[SciPy-user] Multivariate regression

Vincent Nijs v-nijs at kellogg.northwestern.edu
Wed Jan 17 14:11:47 CST 2007


I posted a simple class to generate various fit statistics for a
multi-variate regression using ols. The sandbox.models class is much more
elaborate but this provides the fit-statistics I needed for my own work. The
code may also be useful to new users to find out where some of the most
basic scipy tools can be found and how they can be used.

http://www.scipy.org/Cookbook/OLS

If anybody has functions lying around to test for residual
heteroscedastsicity, (P)ACF, Portmaneau, VIF etc. feel free to add them to
the class. Otherwise, I will add these features slowly over time as I need
them myself. Also, the formatting of the output seems to jump around a bit
when using the class from ipython. If anyone can help me fix that, that
would be great.

Vincent
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