669 lines
22 KiB
Python
669 lines
22 KiB
Python
from statsmodels.compat.python import lrange
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import numpy as np
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import pandas as pd
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from pandas import DataFrame, Index
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import patsy
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from scipy import stats
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from statsmodels.formula.formulatools import (
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_has_intercept,
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_intercept_idx,
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_remove_intercept_patsy,
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)
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from statsmodels.iolib import summary2
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from statsmodels.regression.linear_model import OLS
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def _get_covariance(model, robust):
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if robust is None:
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return model.cov_params()
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elif robust == "hc0":
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return model.cov_HC0
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elif robust == "hc1":
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return model.cov_HC1
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elif robust == "hc2":
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return model.cov_HC2
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elif robust == "hc3":
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return model.cov_HC3
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else: # pragma: no cover
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raise ValueError("robust options %s not understood" % robust)
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# NOTE: these need to take into account weights !
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def anova_single(model, **kwargs):
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"""
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Anova table for one fitted linear model.
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Parameters
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----------
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model : fitted linear model results instance
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A fitted linear model
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typ : int or str {1,2,3} or {"I","II","III"}
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Type of sum of squares to use.
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**kwargs**
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scale : float
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Estimate of variance, If None, will be estimated from the largest
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model. Default is None.
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test : str {"F", "Chisq", "Cp"} or None
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Test statistics to provide. Default is "F".
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Notes
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-----
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Use of this function is discouraged. Use anova_lm instead.
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"""
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test = kwargs.get("test", "F")
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scale = kwargs.get("scale", None)
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typ = kwargs.get("typ", 1)
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robust = kwargs.get("robust", None)
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if robust:
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robust = robust.lower()
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endog = model.model.endog
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exog = model.model.exog
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nobs = exog.shape[0]
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response_name = model.model.endog_names
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design_info = model.model.data.design_info
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exog_names = model.model.exog_names
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# +1 for resids
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n_rows = (len(design_info.terms) - _has_intercept(design_info) + 1)
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pr_test = "PR(>%s)" % test
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names = ['df', 'sum_sq', 'mean_sq', test, pr_test]
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table = DataFrame(np.zeros((n_rows, 5)), columns=names)
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if typ in [1, "I"]:
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return anova1_lm_single(model, endog, exog, nobs, design_info, table,
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n_rows, test, pr_test, robust)
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elif typ in [2, "II"]:
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return anova2_lm_single(model, design_info, n_rows, test, pr_test,
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robust)
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elif typ in [3, "III"]:
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return anova3_lm_single(model, design_info, n_rows, test, pr_test,
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robust)
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elif typ in [4, "IV"]:
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raise NotImplementedError("Type IV not yet implemented")
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else: # pragma: no cover
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raise ValueError("Type %s not understood" % str(typ))
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def anova1_lm_single(model, endog, exog, nobs, design_info, table, n_rows, test,
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pr_test, robust):
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"""
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Anova table for one fitted linear model.
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Parameters
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----------
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model : fitted linear model results instance
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A fitted linear model
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**kwargs**
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scale : float
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Estimate of variance, If None, will be estimated from the largest
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model. Default is None.
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test : str {"F", "Chisq", "Cp"} or None
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Test statistics to provide. Default is "F".
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Notes
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-----
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Use of this function is discouraged. Use anova_lm instead.
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"""
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#maybe we should rethink using pinv > qr in OLS/linear models?
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effects = getattr(model, 'effects', None)
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if effects is None:
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q,r = np.linalg.qr(exog)
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effects = np.dot(q.T, endog)
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arr = np.zeros((len(design_info.terms), len(design_info.column_names)))
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slices = [design_info.slice(name) for name in design_info.term_names]
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for i,slice_ in enumerate(slices):
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arr[i, slice_] = 1
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sum_sq = np.dot(arr, effects**2)
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#NOTE: assumes intercept is first column
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idx = _intercept_idx(design_info)
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sum_sq = sum_sq[~idx]
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term_names = np.array(design_info.term_names) # want boolean indexing
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term_names = term_names[~idx]
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index = term_names.tolist()
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table.index = Index(index + ['Residual'])
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table.loc[index, ['df', 'sum_sq']] = np.c_[arr[~idx].sum(1), sum_sq]
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# fill in residual
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table.loc['Residual', ['sum_sq','df']] = model.ssr, model.df_resid
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if test == 'F':
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table[test] = ((table['sum_sq'] / table['df']) /
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(model.ssr / model.df_resid))
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table[pr_test] = stats.f.sf(table["F"], table["df"],
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model.df_resid)
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table.loc['Residual', [test, pr_test]] = np.nan, np.nan
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table['mean_sq'] = table['sum_sq'] / table['df']
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return table
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#NOTE: the below is not agnostic about formula...
