Statsmodels Linear Regression - Patsy Formula To Include All Predictors In Model

Say I have a dataframe (let's call it DF) where y is the dependent variable and x1, x2, x3 are my independent variables. In R I can fit a linear model using the following code, and

Solution 1:

I haven't found . equivalent in patsy documentation either. But what it lacks in conciseness, it can make-up for by giving strong string manipulation in Python. So, you can get formula involving all variable columns in DF using

all_columns = "+".join(DF.columns - ["y"])

This gives x1+x2+x3 in your case. Finally, you can create a string formula using y and pass it to any fitting procedure

my_formula = "y~" + all_columns
result = lm(formula=my_formula, data=DF)

Solution 2:

No this doesn't exist in patsy yet, unfortunately. See this issue.

Solution 3:

As this is still not included in patsy, I wrote a small function that I call when I need to run statsmodels models with all columns (optionally with exceptions)

defols_formula(df, dependent_var, *excluded_cols):
    '''
    Generates the R style formula for statsmodels (patsy) given
    the dataframe, dependent variable and optional excluded columns
    as strings
    '''
    df_columns = list(df.columns.values)
    df_columns.remove(dependent_var)
    for col in excluded_cols:
        df_columns.remove(col)
    return dependent_var + ' ~ ' + ' + '.join(df_columns)

For example, for a dataframe called df with columns y, x1, x2, x3, running ols_formula(df, 'y', 'x3') returns 'y ~ x1 + x2'