for instructions on installing statsmodels in editable mode.

License

Modified BSD (3-clause)

Discussion and Development

Discussions take place on the mailing list

and in the issue tracker. We are very interested in feedback about usability and suggestions for improvements.

Bug Reports

Bug reports can be submitted to the issue tracker at