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def anova2_lm_single(model, design_info, n_rows, test, pr_test, robust):
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"""
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Anova type II table for one fitted linear model.
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Parameters
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----------
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model : fitted linear model results instance
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A fitted linear model
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**kwargs**
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scale : float
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Estimate of variance, If None, will be estimated from the largest
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model. Default is None.
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test : str {"F", "Chisq", "Cp"} or None
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Test statistics to provide. Default is "F".
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Notes
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-----
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Use of this function is discouraged. Use anova_lm instead.
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Type II
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Sum of Squares compares marginal contribution of terms. Thus, it is
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not particularly useful for models with significant interaction terms.
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"""
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terms_info = design_info.terms[:] # copy
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terms_info = _remove_intercept_patsy(terms_info)
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names = ['sum_sq', 'df', test, pr_test]
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table = DataFrame(np.zeros((n_rows, 4)), columns = names)
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cov = _get_covariance(model, None)
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robust_cov = _get_covariance(model, robust)
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col_order = []
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index = []
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for i, term in enumerate(terms_info):
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# grab all varaibles except interaction effects that contain term
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# need two hypotheses matrices L1 is most restrictive, ie., term==0
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# L2 is everything except term==0
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cols = design_info.slice(term)
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L1 = lrange(cols.start, cols.stop)
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L2 = []
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term_set = set(term.factors)
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for t in terms_info: # for the term you have
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other_set = set(t.factors)
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if term_set.issubset(other_set) and not term_set == other_set:
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col = design_info.slice(t)
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# on a higher order term containing current `term`
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L1.extend(lrange(col.start, col.stop))
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L2.extend(lrange(col.start, col.stop))
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L1 = np.eye(model.model.exog.shape[1])[L1]
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L2 = np.eye(model.model.exog.shape[1])[L2]
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if L2.size:
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LVL = np.dot(np.dot(L1,robust_cov),L2.T)
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from scipy import linalg
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orth_compl,_ = linalg.qr(LVL)
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r = L1.shape[0] - L2.shape[0]
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# L1|2
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# use the non-unique orthogonal completion since L12 is rank r
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L12 = np.dot(orth_compl[:,-r:].T, L1)
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else:
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L12 = L1
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r = L1.shape[0]
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#from IPython.core.debugger import Pdb; Pdb().set_trace()
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if test == 'F':
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f = model.f_test(L12, cov_p=robust_cov)
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table.loc[table.index[i], test] = test_value = f.fvalue
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table.loc[table.index[i], pr_test] = f.pvalue
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# need to back out SSR from f_test
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table.loc[table.index[i], 'df'] = r
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col_order.append(cols.start)
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index.append(term.name())
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table.index = Index(index + ['Residual'])
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table = table.iloc[np.argsort(col_order + [model.model.exog.shape[1]+1])]
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# back out sum of squares from f_test
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ssr = table[test] * table['df'] * model.ssr/model.df_resid
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table['sum_sq'] = ssr
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# fill in residual
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table.loc['Residual', ['sum_sq','df', test, pr_test]] = (model.ssr,
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model.df_resid,
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np.nan, np.nan)
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return table
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def anova3_lm_single(model, design_info, n_rows, test, pr_test, robust):
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n_rows += _has_intercept(design_info)
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terms_info = design_info.terms
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names = ['sum_sq', 'df', test, pr_test]
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table = DataFrame(np.zeros((n_rows, 4)), columns = names)
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cov = _get_covariance(model, robust)
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col_order = []
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index = []
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for i, term in enumerate(terms_info):
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# grab term, hypothesis is that term == 0
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cols = design_info.slice(term)
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L1 = np.eye(model.model.exog.shape[1])[cols]
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L12 = L1
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r = L1.shape[0]
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if test == 'F':
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f = model.f_test(L12, cov_p=cov)
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table.loc[table.index[i], test] = test_value = f.fvalue
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table.loc[table.index[i], pr_test] = f.pvalue
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# need to back out SSR from f_test
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table.loc[table.index[i], 'df'] = r
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#col_order.append(cols.start)
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index.append(term.name())
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table.index = Index(index + ['Residual'])
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#NOTE: Do not need to sort because terms are an ordered dict now
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#table = table.iloc[np.argsort(col_order + [model.model.exog.shape[1]+1])]
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# back out sum of squares from f_test
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ssr = table[test] * table['df'] * model.ssr/model.df_resid
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table['sum_sq'] = ssr
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# fill in residual
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table.loc['Residual', ['sum_sq','df', test, pr_test]] = (model.ssr,
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model.df_resid,
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np.nan, np.nan)
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return table
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def anova_lm(*args, **kwargs):
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"""
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Anova table for one or more fitted linear models.
