Generalized Linear Models (Formula)ΒΆ

Link to Notebook GitHub

This notebook illustrates how you can use R-style formulas to fit Generalized Linear Models.

To begin, we load the Star98 dataset and we construct a formula and pre-process the data:

In [ ]:
from __future__ import print_function
import statsmodels.api as sm
import statsmodels.formula.api as smf
star98 = sm.datasets.star98.load_pandas().data
formula = 'SUCCESS ~ LOWINC + PERASIAN + PERBLACK + PERHISP + PCTCHRT + \
           PCTYRRND + PERMINTE*AVYRSEXP*AVSALK + PERSPENK*PTRATIO*PCTAF'
dta = star98[['NABOVE', 'NBELOW', 'LOWINC', 'PERASIAN', 'PERBLACK', 'PERHISP',
              'PCTCHRT', 'PCTYRRND', 'PERMINTE', 'AVYRSEXP', 'AVSALK',
              'PERSPENK', 'PTRATIO', 'PCTAF']]
endog = dta['NABOVE'] / (dta['NABOVE'] + dta.pop('NBELOW'))
del dta['NABOVE']
dta['SUCCESS'] = endog

Then, we fit the GLM model:

In [ ]:
mod1 = smf.glm(formula=formula, data=dta, family=sm.families.Binomial()).fit()
mod1.summary()
/Users/tom.augspurger/Envs/py3/lib/python3.4/site-packages/IPython/kernel/__main__.py:11: SettingWithCopyWarning:
A value is trying to be set on a copy of a slice from a DataFrame.
Try using .loc[row_indexer,col_indexer] = value instead

See the the caveats in the documentation: http://pandas.pydata.org/pandas-docs/stable/indexing.html#indexing-view-versus-copy

Finally, we define a function to operate customized data transformation using the formula framework:

In [ ]:
def double_it(x):
    return 2 * x
formula = 'SUCCESS ~ double_it(LOWINC) + PERASIAN + PERBLACK + PERHISP + PCTCHRT + \
           PCTYRRND + PERMINTE*AVYRSEXP*AVSALK + PERSPENK*PTRATIO*PCTAF'
mod2 = smf.glm(formula=formula, data=dta, family=sm.families.Binomial()).fit()
mod2.summary()

As expected, the coefficient for double_it(LOWINC) in the second model is half the size of the LOWINC coefficient from the first model:

In [ ]:
print(mod1.params[1])
print(mod2.params[1] * 2)