Deprecated rolling window option in OLS from Pandas to Statsmodels

Question

as the title suggests, where has the rolling function option in the ols command in Pandas migrated to in statsmodels? I can\'t seem to find it. Pandas tells me doom is in th

Answer 1

For rolling trend in one column, one can just use:

import numpy as np
def calc_trend(window:int = 30):
    df['trend'] = df.rolling(window = window)['column_name'].apply(lambda x: np.polyfit(np.array(range(0,window)), x, 1)[0], raw=True)

However, in my case I wasted to find a trend with respect to date, where date was in another column. I had to create the functionality manually, but it is easy. First, convert from TimeDate to int64 representing days from t_0:

xdays = (df['Date'].values.astype('int64') - df['Date'][0].value) / (1e9*86400)

Then:

def calc_trend(window:int=30):
    for t in range(len(df)):
        if t < window//2:
            continue
        i0 = t  - window//2 # Start window
        i1 = i0 + window    # End window
        xvec = xdays[i0:i1]
        yvec = df['column_name'][i0:i1].values
        df.loc[t,('trend')] = np.polyfit(xvec, yvec, 1)[0]