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Parameters
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----------
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args : fitted linear model results instance
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One or more fitted linear models
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scale : float
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Estimate of variance, If None, will be estimated from the largest
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model. Default is None.
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test : str {"F", "Chisq", "Cp"} or None
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Test statistics to provide. Default is "F".
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typ : str or int {"I","II","III"} or {1,2,3}
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The type of Anova test to perform. See notes.
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robust : {None, "hc0", "hc1", "hc2", "hc3"}
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Use heteroscedasticity-corrected coefficient covariance matrix.
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If robust covariance is desired, it is recommended to use `hc3`.
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Returns
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-------
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anova : DataFrame
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When args is a single model, return is DataFrame with columns:
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sum_sq : float64
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Sum of squares for model terms.
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df : float64
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Degrees of freedom for model terms.
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F : float64
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F statistic value for significance of adding model terms.
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PR(>F) : float64
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P-value for significance of adding model terms.
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When args is multiple models, return is DataFrame with columns:
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df_resid : float64
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Degrees of freedom of residuals in models.
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ssr : float64
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Sum of squares of residuals in models.
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df_diff : float64
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Degrees of freedom difference from previous model in args
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ss_dff : float64
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Difference in ssr from previous model in args
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F : float64
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F statistic comparing to previous model in args
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PR(>F): float64
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P-value for significance comparing to previous model in args
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Notes
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-----
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Model statistics are given in the order of args. Models must have been fit
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using the formula api.
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See Also
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--------
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model_results.compare_f_test, model_results.compare_lm_test
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Examples
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--------
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>>> import statsmodels.api as sm
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>>> from statsmodels.formula.api import ols
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>>> moore = sm.datasets.get_rdataset("Moore", "carData", cache=True) # load
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>>> data = moore.data
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>>> data = data.rename(columns={"partner.status" :
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... "partner_status"}) # make name pythonic
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>>> moore_lm = ols('conformity ~ C(fcategory, Sum)*C(partner_status, Sum)',
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... data=data).fit()
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>>> table = sm.stats.anova_lm(moore_lm, typ=2) # Type 2 Anova DataFrame
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>>> print(table)
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"""
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typ = kwargs.get('typ', 1)
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### Farm Out Single model Anova Type I, II, III, and IV ###
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if len(args) == 1:
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model = args[0]
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return anova_single(model, **kwargs)
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if typ not in [1, "I"]:
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raise ValueError("Multiple models only supported for type I. "
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"Got type %s" % str(typ))
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test = kwargs.get("test", "F")
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scale = kwargs.get("scale", None)
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n_models = len(args)
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pr_test = "Pr(>%s)" % test
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names = ['df_resid', 'ssr', 'df_diff', 'ss_diff', test, pr_test]
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table = DataFrame(np.zeros((n_models, 6)), columns=names)
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if not scale: # assume biggest model is last
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scale = args[-1].scale
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table["ssr"] = [mdl.ssr for mdl in args]
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table["df_resid"] = [mdl.df_resid for mdl in args]
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table.loc[table.index[1:], "df_diff"] = -np.diff(table["df_resid"].values)
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table["ss_diff"] = -table["ssr"].diff()
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if test == "F":
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table["F"] = table["ss_diff"] / table["df_diff"] / scale
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table[pr_test] = stats.f.sf(table["F"], table["df_diff"],
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table["df_resid"])
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# for earlier scipy - stats.f.sf(np.nan, 10, 2) -> 0 not nan
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table.loc[table['F'].isnull(), pr_test] = np.nan
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return table
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def _not_slice(slices, slices_to_exclude, n):
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ind = np.array([True]*n)
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for term in slices_to_exclude:
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s = slices[term]
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ind[s] = False
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return ind
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def _ssr_reduced_model(y, x, term_slices, params, keys):
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"""
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Residual sum of squares of OLS model excluding factors in `keys`
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Assumes x matrix is orthogonal
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Parameters
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----------
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y : array_like
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dependent variable
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x : array_like
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independent variables
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term_slices : a dict of slices
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term_slices[key] is a boolean array specifies the parameters
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associated with the factor `key`
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params : ndarray
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OLS solution of y = x * params
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keys : keys for term_slices
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factors to be excluded
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Returns
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-------
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rss : float
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residual sum of squares
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df : int
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degrees of freedom
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"""
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ind = _not_slice(term_slices, keys, x.shape[1])
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params1 = params[ind]
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ssr = np.subtract(y, x[:, ind].dot(params1))
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ssr = ssr.T.dot(ssr)
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df_resid = len(y) - len(params1)
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return ssr, df_resid
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class AnovaRM:
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"""
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Repeated measures Anova using least squares regression
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The full model regression residual sum of squares is
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used to compare with the reduced model for calculating the
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within-subject effect sum of squares [1].
