Panel SUR - error

[Andres R]

Hi,

I am trying to run the below code in Python 3.6.0 and Python 2.7.13 and I obtain the following error:

/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/numpy/core/records.py:507: FutureWarning: Numpy has detected that you may be viewing or writing to an array returned by selecting multiple fields in a structured array. 

This code may break in numpy 1.13 because this will return a view instead of a copy -- see release notes for details.

  return obj.view(dtype=(self.dtype.type, obj.dtype))

/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/statsmodels/tsa/tsatools.py:121: FutureWarning: Assignment between structured arrays with different field names will change in numpy 1.13.

Previously fields in the dst would be set to the value of the identically-named field in the src. In numpy 1.13 fields will instead be assigned 'by position': The Nth field of the dst will be set to the Nth field of the src array.

See the release notes for details

  x = x.astype(np.dtype(descr))

/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/numpy/linalg/linalg.py:1587: FutureWarning: elementwise == comparison failed and returning scalar instead; this will raise an error or perform elementwise comparison in the future.

  return int(not all(M==0))

Traceback (most recent call last):

  File "delete.py", line 68, in <module>

    grun_mod = SUR(grun_sys)

  File "/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/statsmodels/sandbox/sysreg.py", line 129, in __init__

    self._cols[i]:self._cols[i+1]] = sys[1::2][i]

  File "/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/scipy/sparse/lil.py", line 363, in __setitem__

    i, j = self._index_to_arrays(i, j)

  File "/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/scipy/sparse/sputils.py", line 356, in _index_to_arrays

    i = self._slicetoarange(i, self.shape[0])[:, None]

  File "/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/scipy/sparse/sputils.py", line 262, in _slicetoarange

    start, stop, step = j.indices(shape)

TypeError: slice indices must be integers or None or have an __index__ method

from statsmodels.compat.python import lmap, asbytes
	import numpy as np
	import statsmodels.api as sm
	from statsmodels.sandbox.sysreg import *
	#for Python 3 compatibility
	# Seemingly Unrelated Regressions (SUR) Model
	# This example uses the subset of the Grunfeld data in Greene's Econometric
	# Analysis Chapter 14 (5th Edition)
	grun_data = sm.datasets.grunfeld.load()
	firms = ['General Motors', 'Chrysler', 'General Electric', 'Westinghouse',
	'US Steel']
	#for Python 3 compatibility
	firms = lmap(asbytes, firms)
	grun_exog = grun_data.exog
	grun_endog = grun_data.endog
	# Right now takes SUR takes a list of arrays
	# The array alternates between the LHS of an equation and RHS side of an
	# equation
	# This is very likely to change
	grun_sys = []
	for i in firms:
	index = grun_exog['firm'] == i
	grun_sys.append(grun_endog[index])
	exog = grun_exog[index][['value','capital']].view(float).reshape(-1,2)
	exog = sm.add_constant(exog, prepend=True)
	grun_sys.append(exog)
	grun_mod = SUR(grun_sys)
	grun_res = grun_mod.fit()
	print("Results for the 2-step GLS")
	print("Compare to Greene Table 14.1, 5th edition")
	print(grun_res.params)

[josef...@gmail.com]

Is this with statsmodels 0.8, 0.6.1 or a branch?

All changes in numpy including deprecation warnings should have been properly taken account of in 0.8. 

However, we might have missed some changes. One issue in a plot function was reported yesterday

Josef 

[Andres R]

Thanks for your answer: 

I am running the following Python version:

Python 3.6.0 (v3.6.0:41df79263a11, Dec 22 2016, 17:23:13) 

[GCC 4.2.1 (Apple Inc. build 5666) (dot 3)] on darwin

Type "help", "copyright", "credits" or "license" for more information.

statsmodel package:

>>> import statsmodels

>>> print(statsmodels.__version__)

0.8.0

numpy package:

>>> print(numpy.__version__)

1.12.1

scipy package:

>>> import scipy

>>> print(scipy.__version__)

0.19.0

pandas package:

>>> import pandas

>>> print(pandas.__version__)

0.19.2

patsy package:

>>> import patsy

>>> print(patsy.__version__)

0.4.1

python package:

Cython version 0.25.2

I ran update commands for all dependencies - everything seems up to date.

[Andres R]