如何在 Python（statsmodels）中拟合受限 VAR 模型？

Question

问题是我有兴趣限制 VAR 模型中的非重要参数，比如 VAR(2)。我如何在 python 3.0x 中这样做？

问题已经针对 R 提出，但不是针对 python

How to fit a restricted VAR model in R?

你能帮我解决这个问题吗？

Answer 1

另一种方法是使用 R 函数

首先，你需要将包导入python

import rpy2.robjects as robjects, pandas as pd, numpy as np
from rpy2.robjects import r
from rpy2.robjects.numpy2ri import numpy2ri
from rpy2.robjects.packages import importr

从python导入重要包到R中

r('library("vars")')

然后，假设您在名为here.Rdata 的同一目录中有数据

# Load the data in R through python this will create a variable B
r('load("here.Rdata")')

# Change the name of the variable to y
r('y=B')

# Run a normal VAR model
r("t=VAR(y, p=5, type='const')")

# Restrict it 
r('t1=restrict(t, method = "ser", thresh = 2.0, resmat = NULL)')

# Then find the summary statistics
r('s=summary(t1)')

# Save the output into text file call it myfile
r('capture.output(s, file = "myfile.txt")')


# Open it and print it in python
f = open('myfile.txt', 'r')
file_contents = f.read()
print (file_contents)

输出如下：

VAR Estimation Results:
========================= 
Endogenous variables: y1, y2 
Deterministic variables: const 
Sample size: 103 
Log Likelihood: 83.772 
Roots of the characteristic polynomial:
0.5334 0.3785 0.3785     0     0     0     0     0     0     0
Call:
VAR(y = y, p = 5, type = "const")


Estimation results for equation y1: 
=================================== 
y1 = y1.l1 + y2.l1 + y1.l2 

      Estimate Std. Error t value Pr(>|t|)   
y1.l1  0.26938    0.11306   2.383  0.01908 * 
y2.l1 -0.21767    0.07725  -2.818  0.00583 **
y1.l2  0.24068    0.10116   2.379  0.01925 * 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1


Residual standard error: 0.146 on 100 degrees of freedom
Multiple R-Squared: 0.1047, Adjusted R-squared: 0.07786 
F-statistic: 3.899 on 3 and 100 DF,  p-value: 0.01111 


Estimation results for equation y2: 
=================================== 
y2 = y1.l1 + y2.l1 + const 

      Estimate Std. Error t value Pr(>|t|)    
y1.l1  0.73199    0.16065   4.557 1.47e-05 ***
y2.l1 -0.31753    0.10836  -2.930 0.004196 ** 
const  0.08039    0.02165   3.713 0.000338 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1


Residual standard error: 0.2082 on 100 degrees of freedom
Multiple R-Squared: 0.251,  Adjusted R-squared: 0.2286 
F-statistic: 11.17 on 3 and 100 DF,  p-value: 2.189e-06 



Covariance matrix of residuals:
        y1      y2
y1 0.02243 0.01573
y2 0.01573 0.04711

Correlation matrix of residuals:
       y1     y2
y1 1.0000 0.4838
y2 0.4838 1.0000

Answer 2

据我所知，我找不到能够执行这种限制的 python 包。但是，R 中有一个称为 vars 的包。因此，我不得不使用 rpy2 接口在 python 中扩充 R 包。

这可能很容易完成，但是有一个应该发生的事件列表允许您从 python 调用 R 函数（甚至包）作为 vars 包。

可以在link 中找到使用不同包的摘要

但是，为了便于说明，这里是我的代码

首先你必须将 vars 导入到 python 中

# Import vars
Rvars = importr("vars", lib_loc = "C:/Users/Rami Chehab/Documents/R/win-library/3.3")

然后需要为您的数据（或数据框）拟合一个 VAR 模型，例如 data as

t=Rvars.VAR(data,p=2, type='const')

然后需要在限制已知的 vars 包中应用不同的函数，该函数会删除不重要的参数

# Let us try restricting it
t1=Rvars.restrict(t,method = "ser")

允许您观察数据的最后一步是调用 R 中的一个内置函数，称为摘要

# Calling built-in functions from R
Rsummary = robjects.r['summary']

现在将结果打印为

print(Rsummary(t1))

这会给

Estimation results for equation Ireland.Real.Bond: 

================================================== 

Ireland.Real.Bond = Ireland.Real.Bond.l1 + Ireland.Real.Equity.l1 + Ireland.Real.Bond.l2 



                       Estimate Std. Error t value Pr(>|t|)   

Ireland.Real.Bond.l1    0.26926    0.11139   2.417  0.01739 * 

Ireland.Real.Equity.l1 -0.21706    0.07618  -2.849  0.00529 **

Ireland.Real.Bond.l2    0.23929    0.09979   2.398  0.01829 * 

---

Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1





Residual standard error: 14.41 on 103 degrees of freedom

Multiple R-Squared: 0.1041, Adjusted R-squared: 0.07799 

F-statistic: 3.989 on 3 and 103 DF,  p-value: 0.009862 





Estimation results for equation Ireland.Real.Equity: 

==================================================== 

Ireland.Real.Equity = Ireland.Real.Bond.l1 + Ireland.Real.Equity.l1 + const 



                       Estimate Std. Error t value Pr(>|t|)    

Ireland.Real.Bond.l1     0.7253     0.1585   4.575 1.33e-05 ***

Ireland.Real.Equity.l1  -0.3112     0.1068  -2.914 0.004380 ** 

const                    7.7494     2.1057   3.680 0.000373 ***

---

Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1





Residual standard error: 20.58 on 103 degrees of freedom

Multiple R-Squared: 0.2462, Adjusted R-squared: 0.2243 

F-statistic: 11.21 on 3 and 103 DF,  p-value: 1.984e-06