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Currently, only fully balanced within-subject designs are supported.
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Calculation of between-subject effects and corrections for violation of
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sphericity are not yet implemented.
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Parameters
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----------
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data : DataFrame
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depvar : str
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The dependent variable in `data`
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subject : str
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Specify the subject id
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within : list[str]
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The within-subject factors
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between : list[str]
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The between-subject factors, this is not yet implemented
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aggregate_func : {None, 'mean', callable}
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If the data set contains more than a single observation per subject
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and cell of the specified model, this function will be used to
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aggregate the data before running the Anova. `None` (the default) will
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not perform any aggregation; 'mean' is s shortcut to `numpy.mean`.
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An exception will be raised if aggregation is required, but no
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aggregation function was specified.
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Returns
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-------
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results : AnovaResults instance
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Raises
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------
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ValueError
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If the data need to be aggregated, but `aggregate_func` was not
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specified.
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Notes
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-----
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This implementation currently only supports fully balanced designs. If the
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data contain more than one observation per subject and cell of the design,
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these observations need to be aggregated into a single observation
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before the Anova is calculated, either manually or by passing an aggregation
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function via the `aggregate_func` keyword argument.
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Note that if the input data set was not balanced before performing the
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aggregation, the implied heteroscedasticity of the data is ignored.
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References
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----------
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.. [*] Rutherford, Andrew. Anova and ANCOVA: a GLM approach. John Wiley & Sons, 2011.
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"""
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def __init__(self, data, depvar, subject, within=None, between=None,
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aggregate_func=None):
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self.data = data
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self.depvar = depvar
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self.within = within
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if 'C' in within:
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raise ValueError("Factor name cannot be 'C'! This is in conflict "
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"with patsy's contrast function name.")
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self.between = between
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if between is not None:
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raise NotImplementedError('Between subject effect not '
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'yet supported!')
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self.subject = subject
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|
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if aggregate_func == 'mean':
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self.aggregate_func = pd.Series.mean
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else:
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self.aggregate_func = aggregate_func
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if not data.equals(data.drop_duplicates(subset=[subject] + within)):
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if self.aggregate_func is not None:
|
|
self._aggregate()
|
|
else:
|
|
msg = ('The data set contains more than one observation per '
|
|
'subject and cell. Either aggregate the data manually, '
|
|
'or pass the `aggregate_func` parameter.')
|
|
raise ValueError(msg)
|
|
|
|
self._check_data_balanced()
|
|
|
|
def _aggregate(self):
|
|
self.data = (self.data
|
|
.groupby([self.subject] + self.within,
|
|
as_index=False)[self.depvar]
|
|
.agg(self.aggregate_func))
|
|
|
|
def _check_data_balanced(self):
|
|
"""raise if data is not balanced
|
|
|
|
This raises a ValueError if the data is not balanced, and
|
|
returns None if it is balance
|
|
|
|
Return might change
|
|
"""
|
|
factor_levels = 1
|
|
for wi in self.within:
|
|
factor_levels *= len(self.data[wi].unique())
|
|
|
|
cell_count = {}
|
|
for index in range(self.data.shape[0]):
|
|
key = []
|
|
for col in self.within:
|
|
key.append(self.data[col].iloc[index])
|
|
key = tuple(key)
|
|
if key in cell_count:
|
|
cell_count[key] = cell_count[key] + 1
|
|
else:
|
|
cell_count[key] = 1
|
|
error_message = "Data is unbalanced."
|
|
if len(cell_count) != factor_levels:
|
|
raise ValueError(error_message)
|
|
count = cell_count[key]
|
|
for key in cell_count:
|
|
if count != cell_count[key]:
|
|
raise ValueError(error_message)
|
|
if self.data.shape[0] > count * factor_levels:
|
|
raise ValueError('There are more than 1 element in a cell! Missing'
|
|
' factors?')
