Forecasting using Pandas OLS

Question

I have been using the scikits.statsmodels OLS predict function to forecast fitted data but would now like to shift to using Pandas.

The documentation refers to OLS as well as to a function called y_predict but I can't find any documentation on how to use it correctly.

By way of example:

exogenous = {
    "1998": "4760","1999": "5904","2000": "4504","2001": "9808","2002": "4241","2003": "4086","2004": "4687","2005": "7686","2006": "3740","2007": "3075","2008": "3753","2009": "4679","2010": "5468","2011": "7154","2012": "4292","2013": "4283","2014": "4595","2015": "9194","2016": "4221","2017": "4520"}
endogenous = {
    "1998": "691", "1999": "1580", "2000": "80", "2001": "1450", "2002": "555", "2003": "956", "2004": "877", "2005": "614", "2006": "468", "2007": "191"}

import numpy as np
from pandas import *

ols_test = ols(y=Series(endogenous), x=Series(exogenous))

However, while I can produce a fit:

>>> ols_test.y_fitted
1998     675.268299
1999     841.176837
2000     638.141913
2001    1407.354228
2002     600.000352
2003     577.521485
2004     664.681478
2005    1099.611292
2006     527.342854
2007     430.901264

Prediction produces nothing different:

>>> ols_test.y_predict
1998     675.268299
1999     841.176837
2000     638.141913
2001    1407.354228
2002     600.000352
2003     577.521485
2004     664.681478
2005    1099.611292
2006     527.342854
2007     430.901264

In scikits.statsmodels one would do the following:

import scikits.statsmodels.api as sm
...
ols_model = sm.OLS(endogenous, np.column_stack(exogenous))
ols_results = ols_mod.fit()
ols_pred = ols_mod.predict(np.column_stack(exog_prediction_values))

How do I do this in Pandas to forecast the endogenous data out to the limits of the exogenous?

UPDATE: Thanks to Chang, the new version of Pandas (0.7.3) now has this functionality as standard.

Answer 1

is your issue how to get the predicted y values of your regression? Or is it how to use the regression coefficients to get predicted y values for a different set of samples for the exogenous variables? pandas y_predict and y_fitted should give you the same value and both should give you the same values as the predict method in scikits.statsmodels.

If you're looking for the regression coefficients, do ols_test.beta