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Object.keys(t))typeof t[o]!="undefined"&&(typeof t[o]!="boolean"?n.setAttribute(o,t[o]):n.setAttribute(o,""));for(let o of r)co(n,o);return n}function fr(e){if(e>999){let t=+((e-950)%1e3>99);return`${((e+1e-6)/1e3).toFixed(t)}k`}else return e.toString()}function fo(){return location.hash.substring(1)}function uo(e){let t=M("a",{href:e});t.addEventListener("click",r=>r.stopPropagation()),t.click()}function Fa(){return b(window,"hashchange").pipe(l(fo),N(fo()),_(e=>e.length>0),J(1))}function po(){return Fa().pipe(l(e=>se(`[id="${e}"]`)),_(e=>typeof e!="undefined"))}function Nr(e){let t=matchMedia(e);return Zt(r=>t.addListener(()=>r(t.matches))).pipe(N(t.matches))}function lo(){let e=matchMedia("print");return L(b(window,"beforeprint").pipe(l(()=>!0)),b(window,"afterprint").pipe(l(()=>!1))).pipe(N(e.matches))}function qr(e,t){return e.pipe(x(r=>r?t():R))}function ur(e,t={credentials:"same-origin"}){return ve(fetch(`${e}`,t)).pipe(ce(()=>R),x(r=>r.status!==200?Tt(()=>new 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Q([r,t,o]).pipe(l(([{height:i},{offset:a,size:s},{x:f,y:c}])=>({offset:{x:a.x-f,y:a.y-c+i},size:s})))}(()=>{function e(n,o){parent.postMessage(n,o||"*")}function t(...n){return n.reduce((o,i)=>o.then(()=>new Promise(a=>{let s=document.createElement("script");s.src=i,s.onload=a,document.body.appendChild(s)})),Promise.resolve())}var r=class{constructor(n){this.url=n,this.onerror=null,this.onmessage=null,this.onmessageerror=null,this.m=a=>{a.source===this.w&&(a.stopImmediatePropagation(),this.dispatchEvent(new MessageEvent("message",{data:a.data})),this.onmessage&&this.onmessage(a))},this.e=(a,s,f,c,u)=>{if(s===this.url.toString()){let p=new ErrorEvent("error",{message:a,filename:s,lineno:f,colno:c,error:u});this.dispatchEvent(p),this.onerror&&this.onerror(p)}};let o=new EventTarget;this.addEventListener=o.addEventListener.bind(o),this.removeEventListener=o.removeEventListener.bind(o),this.dispatchEvent=o.dispatchEvent.bind(o);let i=document.createElement("iframe");i.width=i.height=i.frameBorder="0",document.body.appendChild(this.iframe=i),this.w.document.open(),this.w.document.write(` + + + + + + + + + + + + + + + + + + + + + + + + + + +
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+ + +

+ +

+ + + dbt_linreg logo + +

+

+ Linear regression in any SQL dialect, powered by dbt. +

+

+ Tests badge + Docs badge +

+ +

Overview

+

dbt_linreg is an easy way to perform linear regression and ridge regression in SQL (Snowflake, DuckDB, Clickhouse, and more) with OLS using dbt's Jinja2 templating.

+

Reasons to use dbt_linreg:

+
    +
  • 📈 Linear regression in pure SQL: With the power of Jinja2 templating and some behind-the-scenes math tricks, it is possible to implement multiple and multivariate regression in pure SQL. Most SQL engines (even OLAP engines) do not have a multiple regression implementation of OLS, so this fills a valuable niche. dbt_linreg implements true OLS, not an approximation!
  • +
  • 📱 Simple interface: Just define a table= (which works with ref(), source(), and CTEs), a y-variable with endog=, your x-variables in a list with exog=..., and you're all set! Note that the API is loosely based on Statsmodels's naming conventions.
  • +
  • 🤖 Support for ridge regression: Just pass in alpha=scalar or alpha=[scalar1, scalar2, ...] to regularize your regressions. (Note: regressors are not automatically standardized.)
  • +
  • 🤸‍ Flexibility: Tons of formatting options available to return coefficients the way you want.
  • +
  • 🤗 User friendly: The API provides comprehensive feedback on input errors.
  • +
  • 💪 Durable and tested: Everything in this code base is tested against equivalent regressions performed in Statsmodels with high precision assertions (between 10e-6 to 10e-7, depending on the database engine).
  • +
+

Installation

+

dbt-core >=1.2.0 is required to install dbt_linreg.

