{"action":"created","issue":{"url":"https://api.github.com/repos/statsmodels/statsmodels/issues/1665","repository_url":"https://api.github.com/repos/statsmodels/statsmodels","labels_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/1665/labels{/name}","comments_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/1665/comments","events_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/1665/events","html_url":"https://github.com/statsmodels/statsmodels/pull/1665","id":33225463,"number":1665,"title":"REF/ENH Penalized linear TheilGLS, ridge","user":{"login":"josef-pkt","id":440735,"avatar_url":"https://avatars.githubusercontent.com/u/440735?v=3","gravatar_id":"","url":"https://api.github.com/users/josef-pkt","html_url":"https://github.com/josef-pkt","followers_url":"https://api.github.com/users/josef-pkt/followers","following_url":"https://api.github.com/users/josef-pkt/following{/other_user}","gists_url":"https://api.github.com/users/josef-pkt/gists{/gist_id}","starred_url":"https://api.github.com/users/josef-pkt/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/josef-pkt/subscriptions","organizations_url":"https://api.github.com/users/josef-pkt/orgs","repos_url":"https://api.github.com/users/josef-pkt/repos","events_url":"https://api.github.com/users/josef-pkt/events{/privacy}","received_events_url":"https://api.github.com/users/josef-pkt/received_events","type":"User","site_admin":false},"labels":[{"id":163965,"url":"https://api.github.com/repos/statsmodels/statsmodels/labels/comp-regression","name":"comp-regression","color":"ededed","default":false},{"id":142961,"url":"https://api.github.com/repos/statsmodels/statsmodels/labels/type-enh","name":"type-enh","color":"99ffff","default":false}],"state":"open","locked":false,"assignee":null,"assignees":[],"milestone":{"url":"https://api.github.com/repos/statsmodels/statsmodels/milestones/9","html_url":"https://github.com/statsmodels/statsmodels/milestone/9","labels_url":"https://api.github.com/repos/statsmodels/statsmodels/milestones/9/labels","id":930392,"number":9,"title":"0.8","description":"","creator":{"login":"josef-pkt","id":440735,"avatar_url":"https://avatars.githubusercontent.com/u/440735?v=3","gravatar_id":"","url":"https://api.github.com/users/josef-pkt","html_url":"https://github.com/josef-pkt","followers_url":"https://api.github.com/users/josef-pkt/followers","following_url":"https://api.github.com/users/josef-pkt/following{/other_user}","gists_url":"https://api.github.com/users/josef-pkt/gists{/gist_id}","starred_url":"https://api.github.com/users/josef-pkt/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/josef-pkt/subscriptions","organizations_url":"https://api.github.com/users/josef-pkt/orgs","repos_url":"https://api.github.com/users/josef-pkt/repos","events_url":"https://api.github.com/users/josef-pkt/events{/privacy}","received_events_url":"https://api.github.com/users/josef-pkt/received_events","type":"User","site_admin":false},"open_issues":193,"closed_issues":187,"state":"open","created_at":"2015-01-11T13:17:39Z","updated_at":"2017-02-10T01:40:56Z","due_on":null,"closed_at":null},"comments":4,"created_at":"2014-05-10T02:37:27Z","updated_at":"2017-02-10T05:12:51Z","closed_at":null,"pull_request":{"url":"https://api.github.com/repos/statsmodels/statsmodels/pulls/1665","html_url":"https://github.com/statsmodels/statsmodels/pull/1665","diff_url":"https://github.com/statsmodels/statsmodels/pull/1665.diff","patch_url":"https://github.com/statsmodels/statsmodels/pull/1665.patch"},"body":"some enhancements cleanup and unit test for TheilGLS\n\nStill WIP but ready for TravisCI\n\n**TODOs**\n\n more unit tests\n- [x] inherited results, llf, inherited aic, bic seems correct in close to OLS cases\n- [ ] check `fit_minic`, no reference implementation ?  scikit-learn ? \n     (R MASS lm.ridge uses a different parameterization, Longley looks weird also in R)\n- [x] test case with non-diagonal prior\n- [x] GLS, non-iid errors have no example nor tests\n\nother\n- [ ] register extra keywords for recreating model\n- [ ] code cleanup\n- [ ] check robust cov\n- [ ] HCxx_se raise exception, maybe support later\n\n**most likely not in this PR:**\n- computational efficient implementation for special case of Ridge, SVD based.\n- iterative estimation, improve support for patterned priors, patsy/formula integration ?\n- estimating prior parameters ?\n\n**unclear**\n\nperfect multicollinearity affects the inference for the base parameters, cov_params, bse, and similar.\nCan I separate the effect? eg. precise fixed effects and imprecise random effects.\nNote: even a small prior resolves perfect multicollinearity in the expected way for the `params` \n\nbias: cov_params is pretty standard, but should we do something about the bias. Confidence interval will be centered around a biased estimate if prior information is biased as in Ridge.\n\n**extra references**\n\nreference for HC robust cov not yet available as pdf (in print)\nhttp://www.tandfonline.com/doi/abs/10.1080/03610918.2012.750354#.U3LRKleFUy4\nMuhammad Aslam \"Using Heteroscedasticity Consistent Standard Errors for the Linear Regression Model with Correlated Regressors\" Communications in Statistics - Simulation and Computation \n(I didn't read it yet, but derivation of robust sandwiches is pretty generic, only Theil cov_type='data-prior' has and extra additive term that doesn't fit the current pattern.)\n"},"comment":{"url":"https://api.github.com/repos/statsmodels/statsmodels/issues/comments/278859473","html_url":"https://github.com/statsmodels/statsmodels/pull/1665#issuecomment-278859473","issue_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/1665","id":278859473,"user":{"login":"josef-pkt","id":440735,"avatar_url":"https://avatars.githubusercontent.com/u/440735?v=3","gravatar_id":"","url":"https://api.github.com/users/josef-pkt","html_url":"https://github.com/josef-pkt","followers_url":"https://api.github.com/users/josef-pkt/followers","following_url":"https://api.github.com/users/josef-pkt/following{/other_user}","gists_url":"https://api.github.com/users/josef-pkt/gists{/gist_id}","starred_url":"https://api.github.com/users/josef-pkt/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/josef-pkt/subscriptions","organizations_url":"https://api.github.com/users/josef-pkt/orgs","repos_url":"https://api.github.com/users/josef-pkt/repos","events_url":"https://api.github.com/users/josef-pkt/events{/privacy}","received_events_url":"https://api.github.com/users/josef-pkt/received_events","type":"User","site_admin":false},"created_at":"2017-02-10T05:12:51Z","updated_at":"2017-02-10T05:12:51Z","body":"bump, check and merge with warnings if there are still results missing."}}
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