Robust SE option in the main wrapper function. #8

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nicolas-jimenez wants to merge 61 commits into nyupredocs:master from jettpettus:master

.github/workflows/tests.yml

-Original file line number
+Diff line change
@@ -0,0 +1,19 @@
+    name: CI
+    on: [push, pull_request]
+    jobs:
+      build:
+        runs-on: ubuntu-latest
+        steps:
+        - uses: actions/checkout@v1
+        - name: Print Directory
+          run: echo $(pwd)
+        - name: Docker
+          run: docker ps; docker ps -a
+        - name: Install numoy because I don't understand dependencies
+          run: pip install numpy
+        - name: Run Tests
+          run: python3 -m unittest discover -s Projects/project_2_packages

.travis.yml

-Original file line number
+Diff line change
@@ -0,0 +1,7 @@
+    language: python
+    # command to install dependencies
+    install:
+      - pip install -r requirements.txt
+    # command to run tests
+    script:
+      - unittest

Projects/Project_1_HendricksLeukhina.ipynb

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -2,7 +2,7 @@
  
     "cells": [

      {

       "cell_type": "code",

       "execution_count": null,

       "execution_count": 1,

       "metadata": {},

       "outputs": [],

       "source": [

    @@ -99,9 +99,34 @@
  
      },

      {

       "cell_type": "code",

       "execution_count": null,

       "metadata": {},

       "outputs": [],

       "execution_count": 80,

       "metadata": {

        "scrolled": true

       },

       "outputs": [

        {

         "data": {

          "text/plain": [

           "<BarContainer object of 9 artists>"

          ]

         },

         "execution_count": 80,

         "metadata": {},

         "output_type": "execute_result"

        },

        {

         "data": {

          "image/png": 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5+d0P0ZsHfwy4DjgC3F9VP1yVIteQJH8A/E1V3ZPkd+iNyDcCTwF/WlU/W836VlOSW+h9yXs58ALwHnqDLY+jTpIPA39C7+yvp4A/ozfnva6OIwNckhrlFIokNcoAl6RGGeCS1CgDXJIaZYBLUqMMcElqlAEuSY36f0VxyriClAO2AAAAAElFTkSuQmCC\n",

          "text/plain": [

           "<Figure size 432x288 with 1 Axes>"

          ]

         },

         "metadata": {

          "needs_background": "light"

         },

         "output_type": "display_data"

        }

       ],

       "source": [

        "# Parameters to use in simulation\n",

        "gamma_min = 0.35\n",

    @@ -120,7 +145,28 @@
  
        "x = np.linspace(10, 90, 9)\n",

        "\n",

        "ax.bar(x-1.5, y2_totalcredit_deciles, width=2.)\n",

        "ax.bar(x+1.50, y2_totalcredit_deciles, width=2.)"

        "#ax.bar(x+1.50, y2_totalcredit_deciles, width=2., color = \"red\")\n",

        "\n",

        "# Simulation\n",

        "tc = 6 \n",

        "ncoursesattempted = 12\n",

        "ncreditspercourse = 3\n",

        "ncreditsgrad = 125\n",

        "count = 25000\n",

        "modelprob = tpy.HeterogeneousProbabilityModel(gamma_min, gamma_1, gamma_2, sigma, tc,\n",

        "                                               ncoursesattempted, ncreditspercourse, ncreditsgrad)\n",

        "ability, gpa, credits = modelprob.simulate(count)\n",

        "twoyears = []\n",

        "for array in credits:\n",

        "    twoyears.append(array[0] + array[1])\n",

        "assert len(twoyears) == count\n",

        "deciles = []\n",

        "xax = []\n",

        "for i in range(10,100,10):\n",

        "    xax.append(i)\n",

        "    deciles.append(np.percentile(twoyears, i))\n",

        "ax.bar(xax, deciles, width = 2, color = \"black\")\n",

        "#plt.scatter(deciles, deciles)"

       ]

