How to apply OLS from statsmodels to groupby

Question

I am running OLS on products by month. While this works fine for a single product, my dataframe contains many products. If I create a groupby object OLS gives an error.

Answer 1

Use get_group to get each individual group and perform OLS model on each one:

for group in linear_regression_grouped.groups.keys():
    df= linear_regression_grouped.get_group(group)
    X = df['period_num'] 
    y = df['TOTALS']
    model = sm.OLS(y, X)
    results = model.fit()
    print results.summary()

But in real case, you also want to have the intercept term so the model should be defined slightly differently:

for group in linear_regression_grouped.groups.keys():
    df= linear_regression_grouped.get_group(group)
    df['constant']=1
    X = df[['period_num','constant']]
    y = df['TOTALS']
    model = sm.OLS(y,X)
    results = model.fit()
    print results.summary()

The results (with intercept and without) are, certainly, very different.