+

Add this the packages: list your dbt project's packages.yml:

+
  - package: "dwreeves/dbt_linreg"
+    version: "0.3.0"
+
+

The full file will look something like this:

+
packages:
+  # ...
+  # Other packages here
+  # ...
+  - package: "dwreeves/dbt_linreg"
+    version: "0.3.0"
+
+

Examples

+

Simple example

+

The following example runs a linear regression of 3 columns xa + xb + xc on y, using data in the dbt model named simple_matrix. It outputs the data in "long" format, and rounds the coefficients to 5 decimal points:

+
{{
+  config(
+    materialized="table"
+  )
+}}
+select * from {{
+  dbt_linreg.ols(
+    table=ref('simple_matrix'),
+    endog='y',
+    exog=['xa', 'xb', 'xc'],
+    output='long',
+    output_options={'round': 5}
+  )
+}} as linreg
+
+

Output:

+ + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + +
variable_namecoefficientstandard_errort_statistic
const10.00.004622163.27883
xa5.00.4622610.81639
xb7.00.4622615.14295
xc9.00.4622619.46951
+

Note: simple_matrix is one of the test cases, so you can try this yourself! Standard errors are constant across xa, xb, xc, because simple_matrix is orthonormal.

+

Complex example

+

The following hypothetical example shows multiple ridge regressions (one per product_id) on a table that is preprocessed substantially. After the fact, predictions are run, and the R-squared of each regression is calculated at the end.

+

This example shows that, although dbt_linreg does not implement everything for you, the OLS implementation does most of the hard work. This gives you the freedom to do things you've never been able to do before in SQL!

+
{{
+  config(
+    materialized="table"
+  )
+}}
+with
+
+preprocessed_data as (
+
+  select
+    product_id,
+    price,
+    log(price) as log_price,
+    epoch(time) as t,
+    sin(epoch(time)*pi()*2 / (60*60*24*365)) as sin_t,
+    cos(epoch(time)*pi()*2 / (60*60*24*365)) as cos_t
+  from
+    {{ ref('prices') }}
+
+),
+
+preprocessed_and_normalized_data as (
+
+  select
+    product_id,
+    price,
+    log(price) as log_price,
+    (time - avg(time) over ()) / (stddev(time) over ()) as t_norm,
+    (sin_t - avg(sin_t) over ()) / (stddev(sin_t) over ()) as sin_t_norm,
+    (cos_t - avg(cos_t) over ()) / (stddev(cos_t) over ()) as cos_t_norm
+  from
+    preprocessed_data
+
+),
+
+coefficients as (
+
+    select * from {{
+      dbt_linreg.ols(
+        table='preprocessed_and_normalized_data',
+        endog='log_price',
+        exog=['t_norm', 'sin_t_norm', 'cos_t_norm'],
+        group_by=['product_id'],
+        alpha=0.0001
+      )
+    }}
+
+),
+
+predict as (
+
+  select
+    d.product_id,
+    d.time,
+    d.price,
+    exp(
+      c.const
+      + d.t_norm * c.t_norm
+      + d.sin_t_norm * c.sin_t_norm
+      + d.cos_t_norm * sin_t_norm) as predicted_price
+  from
+    preprocessed_and_normalized_data as d
+  join
+    coefficients as c
+  on
+    d.product_id = c.product_id
+
+)
+
+select
+  product_id,
+  pow(corr(predicted_price, price), 2) as r_squared
+from
+  predict
+group by
+  product_id
+
+

Supported Databases

+

dbt_linreg should work with most SQL databases, but so far, testing has been done for the following database tools:

+ + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + +
DatabaseSupportedPrecision asserted in CI*Supported since version
Snowflaken/a0.1.0
DuckDB10e-70.1.0
Postgres10e-70.2.3
Redshiftn/a0.2.4
Clickhouse10e-60.3.0
+

If dbt_linreg does not work in your database tool, please let me know in a bug report.