      },

      {

    @@ -136,9 +182,32 @@
  
      },

      {

       "cell_type": "code",

       "execution_count": null,

       "execution_count": 3,

       "metadata": {},

       "outputs": [],

       "outputs": [

        {

         "data": {

          "text/plain": [

           "<BarContainer object of 9 artists>"

          ]

         },

         "execution_count": 3,

         "metadata": {},

         "output_type": "execute_result"

        },

        {

         "data": {

          "image/png": "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\n",

          "text/plain": [

           "<Figure size 432x288 with 1 Axes>"

          ]

         },

         "metadata": {

          "needs_background": "light"

         },

         "output_type": "display_data"

        }

       ],

       "source": [

        "# Deciles from the data\n",

        "y2_totalcredit_deciles = np.array([\n",

    @@ -193,7 +262,7 @@
  
       "name": "python",

       "nbconvert_exporter": "python",

       "pygments_lexer": "ipython3",

       "version": "3.7.4"

       "version": "3.7.3"

      }

     },

     "nbformat": 4,

Projects/project_2_packages/LICENSE.MD

-Original file line number
+Diff line change
@@ -0,0 +1,21 @@
+    MIT License
+    Copyright (c) [2019] [Best Group 2]
+    Permission is hereby granted, free of charge, to any person obtaining a copy
+    of this software and associated documentation files (the "Software"), to deal
+    in the Software without restriction, including without limitation the rights
+    to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+    copies of the Software, and to permit persons to whom the Software is
+    furnished to do so, subject to the following conditions:
+    The above copyright notice and this permission notice shall be included in all
+    copies or substantial portions of the Software.
+    THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+    IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+    FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+    AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+    LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+    OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+    SOFTWARE.

Projects/project_2_packages/README.MD

Original file line number	Diff line number	Diff line change
		@@ -0,0 +1,3 @@
		# iv-reg package

		This is a simple package to perform instrumental variable estimation.

Projects/project_2_packages/build/lib/iv_jett/__init__.py

Empty file.

Projects/project_2_packages/build/lib/iv_jett/iv_init.py

-Original file line number
+Diff line change
@@ -0,0 +1,74 @@
+    '''
+    Python Package to implement instrumental variables
+    Author: Group 2 NYU Pre docs
+    Date Created: December 6, 2019
+    '''
+    import numpy as np
+    def check_dim(a, b, c):
+        '''
+        Check dimensions
+        '''
+        try:
+            assert len(a.shape) == 2 & len(b.shape) == 2 & len(c.shape) == 2
+        except:
+            raise Exception('Incorrect data dimension input')
+        try:
+            assert a.shape[0] == b.shape[0] == c.shape[0]
+        except:
+            raise Exception('Number of observations not equal')
+        try:
+            assert a.shape[1] <= b.shape[1]
+        except:
+            raise Exception('Model underidentified')
+    def projection_matrix(b):
+        '''
+        Inputs:
+            b (matrix) -- z
+        '''
+        P_b = b @ np.linalg.inv((np.transpose(b) @ b)) @ np.transpose(b)
+        return P_b
+    def estimate_beta_iv(a, b, c, nocons = False):
+        '''
+        Inputs:
+            a (matrix) -- x
+            b (matrix) -- z
+            c (matrix) -- y
+        '''
+        if nocons != True and nocons != False:
+            raise Exception('nocons option misspecified')
+        check_dim(a, b, c)
+        if nocons == False:
+            N = a.shape[0]
+            a_1 = np.ones((N,1))
+            a = np.hstack((a_1,a))
+            b_1 = np.ones((N,1))
+            b = np.hstack((b_1, b))
+        proj = projection_matrix(b)
+        b_1  = np.transpose(a) @ proj @ a
+        b_2 = np.linalg.inv(b_1)
+        b_3 = np.transpose(a) @ proj @ c
+        betas_all = b_2 @ b_3
+        if nocons == False:
+            cons = betas_all[0]
+            betas = betas_all[1:]
+            print("_cons: " + str(cons))
+            for i in range(0, len(betas)):
+                print("beta_"+ str(i) + " :" + str(betas[i]))
+        elif nocons == True:
+            betas = betas_all[0:]
+            for i in range(0, len(betas)):
+                print("beta_"+ str(i) + " :" + str(betas[i]))
+        return betas_all

