'''Examples OLS

Note: uncomment plt.show() to display graphs

Summary:
========

Relevant part of construction of design matrix
xg includes group numbers/labels,
x1 is continuous explanatory variable

>>> dummy = (xg[:,None] == np.unique(xg)).astype(float)
>>> X = np.c_[x1, dummy[:,1:], np.ones(nsample)]

Estimate the model

>>> res2 = sm.OLS(y, X).fit()
>>> print res2.params
[ 1.00901524  3.08466166 -2.84716135  9.94655423]
>>> print res2.bse
[ 0.07499873  0.71217506  1.16037215  0.38826843]
>>> prstd, iv_l, iv_u = wls_prediction_std(res2)

"Test hypothesis that all groups have same intercept"

>>> R = [[0, 1, 0, 0],
...      [0, 0, 1, 0]]

>>> print res2.f_test(R)
<F test: F=array([[ 91.69986847]]), p=[[  8.90826383e-17]], df_denom=46, df_num=2>

strongly rejected because differences in intercept are very large

'''

import numpy as np
import statsmodels.api as sm
import matplotlib.pyplot as plt
from statsmodels.sandbox.regression.predstd import wls_prediction_std

#fix a seed for these examples
np.random.seed(98765789)

#OLS with dummy variables, similar to ANCOVA
#-------------------------------------------

#construct simulated example:
#3 groups common slope but different intercepts

nsample = 50
x1 = np.linspace(0, 20, nsample)
sig = 1.
#suppose observations from 3 groups
xg = np.zeros(nsample, int)
xg[20:40] = 1
xg[40:] = 2
#print xg
dummy = (xg[:,None] == np.unique(xg)).astype(float)
#use group 0 as benchmark
X = np.c_[x1, dummy[:,1:], np.ones(nsample)]
beta = [1., 3, -3, 10]
y_true = np.dot(X, beta)
y = y_true + sig * np.random.normal(size=nsample)

#estimate
#~~~~~~~~

res2 = sm.OLS(y, X).fit()
#print "estimated parameters: x d1-d0 d2-d0 constant"
print res2.params
#print "standard deviation of parameter estimates"
print res2.bse
prstd, iv_l, iv_u = wls_prediction_std(res2)
#print res.summary()

#plot
#~~~~

plt.figure()
plt.plot(x1, y, 'o', x1, y_true, 'b-')
plt.plot(x1, res2.fittedvalues, 'r--.')
plt.plot(x1, iv_u, 'r--')
plt.plot(x1, iv_l, 'r--')
plt.title('3 groups: different intercepts, common slope; blue: true, red: OLS')
plt.show()


#Test hypothesis that all groups have same intercept
#~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

R = [[0, 1, 0, 0],
     [0, 0, 1, 0]]

# F test joint hypothesis R * beta = 0
# i.e. coefficient on both dummy variables equal zero
print "Test hypothesis that all groups have same intercept"
print res2.f_test(R)




