Statsmodels
Statsmodels
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Example: Ordinary Least Squares

Ordinary Least Squares

In [1]:
%matplotlib inline

from __future__ import print_function
import numpy as np
import statsmodels.api as sm
import matplotlib.pyplot as plt
from statsmodels.sandbox.regression.predstd import wls_prediction_std

np.random.seed(9876789)

OLS estimation

Artificial data:

In [2]:
nsample = 100
x = np.linspace(0, 10, 100)
X = np.column_stack((x, x**2))
beta = np.array([1, 0.1, 10])
e = np.random.normal(size=nsample)

Our model needs an intercept so we add a column of 1s:

In [3]:
X = sm.add_constant(X)
y = np.dot(X, beta) + e

Fit and summary: