Statsmodels
Statsmodels
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Example: Weighted Least Squares

Weighted Least Squares

In [1]:
%matplotlib inline

from __future__ import print_function
import numpy as np
from scipy import stats
import statsmodels.api as sm
import matplotlib.pyplot as plt
from statsmodels.sandbox.regression.predstd import wls_prediction_std
from statsmodels.iolib.table import (SimpleTable, default_txt_fmt)
np.random.seed(1024)

WLS Estimation

Artificial data: Heteroscedasticity 2 groups

Model assumptions:

  • Misspecification: true model is quadratic, estimate only linear
  • Independent noise/error term
  • Two groups for error variance, low and high variance groups
In [2]:
nsample = 50
x = np.linspace(