wald_test

[SPDA36]

Sorry, I did not know where to place this issue of mine. I have not found a solution online either.

The wald_test does not allow for brackets [ ] or semicolon :, which seems to be an issue when you use the formula operators like C( ) and interacting terms. Below is a sample of the code.

fm = 'lwage ~ C(year)*educ + union + EntityEffects'
model2 = plm.PooledOLS.from_formula(formula=fm,data=df).fit(cov_type='clustered',debiased=True, cluster_entity=True)

null = "C(year)[T.1987]:educ = 0, C(year)[T.1986]:educ = 0"
model2.wald_test(formula=null)

FormulaSyntaxError: Unknown operator '['.
C(year)⧛[⧚T.1987]:educ

I have tried replacing C(year, Treatment(1987)):educ, C(year, Treatment(1987))*educ with no joy. I have tested the similar syntax in statsmodels and it works fine with [ ] and :.

[bashtage]

Hi,

Can you provide me with a copy-pastable example that raises the issue?

Thanks,
Kevin

[bashtage]

import linearmodels as plm
from linearmodels.datasets import wage_panel

df = wage_panel.load()
df = df.set_index(["nr","year"])
idx = df.index
df = df.reset_index()
df.index=idx
fm = 'lwage ~ C(year)*educ + union + EntityEffects'
model2 = plm.PooledOLS.from_formula(formula=fm,data=df).fit(cov_type='clustered',debiased=True, cluster_entity=True)

[SPDA36]

Kevin,
Below is the copy-paste code.

Python implementation: CPython
Python version : 3.10.9
IPython version : 8.10.0

Compiler : MSC v.1916 64 bit (AMD64)
OS : Windows
Release : 10
Machine : AMD64
Processor : Intel64 Family 6 Model 154 Stepping 3, GenuineIntel
CPU cores : 20
Architecture: 64bit
linearmodels: 4.31

import linearmodels as plm
from linearmodels.datasets import wage_panel

df = wage_panel.load()
df = df.set_index(["nr","year"])
idx = df.index
df = df.reset_index()
df.index=idx
fm = 'lwage ~ C(year)*educ + union + EntityEffects'
model2 = plm.PooledOLS.from_formula(formula=fm,data=df).fit(cov_type='clustered',debiased=True, cluster_entity=True)

null = 'C(year)[T.1984]:educ = 0'
model2.wald_test(formula=null)

FormulaSyntaxError: Unknown operator '['.
C(year)⧛[⧚T.1987]:educ

null = 'C(year,Treatment(1984)):educ = 0'
model2.wald_test(formula=null)

FormulaSyntaxError: Unknown operator ':'.
C(year,Treatment(1984))⧛:⧚educ = 0

[bashtage]

I think you need to escale terms that are not valid Python, e.g.,

null = '`C(year,Treatment(1984)):educ` = 0'

Note the ticks around the entire variable name. I'll need to check that this works, but it should.

Note: There was a recently fixed regression in formulaic that might affect escaping. This should be fixed in the next release of formulaic.