Python/UsePython_IE/Chapter13/Example-FD.py at main · yanbridge/Python

Repository navigation

import wooldridge as woo

import numpy as np

import pandas as pd

import statsmodels.formula.api as smf

import linearmodels as plm

crime2 = woo.dataWoo('crime2')

# create time variable dummy by converting a Boolean variable to an integer:

crime2['t'] = (crime2['year'] == 87).astype(int) # False=0, True=1

# create an index in this balanced data set by combining two arrays:

id_tmp = np.linspace(1, 46, num=46)

crime2['id'] = np.sort(np.concatenate([id_tmp, id_tmp]))

# manually calculate first differences per entity for crmrte and unem:

crime2['crmrte_diff1'] = \

crime2.sort_values(['id', 'year']).groupby('id')['crmrte'].diff()

crime2['unem_diff1'] = \

crime2.sort_values(['id', 'year']).groupby('id')['unem'].diff()

var_selection = ['id', 't', 'crimes', 'unem', 'crmrte_diff1', 'unem_diff1']

print(f'crime2[var_selection].head(): \n{crime2[var_selection].head()}\n')

# estimate FD model with statmodels on differenced data:

reg_sm = smf.ols(formula='crmrte_diff1 ~ unem_diff1', data=crime2)

results_sm = reg_sm.fit()

# print results:

table_sm = pd.DataFrame({'b': round(results_sm.params, 4),

'se': round(results_sm.bse, 4),

't': round(results_sm.tvalues, 4),

'pval': round(results_sm.pvalues, 4)})

print(f'table_sm: \n{table_sm}\n')

# estimate FD model with linearmodels:

crime2 = crime2.set_index(['id', 'year'])

reg_plm = plm.FirstDifferenceOLS.from_formula(formula='crmrte ~ t + unem',

data=crime2)

results_plm = reg_plm.fit()

# print results:

table_plm = pd.DataFrame({'b': round(results_plm.params, 4),

'se': round(results_plm.std_errors, 4),

't': round(results_plm.tstats, 4),

'pval': round(results_plm.pvalues, 4)})

print(f'table_plm: \n{table_plm}\n')