How to extract coefficients from pydynpd package in python(system gmm)?

Question

I am trying to run a monte carlo simulation on a model estimated by the system gmm. Therefore, I need to extract the coefficients of my model from the prettytable from the pydynpd package in python (https://github.com/dazhwu/pydynpd). I am searching for a command/function that returns just like statsmodels with fit().params, the coefficients in an array.

Answer 1

Sorry. I just saw your question. You can always post your questions at https://github.com/dazhwu/pydynpd/issues

For example, if you run:

df = pd.read_csv("data.csv")
mydpd = regression.abond('n L(1:2).n w k  | gmm(n, 2:4) gmm(w, 1:3)  iv(k)  ', df, ['id', 'year'])

The output regression table will be

+------+------------+---------------------+------------+-----------+-----+
|  n   |   coef.    | Corrected Std. Err. |     z      |   P>|z|   |     |
+------+------------+---------------------+------------+-----------+-----+
| L1.n | 0.9453810  |      0.1429764      | 6.6121470  | 0.0000000 | *** |
| L2.n | -0.0860069 |      0.1082318      | -0.7946553 | 0.4268140 |     |
|  w   | -0.4477795 |      0.1521917      | -2.9422068 | 0.0032588 |  ** |
|  k   | 0.1235808  |      0.0508836      | 2.4286941  | 0.0151533 |  *  |
| _con | 1.5630849  |      0.4993484      | 3.1302492  | 0.0017466 |  ** |
+------+------------+---------------------+------------+-----------+-----+

If you want to programably extract a value, for example, the first z value (6.6121470) then you can add the following:

>>>mydpd.models[0].regression_table.iloc[0]['z_value']
6.6121469997085915

Basically, the object mydpd returned above contains models. By default, it only contains one model which is models[0]. A model has a regression table which is a pandas dataframe:

 >>>mydpd.models[0].regression_table

  variable  coefficient   std_err   z_value       p_value  sig
0     L1.n     0.945381  0.142976  6.612147  3.787856e-11  ***
1     L2.n    -0.086007  0.108232 -0.794655  4.268140e-01     
2        w    -0.447780  0.152192 -2.942207  3.258822e-03   **
3        k     0.123581  0.050884  2.428694  1.515331e-02    *
4     _con     1.563085  0.499348  3.130249  1.746581e-03   **

So you can extract any value from this dataframe.