bayespecon.models.OLSPanelFE¶

class bayespecon.models.OLSPanelFE(formula=None, data=None, y=None, X=None, W=None, unit_col=None, time_col=None, N=None, T=None, model=0, priors=None, logdet_method=None, robust=False)[source]¶

Bayesian pooled and fixed-effects linear panel regression.

Implements the Gaussian panel model

\[\begin{split}y_{it} = x_{it}'eta + \\alpha_i + \\tau_t + \\varepsilon_{it}, \\qquad \\varepsilon_{it} \\sim \\mathcal{N}(0, \\sigma^2),\end{split}\]

where the included effects depend on model: 0 pooled, 1 unit effects, 2 time effects, 3 two-way effects. The within transformation is handled by SpatialPanelModel before the likelihood is evaluated.

Parameters:¶

formula=None¶
data=None¶
y=None¶
X=None¶
W=None¶
unit_col=None¶
time_col=None¶
N=None¶
T=None¶
model=0¶
priors=None¶

:param : :param logdet_method: See SpatialPanelModel.

Notes

This is the aspatial baseline for panel LM diagnostics and panel model comparison. The spatial weights object W is accepted for API consistency but does not enter the likelihood.

Robust regression

When robust=True, the error distribution is changed from Normal to Student-t, yielding a model that is robust to heavy-tailed outliers:

\[\begin{split}\\varepsilon_{it} \\sim t_\\nu(0, \\sigma^2)\end{split}\]

where \(\\nu \\sim \\mathrm{TruncExp}(\\lambda_\\nu, \\mathrm{lower}=2)\) with rate nu_lam (default 1/30). The default nu_lam = 1/30 gives a prior mean of approximately 30, favouring near-Normal tails. The lower bound of 2 ensures the variance exists.

__init__(formula=None, data=None, y=None, X=None, W=None, unit_col=None, time_col=None, N=None, T=None, model=0, priors=None, logdet_method=None, robust=False)[source]¶

Methods

`__init__`([formula, data, y, X, W, unit_col, ...])
`fit`([draws, tune, chains, target_accept, ...])	Sample the posterior for the panel model.
`fitted_values`()	Return fitted values at posterior mean parameters.
`residuals`()	Return transformed residuals `y - fitted`.
`spatial_diagnostics`()	Run Bayesian LM specification tests and return a summary table.
`spatial_diagnostics_decision`([alpha])	Return a model-selection decision from Bayesian LM test results.
`spatial_effects`([return_posterior_samples])	Compute Bayesian inference for direct, indirect, and total impacts.
`summary`([var_names])	Return posterior summary table.

Attributes

`inference_data`	Return the ArviZ InferenceData from the most recent fit.
`pymc_model`	Return the PyMC model object built for the most recent fit.

fit(draws=2000, tune=1000, chains=4, target_accept=0.9, random_seed=None, **sample_kwargs)[source]¶

Sample the posterior for the panel model.

Parameters:¶

draws : int, default=2000¶: Number of post-tuning draws per chain.
tune : int, default=1000¶: Number of tuning draws per chain.
chains : int, default=4¶: Number of chains.
target_accept : float, default=0.9¶: NUTS target acceptance probability.
random_seed : int, optional¶: Random seed used by PyMC.
**sample_kwargs¶: Extra keyword arguments forwarded to pymc.sample().

Returns:¶

Posterior samples and diagnostics.

Return type:¶

arviz.InferenceData

fitted_values()[source]¶

Return fitted values at posterior mean parameters.

Returns:¶: Fitted values on transformed panel scale.
Return type:¶: np.ndarray

property inference_data : arviz.data.inference_data.InferenceData | None[source]¶

Return the ArviZ InferenceData from the most recent fit.

Returns:¶: The inference data object, or None if the model has not been fit yet.
Return type:¶: arviz.InferenceData or None

property pymc_model : pymc.model.core.Model | None[source]¶

Return the PyMC model object built for the most recent fit.

Returns:¶: The model object used by fit(), or None if the instance has not been fit yet.
Return type:¶: pymc.Model or None

residuals()[source]¶

Return transformed residuals y - fitted.

Returns:¶: Residual vector on transformed panel scale.
Return type:¶: np.ndarray

spatial_diagnostics()[source]¶

Run Bayesian LM specification tests and return a summary table.

Iterates over the class-level _spatial_diagnostics_tests registry and calls each test function on this fitted model, collecting the results into a tidy DataFrame. The set of tests depends on the model type — for example, an OLSPanelFE model runs Panel-LM-Lag, Panel-LM-Error, Panel-LM-SDM-Joint, and Panel-LM-SLX-Error-Joint.

Requires the model to have been fit (.fit() called) and a spatial weights matrix W to have been supplied at construction time.

Returns:¶

DataFrame indexed by test name with columns:

Column	Description
statistic	Posterior mean of the LM statistic
median	Posterior median of the LM statistic
df	Degrees of freedom for the \(\chi^2\) reference
p_value	Bayesian p-value: `1 - chi2.cdf(mean, df)`
ci_lower	Lower bound of 95% credible interval (2.5%)
ci_upper	Upper bound of 95% credible interval (97.5%)

The DataFrame has attrs["model_type"] (class name) and attrs["n_draws"] (total posterior draws) metadata.

Return type:¶

pandas.DataFrame

Raises:¶

RuntimeError – If the model has not been fit yet.