滚动回归：ValueError:endog需要有ndim 1，但有ndim 2

Question

我试图在数据集上运行滚动回归。但我收到一个错误代码，说明“endog需要有ndim 1，但有ndim 2”

据我所知（python新手），给定（1763，）的y.shape，维度是1

我曾尝试使用.ravel（）和reforme（）使其更加一维（尽管它已经是一维的），但仍然得到相同的错误代码

以下是导致错误的代码：

# Start trialing local linear regression
dataset = df.values

X = dataset[:-1,1:]
y = dataset[:-1, 0].flatten()
y.shape, X.shape

输出：（（1763，），（1763，3））

rols = RollingOLS(X, y, window=60)
rres = rols.fit()
params = rres.params
print(params.head())
print(params.tail())

错误代码：

---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
<ipython-input-20-7ca687ee0af3> in <module>
     14 import pandas as pd
     15 
---> 16 rols = RollingOLS(X, y, window=60)
     17 rres = rols.fit()
     18 params = rres.params

/opt/conda/lib/python3.8/site-packages/statsmodels/regression/rolling.py in __init__(self, endog, exog, window, min_nobs, missing, expanding)
    445         expanding=False
    446     ):
--> 447         super().__init__(
    448             endog,
    449             exog,

/opt/conda/lib/python3.8/site-packages/statsmodels/regression/rolling.py in __init__(self, endog, exog, window, weights, min_nobs, missing, expanding)
    154         self.k_constant = k_const
    155         self.data.const_idx = const_idx
--> 156         self._y = array_like(endog, "endog")
    157         nobs = self._y.shape[0]
    158         self._x = array_like(exog, "endog", ndim=2, shape=(nobs, None))

/opt/conda/lib/python3.8/site-packages/statsmodels/tools/validation/validation.py in array_like(obj, name, dtype, ndim, maxdim, shape, order, contiguous, optional)
    145         if arr.ndim != ndim:
    146             msg = "{0} is required to have ndim {1} but has ndim {2}"
--> 147             raise ValueError(msg.format(name, ndim, arr.ndim))
    148     if shape is not None:
    149         for actual, req in zip(arr.shape, shape):

ValueError: endog is required to have ndim 1 but has ndim 2

Answer 1

RollingOLS(endog, exog, window=None, *, min_nobs=None, missing='drop', expanding=False)

Y是endog，X是exog，您需要显式地切换或命名参数