statsmodels: how to add a method to a class of MLE result

Question

(This is not a problem of simply adding a method to a given class)

What I Want to Achieve

Using Maximum Likelihood Estimation (Generic models) of statsmodels , I implemented an MLE estimator, and want to add a user-made method, which uses exog and params , to a class of fitted result (not an instance), eg, using classmetod() . But an error occurs because those variables are not available. How can I achieve my goal?

Let me explain what I have done so far, using an example from here .

(I had a look at this for adding a method to an existing class.)

Example

import numpy as np
from scipy import stats
import statsmodels.api as sm
from statsmodels.base.model import GenericLikelihoodModel,GenericLikelihoodModelResults

data = sm.datasets.spector.load_pandas()
endog = data.endog
exog = sm.add_constant(data.exog)

class MyProbit(GenericLikelihoodModel):
    def loglike(self, params):
        exog = self.exog
        endog = self.endog
        q = 2 * endog - 1
        return stats.norm.logcdf(q*np.dot(exog, params)).sum()

# my attemp starts ---------------
def my_method(self):
    return print(self.exog, self.params, self.model)

GenericLikelihoodModelResults.my_method = classmethod(my_method)
# my attemp ends ----------------

res = MyProbit(endog, exog).fit()

res.my_method()

This generates the following error.

---------------------------------------------------------------------------
AttributeError                            Traceback (most recent call last)
<ipython-input-29-a2d4f516bca7> in <module>
     23 res = MyProbit(endog, exog).fit()
     24 
---> 25 res.my_method()

<ipython-input-29-a2d4f516bca7> in my_method(self)
     17 # my attemp start ---------------
     18 def my_method(self):
---> 19     return print(self.exog, self.params, self.model)
     20 GenericLikelihoodModelResults.my_method = classmethod(my_method)
     21 # my attemp ends ----------------

AttributeError: type object 'GenericLikelihoodModelResults' has no attribute 'exog'

This suggests that exog (similarly, endog and params ) are not available in GenericLikelihoodModelResults . Indeed, adding the following code shows none of exog , etc.

def my_check(self):
    return dir(self)

GenericLikelihoodModelResults.my_check = classmethod(my_check)

This is despite the fact that they are available at an instance, as one can check using

res.exog
res.endog
res.params

I appreciate any constructive suggestions/comments.

Answer 1

The exception message

AttributeError: type object 'GenericLikelihoodModelResults' has no attribute 'exog'

refers to the results class returned by fit .
exog , endog and similar are attributes of the model class. But params is a results attribute because it is an outcome of the fit method

So either access the model attribute of in the results class self.model.exog if self is a results instance, or use the method for the model class, ie when self is a MyProbit instance.

I'm not sure about the use of a classmethod in this case. The attributes are only available for the specific instance of the class.