HAC1.py

# Set auto reload
%reload_ext autoreload
%autoreload 2

# Import libraries
import warnings
import pandas as pd
import numpy as np
import statsmodels.api as sm
import statsmodels.formula.api as smf

from scipy.special import logit

# Config
%config InlineBackend.figure_format = 'retina' #Retina display
warnings.filterwarnings('ignore') #Disable warning

# Create regression DataFrame
df = pd.concat(
    [
        pd.read_csv(
            'https://raw.githubusercontent.com/naenumtou/ifrs9/main/PD/datasets/monthlyODR.csv'
        ).query(
            "Segment == 'CU'"
        ).eval(
            "ODR = Bad / N"
        ).eval(
            "logitODR = @logit(ODR)", engine = 'python'
        )['logitODR'],
        pd.read_csv(
            'https://raw.githubusercontent.com/naenumtou/ifrs9/main/PD/datasets/macroTransformed.csv',
            parse_dates = ['Date'],
            date_parser = lambda x: pd.to_datetime(x)
        )[['Date', 'GDP_C_lg12', 'MPI_C_lg12']]
    ],
    axis = 1
).set_index('Date')

# Show table
df.head(5)