Regression with Discrete Dependent Variable¶
Regression models for limited and qualitative dependent variables. The module currently allows the estimation of models with binary (Logit, Probit), nominal (MNLogit), or count (Poisson, NegativeBinomial) data.
Starting with version 0.9, this also includes new count models, that are still experimental in 0.9, NegativeBinomialP, GeneralizedPoisson and zero-inflated models, ZeroInflatedPoisson, ZeroInflatedNegativeBinomialP and ZeroInflatedGeneralizedPoisson.
See Module Reference for commands and arguments.
Examples¶
# Load the data from Spector and Mazzeo (1980)
In [1]: import statsmodels.api as sm
In [2]: spector_data = sm.datasets.spector.load_pandas()
In [3]: spector_data.exog = sm.add_constant(spector_data.exog)
# Logit Model
In [4]: logit_mod = sm.Logit(spector_data.endog, spector_data.exog)
In [5]: logit_res = logit_mod.fit()
Optimization terminated successfully.
Current function value: 0.402801
Iterations 7
In [6]: print(logit_res.summary())
Logit Regression Results
==============================================================================
Dep. Variable: GRADE No. Observations: 32
Model: Logit Df Residuals: 28
Method: MLE Df Model: 3
Date: Mon, 16 Dec 2024 Pseudo R-squ.: 0.3740
Time: 11:31:17 Log-Likelihood: -12.890
converged: True LL-Null: -20.592
Covariance Type: nonrobust LLR p-value: 0.001502
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
const -13.0213 4.931 -2.641 0.008 -22.687 -3.356
GPA 2.8261 1.263 2.238 0.025 0.351 5.301
TUCE 0.0952 0.142 0.672 0.501 -0.182 0.373
PSI 2.3787 1.065 2.234 0.025 0.292 4.465
==============================================================================
Detailed examples can be found here:
Technical Documentation¶
Currently all models are estimated by Maximum Likelihood and assume independently and identically distributed errors.
All discrete regression models define the same methods and follow the same structure, which is similar to the regression results but with some methods specific to discrete models. Additionally some of them contain additional model specific methods and attributes.
References¶
General references for this class of models are:
A.C. Cameron and P.K. Trivedi. `Regression Analysis of Count Data`.
Cambridge, 1998
G.S. Madalla. `Limited-Dependent and Qualitative Variables in Econometrics`.
Cambridge, 1983.
W. Greene. `Econometric Analysis`. Prentice Hall, 5th. edition. 2003.
Module Reference¶
The specific model classes are:
|
Logit Model |
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Probit Model |
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Multinomial Logit Model |
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Poisson Model |
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Negative Binomial Model |
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Generalized Negative Binomial (NB-P) Model |
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Generalized Poisson Model |
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Poisson Zero Inflated Model |
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Zero Inflated Generalized Negative Binomial Model |
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Zero Inflated Generalized Poisson Model |
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Hurdle model for count data |
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Truncated Generalized Negative Binomial model for count data |
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Truncated Poisson model for count data |
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Fit a conditional logistic regression model to grouped data. |
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Fit a conditional multinomial logit model to grouped data. |
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Fit a conditional Poisson regression model to grouped data. |
The cumulative link model for an ordinal dependent variable is currently in miscmodels as it subclasses GenericLikelihoodModel. This will change in future versions.
|
Ordinal Model based on logistic or normal distribution |
The specific result classes are:
|
A results class for Logit Model |
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A results class for Probit Model |
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A results class for count data |
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A results class for multinomial data |
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A results class for NegativeBinomial 1 and 2 |
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A results class for Generalized Poisson |
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A results class for Zero Inflated Poisson |
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A results class for Zero Inflated Generalized Negative Binomial |
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A results class for Zero Inflated Generalized Poisson |
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A results class for Hurdle model |
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A results class for Truncated Poisson |
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A results class for Truncated Negative Binomial |
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Results class for OrderedModel |
DiscreteModel is a superclass of all discrete regression models. The
estimation results are returned as an instance of one of the subclasses of
DiscreteResults. Each category of models, binary, count and
multinomial, have their own intermediate level of model and results classes.
This intermediate classes are mostly to facilitate the implementation of the
methods and attributes defined by DiscreteModel and
DiscreteResults.
|
Abstract class for discrete choice models. |
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A results class for the discrete dependent variable models. |
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A results class for binary data |
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Generic Zero Inflated Model |