Missing Data¶
All of the models can handle missing data. For performance reasons, the default is not to do any checking for missing data. If, however, you would like for missing data to be handled internally, you can do so by using the missing keyword argument. The default is to do nothing
In [1]: import statsmodels.api as sm
In [2]: data = sm.datasets.longley.load()
In [3]: data.exog = sm.add_constant(data.exog)
# add in some missing data
In [4]: missing_idx = np.array([False] * len(data.endog))
In [5]: missing_idx[[4, 10, 15]] = True
In [6]: data.endog[missing_idx] = np.nan
In [7]: ols_model = sm.OLS(data.endog, data.exog)
In [8]: ols_fit = ols_model.fit()
In [9]: print(ols_fit.params)
const NaN
GNPDEFL NaN
GNP NaN
UNEMP NaN
ARMED NaN
POP NaN
YEAR NaN
dtype: float64
This silently fails and all of the model parameters are NaN, which is probably not what you expected. If you are not sure whether or not you have missing data you can use missing = ‘raise’. This will raise a MissingDataError during model instantiation if missing data is present so that you know something was wrong in your input data.
In [10]: ols_model = sm.OLS(data.endog, data.exog, missing='raise')
---------------------------------------------------------------------------
MissingDataError Traceback (most recent call last)
<ipython-input-10-5debd60362bf> in <module>
----> 1 ols_model = sm.OLS(data.endog, data.exog, missing='raise')
/usr/lib/python3/dist-packages/statsmodels/regression/linear_model.py in __init__(self, endog, exog, missing, hasconst, **kwargs)
890 "An exception will be raised in the next version.")
891 warnings.warn(msg, ValueWarning)
--> 892 super(OLS, self).__init__(endog, exog, missing=missing,
893 hasconst=hasconst, **kwargs)
894 if "weights" in self._init_keys:
/usr/lib/python3/dist-packages/statsmodels/regression/linear_model.py in __init__(self, endog, exog, weights, missing, hasconst, **kwargs)
717 else:
718 weights = weights.squeeze()
--> 719 super(WLS, self).__init__(endog, exog, missing=missing,
720 weights=weights, hasconst=hasconst, **kwargs)
721 nobs = self.exog.shape[0]
/usr/lib/python3/dist-packages/statsmodels/regression/linear_model.py in __init__(self, endog, exog, **kwargs)
191 """
192 def __init__(self, endog, exog, **kwargs):
--> 193 super(RegressionModel, self).__init__(endog, exog, **kwargs)
194 self._data_attr.extend(['pinv_wexog', 'wendog', 'wexog', 'weights'])
195
/usr/lib/python3/dist-packages/statsmodels/base/model.py in __init__(self, endog, exog, **kwargs)
265
266 def __init__(self, endog, exog=None, **kwargs):
--> 267 super().__init__(endog, exog, **kwargs)
268 self.initialize()
269
/usr/lib/python3/dist-packages/statsmodels/base/model.py in __init__(self, endog, exog, **kwargs)
90 missing = kwargs.pop('missing', 'none')
91 hasconst = kwargs.pop('hasconst', None)
---> 92 self.data = self._handle_data(endog, exog, missing, hasconst,
93 **kwargs)
94 self.k_constant = self.data.k_constant
/usr/lib/python3/dist-packages/statsmodels/base/model.py in _handle_data(self, endog, exog, missing, hasconst, **kwargs)
130
131 def _handle_data(self, endog, exog, missing, hasconst, **kwargs):
--> 132 data = handle_data(endog, exog, missing, hasconst, **kwargs)
133 # kwargs arrays could have changed, easier to just attach here
134 for key in kwargs:
/usr/lib/python3/dist-packages/statsmodels/base/data.py in handle_data(endog, exog, missing, hasconst, **kwargs)
671
672 klass = handle_data_class_factory(endog, exog)
--> 673 return klass(endog, exog=exog, missing=missing, hasconst=hasconst,
674 **kwargs)
/usr/lib/python3/dist-packages/statsmodels/base/data.py in __init__(self, endog, exog, missing, hasconst, **kwargs)
68 self.formula = kwargs.pop('formula')
69 if missing != 'none':
---> 70 arrays, nan_idx = self.handle_missing(endog, exog, missing,
71 **kwargs)
72 self.missing_row_idx = nan_idx
/usr/lib/python3/dist-packages/statsmodels/base/data.py in handle_missing(cls, endog, exog, missing, **kwargs)
282
283 elif missing == 'raise':
--> 284 raise MissingDataError("NaNs were encountered in the data")
285
286 elif missing == 'drop':
MissingDataError: NaNs were encountered in the data
If you want statsmodels to handle the missing data by dropping the observations, use missing = ‘drop’.
In [11]: ols_model = sm.OLS(data.endog, data.exog, missing='drop')
We are considering adding a configuration framework so that you can set the option with a global setting.