|
|
|
|
def fit(self):
|
|
"""estimate the model and compute the Anova table
|
|
|
|
Returns
|
|
-------
|
|
AnovaResults instance
|
|
"""
|
|
y = self.data[self.depvar].values
|
|
|
|
# Construct OLS endog and exog from string using patsy
|
|
within = ['C(%s, Sum)' % i for i in self.within]
|
|
subject = 'C(%s, Sum)' % self.subject
|
|
factors = within + [subject]
|
|
x = patsy.dmatrix('*'.join(factors), data=self.data)
|
|
term_slices = x.design_info.term_name_slices
|
|
for key in term_slices:
|
|
ind = np.array([False]*x.shape[1])
|
|
ind[term_slices[key]] = True
|
|
term_slices[key] = np.array(ind)
|
|
term_exclude = [':'.join(factors)]
|
|
ind = _not_slice(term_slices, term_exclude, x.shape[1])
|
|
x = x[:, ind]
|
|
|
|
# Fit OLS
|
|
model = OLS(y, x)
|
|
results = model.fit()
|
|
if model.rank < x.shape[1]:
|
|
raise ValueError('Independent variables are collinear.')
|
|
for i in term_exclude:
|
|
term_slices.pop(i)
|
|
for key in term_slices:
|
|
term_slices[key] = term_slices[key][ind]
|
|
params = results.params
|
|
df_resid = results.df_resid
|
|
ssr = results.ssr
|
|
|
|
columns = ['F Value', 'Num DF', 'Den DF', 'Pr > F']
|
|
anova_table = pd.DataFrame(np.zeros((0, 4)), columns=columns)
|
|
|
|
for key in term_slices:
|
|
if self.subject not in key and key != 'Intercept':
|
|
# Independen variables are orthogonal
|
|
ssr1, df_resid1 = _ssr_reduced_model(
|
|
y, x, term_slices, params, [key])
|
|
df1 = df_resid1 - df_resid
|
|
msm = (ssr1 - ssr) / df1
|
|
if (key == ':'.join(factors[:-1]) or
|
|
(key + ':' + subject not in term_slices)):
|
|
mse = ssr / df_resid
|
|
df2 = df_resid
|
|
else:
|
|
ssr1, df_resid1 = _ssr_reduced_model(
|
|
y, x, term_slices, params,
|
|
[key + ':' + subject])
|
|
df2 = df_resid1 - df_resid
|
|
mse = (ssr1 - ssr) / df2
|
|
F = msm / mse
|
|
p = stats.f.sf(F, df1, df2)
|
|
term = key.replace('C(', '').replace(', Sum)', '')
|
|
anova_table.loc[term, 'F Value'] = F
|
|
anova_table.loc[term, 'Num DF'] = df1
|
|
anova_table.loc[term, 'Den DF'] = df2
|
|
anova_table.loc[term, 'Pr > F'] = p
|
|
|
|
return AnovaResults(anova_table)
|
|
|
|
|
|
class AnovaResults:
|
|
"""
|
|
Anova results class
|
|
|
|
Attributes
|
|
----------
|
|
anova_table : DataFrame
|
|
"""
|
|
def __init__(self, anova_table):
|
|
self.anova_table = anova_table
|
|
|
|
def __str__(self):
|
|
return self.summary().__str__()
|
|
|
|
def summary(self):
|
|
"""create summary results
|
|
|
|
Returns
|
|
-------
|
|
summary : summary2.Summary instance
|
|
"""
|
|
summ = summary2.Summary()
|
|
summ.add_title('Anova')
|
|
summ.add_df(self.anova_table)
|
|
|
|
return summ
|
|
|
|
|
|
if __name__ == "__main__":
|
|
import pandas
|
|
|
|
from statsmodels.formula.api import ols
|
|
|
|
# in R
|
|
#library(car)
|
|
#write.csv(Moore, "moore.csv", row.names=FALSE)
|
|
moore = pandas.read_csv('moore.csv', skiprows=1,
|
|
names=['partner_status','conformity',
|
|
'fcategory','fscore'])
|
|
moore_lm = ols('conformity ~ C(fcategory, Sum)*C(partner_status, Sum)',
|
|
data=moore).fit()
|
|
|
|
mooreB = ols('conformity ~ C(partner_status, Sum)', data=moore).fit()
|
|
|
|
# for each term you just want to test vs the model without its
|
|
# higher-order terms
|
|
|
|
# using Monette-Fox slides and Marden class notes for linear algebra /
|
|
# orthogonal complement
|
|
# https://netfiles.uiuc.edu/jimarden/www/Classes/STAT324/
|
|
|
|
table = anova_lm(moore_lm, typ=2)
|