I'm running a SARIMAX model but running into problems with specifying the exogenous variables. In the first block of code (below) I specify one exogenous variable lesdata['LESpost'] and the model runs without a problem. However, when I add in another exogenous variable I end up with an error message (see stack trace).
ar = (1,0,1) # AR(1 3)
ma = (0) # No MA terms
mod1 = sm.tsa.statespace.SARIMAX(lesdata['emadm'], exog= (lesdata['LESpost'],lesdata['QOF']), trend='c', order=(ar,0,ma), mle_regression=True)
Traceback (most recent call last):
File "<ipython-input-129-d1300aeaeffc>", line 4, in <module>
mle_regression=True)
File "C:\Users\danie\Anaconda2\lib\site-packages\statsmodels\tsa\statespace\sarimax.py", line 510, in __init__
endog, exog=exog, k_states=k_states, k_posdef=k_posdef, **kwargs
File "C:\Users\danie\Anaconda2\lib\site-packages\statsmodels\tsa\statespace\mlemodel.py", line 84, in __init__
missing='none')
File "C:\Users\danie\Anaconda2\lib\site-packages\statsmodels\tsa\base\tsa_model.py", line 43, in __init__
super(TimeSeriesModel, self).__init__(endog, exog, missing=missing)
File "C:\Users\danie\Anaconda2\lib\site-packages\statsmodels\base\model.py", line 212, in __init__
super(LikelihoodModel, self).__init__(endog, exog, **kwargs)
File "C:\Users\danie\Anaconda2\lib\site-packages\statsmodels\base\model.py", line 63, in __init__
**kwargs)
File "C:\Users\danie\Anaconda2\lib\site-packages\statsmodels\base\model.py", line 88, in _handle_data
data = handle_data(endog, exog, missing, hasconst, **kwargs)
File "C:\Users\danie\Anaconda2\lib\site-packages\statsmodels\base\data.py", line 630, in handle_data
**kwargs)
File "C:\Users\danie\Anaconda2\lib\site-packages\statsmodels\base\data.py", line 80, in __init__
self._check_integrity()
File "C:\Users\danie\Anaconda2\lib\site-packages\statsmodels\base\data.py", line 496, in _check_integrity
super(PandasData, self)._check_integrity()
File "C:\Users\danie\Anaconda2\lib\site-packages\statsmodels\base\data.py", line 403, in _check_integrity
raise ValueError("endog and exog matrices are different sizes")
ValueError: endog and exog matrices are different sizes
Is there something obvious I am missing here? The variables are all of the same length and there are no missing data.
Thanks for reading and hope you can help !
Two dimensional data needs to have observations in row and variables in columns after applying numpy.asarray.
exog = (lesdata['LESpost'],lesdata['QOF'])
Applying asarray to this tuple puts the variables in rows which is the numpy default from the C origin which is not what statsmodels wants.
DataFrames are already shaped in the appropriate way, so one option is to use a DataFrame with the desired columns
exog = lesdata[['LESpost', 'QOF']]
Another option for list or tuples of array_likes is to use numpy.column_stack
, eg
exog = np.column_stack((lesdata['LESpost'].values,lesdata['QOF'].values))
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