Projects/project_2_packages/build/lib/iv_jett/iv_standard_error.py

-Original file line number
+Diff line change
@@ -0,0 +1,32 @@
+    '''
+    Calculate Covariance Matrix
+    '''
+    import numpy as np
+    from iv_jett.iv_init import projection_matrix
+    def calculate_sigma(Z, X, Y, beta_iv, nocons = False):
+        N = Z.shape[0]
+        if nocons == False:
+            X_constant = np.ones((N, 1))
+            X = np.hstack((X_constant, X))
+        resid = Y - X @ beta_iv
+        sigma_iv = (1/N) * np.transpose(resid) @ resid
+        return np.sqrt(sigma_iv)
+    def calculate_var_beta(sigma, X, Z, nocons = False):
+        N = Z.shape[0]
+        if nocons == False:
+            X_constant = np.ones((N, 1))
+            X = np.hstack((X_constant, X))
+            Z_constant = np.ones((N, 1))
+            Z = np.hstack((Z_constant, Z))
+        var_beta = (np.asscalar(sigma**2) * np.identity(X.shape[1])) @ np.linalg.inv(np.transpose(X) @ projection_matrix(Z) @ X)
+        se_beta = np.sqrt(np.diag(var_beta))
+        return se_beta

Projects/project_2_packages/build/lib/iv_jett/test/__init__.py

Empty file.

Projects/project_2_packages/build/lib/iv_jett/test/test_estimates.py

-Original file line number
+Diff line change
@@ -0,0 +1,14 @@
+    import unittest
+    import numpy as np
+    import iv_reg as iv
+    class TestBetas(unittest.TestCase):
+        def test_square_instruments(self):
+            z = np.random.rand(5, 5)
+            x = np.random.rand(1, 20)
+            y = np.random.rand(1, 20)
+            betas = np.linalg.inv(np.transpose(z) @ x) @ np.transpose(z) @ y
+            self.assertEqual(betas, iv.estimate_beta_iv(x, z, y, nocons = True))
+    if __name__ == "__main__":
+        unittest.main()

Projects/project_2_packages/data_test.py

-Original file line number
+Diff line change
@@ -0,0 +1,30 @@
+    import numpy as np
+    from iv_jett.run import *
+    mat_x = np.transpose(np.matrix([ [4, .2, 1, 5, 1, 10, 20],
+                        [.4, 2, 2, 2, 2, 11, 25],
+                        [0, 0, .3, 1, 3, 12, 40]]))
+    mat_z  = np.transpose(np.matrix([[1, .5, 2, 3, 4, 13, 56],
+                        [3, 0, .2, 3, 5, 14, 60],
+                        [1, 0, .4, 3, 6, 15, 77]]))
+    mat_y  = np.transpose(np.array([[3, 5, 2, 1, 7, 16, 80]]))
+    '''
+    beta_iv_hat = estimate_beta_iv(mat_x, mat_z, mat_y)
+    #print(beta_iv_hat)
+    sigma = calculate_sigma(mat_z, mat_x, mat_y, beta_iv_hat)
+    print("sigma")
+    print(sigma)
+    print("var beta")
+    var_beta = calculate_var_beta(sigma, mat_x, mat_z)
+    print(var_beta)
+    '''
+    ret = TwoStageLeastSquaresRegress(mat_x, mat_y, mat_z, nocons = False, verbose = True)
+    #print(ret['Beta IV'])
+    #print(ret['Standard Error'])

Projects/project_2_packages/dist/iv_reg_dnu-0.0.1-py3-none-any.whl

Binary file not shown.

Projects/project_2_packages/iv_jett/__init__.py

Empty file.

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