我正在研究非洲国家的面板模型，他们的民主得分、log（人均 gdp）有 3 个滞后，log（雨）量也有 3 个滞后。我试图通过 IV2SLS 找出由 log(rain)（及其滞后）引起的 log（人均 gdp）（及其滞后）的经济冲击。我还想按国家和年份进行聚类。
我的索引是“国家”，然后是“年份”。我的列名如下：
['democracy', 'log_gdp_per_cap', 'log_gdp_per_cap_lag1', 'log_gdp_per_cap_lag2', 'log_gdp_per_cap_lag3', 'lrain_mw_l', 'lrain_mw_l2', 'lrain_mw_l3', 'lrain_mw_l4']
"lrain_mw_l_"要清楚，这些列是日志（雨）和滞后。
我目前编写的模型如下：
数据框：
iv_log_gdp_per_cap = pd.DataFrame({"democracy": panel_df["polity2"],
"log_gdp_per_cap": panel_df["lgdpc"],
"log_gdp_per_cap_lag1": panel_df["lgpcp_l"],
"log_gdp_per_cap_lag2": panel_df["lgpcp_l2"],
"log_gdp_per_cap_lag3": panel_df["lgpcp_l3"],
"lrain_mw_l": panel_df["lrain_mw_l"],
"lrain_mw_l2": panel_df["lrain_mw_l2"],
"lrain_mw_l3": panel_df["lrain_mw_l3"],
"lrain_mw_l4": panel_df["lrain_mw_l4"]}
endog_vars = pd.DataFrame({"log_gdp_per_cap": panel_df["lgdpc"],
"log_gdp_per_cap_lag1": panel_df["lgpcp_l"],
"log_gdp_per_cap_lag2": panel_df["lgpcp_l2"],
"log_gdp_per_cap_lag3": panel_df["lgpcp_l3"]})
instrument_vars = pd.DataFrame({"lrain_mw_l": panel_df["lrain_mw_l"],
"lrain_mw_l2": panel_df["lrain_mw_l2"],
"lrain_mw_l3": panel_df["lrain_mw_l3"]
"lrain_mw_l4": panel_df["lrain_mw_l4"] })
模型本身：
iv_model = IV2SLS(dependent = iv_log_gdp_per_cap["democracy"],
exog = [iv_log_gdp_per_cap["country"], iv_log_gdp_per_cap["year"]],
endog = endog_vars,
instruments = instrument_vars)
iv_result = iv_model.fit(cov_type = "clustered",
clusters = [iv_log_gdp_per_cap["country"],
iv_log_gdp_per_cap["year"]])
它返回以下错误消息：
---------------------------------------------------------------------------
KeyError Traceback (most recent call last)
~\anaconda3\lib\site-packages\pandas\core\indexes\base.py in get_loc(self, key, method, tolerance)
2894 try:
-> 2895 return self._engine.get_loc(casted_key)
2896 except KeyError as err:
pandas\_libs\index.pyx in pandas._libs.index.IndexEngine.get_loc()
pandas\_libs\index.pyx in pandas._libs.index.IndexEngine.get_loc()
pandas\_libs\hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item()
pandas\_libs\hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item()
KeyError: 'country'
The above exception was the direct cause of the following exception:
KeyError Traceback (most recent call last)
<ipython-input-64-af8102ff7296> in <module>
1 iv_model = IV2SLS(dependent = iv_log_gdp_per_cap["democracy"],
----> 2 exog = [iv_log_gdp_per_cap["country"], iv_log_gdp_per_cap["year"]],
3 endog = endog_vars,
4 instruments = instrument_vars)
5 # model_3_result = mod3.fit(cov_type = "clustered", cluster_entity = True, cluster_time = True)
~\anaconda3\lib\site-packages\pandas\core\frame.py in __getitem__(self, key)
2900 if self.columns.nlevels > 1:
2901 return self._getitem_multilevel(key)
-> 2902 indexer = self.columns.get_loc(key)
2903 if is_integer(indexer):
2904 indexer = [indexer]
~\anaconda3\lib\site-packages\pandas\core\indexes\base.py in get_loc(self, key, method, tolerance)
2895 return self._engine.get_loc(casted_key)
2896 except KeyError as err:
-> 2897 raise KeyError(key) from err
2898
2899 if tolerance is not None:
KeyError: 'country'
问题似乎出在索引中，但我不确定是什么。那么，任何人都可以就如何使用 IV2SLS 按实体和年份使用聚类标准错误提供建议吗？
编辑：
重置索引后，我尝试了以下操作：
year_country = pd.DataFrame({"country": iv_log_gdp_per_cap["country"],
"year": iv_log_gdp_per_cap["year"]})
endog_vars = pd.DataFrame({"log_gdp_per_cap": iv_log_gdp_per_cap["log_gdp_per_cap"],
"log_gdp_per_cap_lag1": iv_log_gdp_per_cap["log_gdp_per_cap_lag1"],
"log_gdp_per_cap_lag2": iv_log_gdp_per_cap["log_gdp_per_cap_lag2"],
"log_gdp_per_cap_lag3": iv_log_gdp_per_cap["log_gdp_per_cap_lag3"]})
instrument_vars = pd.DataFrame({"lrain_mw_l": iv_log_gdp_per_cap["lrain_mw_l"],
"lrain_mw_l2": iv_log_gdp_per_cap["lrain_mw_l2"],
"lrain_mw_l3": iv_log_gdp_per_cap["lrain_mw_l3"],
"lrain_mw_l4": iv_log_gdp_per_cap["lrain_mw_l4"] })
iv_model = IV2SLS(dependent = iv_log_gdp_per_cap["democracy"],
exog = None,
endog = endog_vars,
instruments = instrument_vars)
iv_result = iv_model.fit(cov_type = "clustered")
iv_result
它会返回一个答案，尽管我对此不太有信心。它是按“年份”和“国家”聚类的吗？它说它只是以一种方式聚集，我不确定是什么。如果我试图使用降雨变量作为 gdp 变量的工具，以查看 log（人均 gdp）变化对民主的影响，我这样做对吗？我也不确定是否使用了固定效果。