+
+

* Precision is for test cases using the collinear_matrix for unregularized regressions, in comparison to the output of the same regression in the Python package Statsmodels using sm.OLS().fit(method="pinv"). For example, coefficients for unregularized regressions performed in DuckDB are asserted to be within 10e-7 of Statsmodels.

+

† Minimal support for Postgres. Postgres is syntactically supported, but is not performant under certain circumstances.

+
+

API

+

The only function available in the public API is the dbt_linreg.ols() macro.

+

Using Python typing notation, the full API for dbt_linreg.ols() looks like this:

+
def ols(
+    table: str,
+    endog: str,
+    exog: Union[str, list[str]],
+    add_constant: bool = True,
+    output: Literal['wide', 'long'] = 'wide',
+    output_options: Optional[dict[str, Any]] = None,
+    group_by: Optional[Union[str, list[str]]] = None,
+    alpha: Optional[Union[float, list[float]]] = None,
+    method: Literal['chol', 'fwl'] = 'chol',
+    method_options: Optional[dict[str, Any]] = None
+):
+    ...
+
+

Where:

+
    +
  • table: Name of table or CTE to pull the data from. You can use ref() or source() here if you'd like.
  • +
  • endog: The endogenous variable / y variable / target variable of the regression. (You can also specify y=... instead of endog=... if you prefer.)
  • +
  • exog: The exogenous variables / X variables / features of the regression. (You can also specify x=... instead of exog=... if you prefer.)
  • +
  • add_constant: If true, a constant term is added automatically to the regression.
  • +
  • output: Either "wide" or "long" output format for coefficients. See Outputs and output options for more.
  • +
  • If wide, the variables span the columns with their original variable names, and the coefficients fill a single row.
  • +
  • If long, the coefficients are in a single column called coefficient, and the variable names are in a single column called variable_name.
  • +
  • output_options: See Formats and format options section for more.
  • +
  • group_by: If specified, the regression will be grouped by these variables, and individual regressions will run on each group.
  • +
  • alpha: If not null, the regression will be run as a ridge regression with a penalty of alpha. See Notes section for more information.
  • +
  • method: The method used to calculate the regression. See Methods and method options for more.
  • +
  • method_options: Options specific to the estimation method. See Methods and method options for more.
  • +
+

Outputs and output options

+

Outputs can be returned either in output='long' or output='wide'.

+

All outputs have their own output options, which can be passed into the output_options= arg as a dict, e.g. output_options={'foo': 'bar'}.

+

output= and output_options= were formerly named format= and format_options= respectively. +This has been deprecated to make dbt_linreg's API more consistent with dbt_pca's API.

+

Options for output='long'

+
    +
  • round (int; default = None): If not None, round all coefficients to round number of digits.
  • +
  • constant_name (string; default = 'const'): String name that refers to constant term.
  • +
  • variable_column_name (string; default = 'variable_name'): Column name storing strings of variable names.
  • +
  • coefficient_column_name (string; default = 'coefficient'): Column name storing model coefficients.
  • +
  • strip_quotes (bool; default = True): If true, strip outer quotes from column names if provided; if false, always use string literals.
  • +
+

These options are available for output='long' only when method='chol':

+
    +
  • calculate_standard_error (bool; default = True if not alpha else False): If true, provide the standard error in the output.
  • +
  • standard_error_column_name (string; default = 'standard_error'): Column name storing the standard error for the parameter.
  • +
  • t_statistic_column_name (string; default = 't_statistic'): Column name storing the t-statistic for the parameter.
  • +
+

Options for output='wide'

+
    +
  • round (int; default = None): If not None, round all coefficients to round number of digits.
  • +
  • constant_name (string; default = 'const'): String name that refers to constant term.
  • +
  • variable_column_prefix (string; default = None): If not None, prefix all variable columns with this. (Does NOT delimit, so make sure to include your own underscore if you'd want that.)
  • +
  • variable_column_suffix (string; default = None): If not None, suffix all variable columns with this. (Does NOT delimit, so make sure to include your own underscore if you'd want that.)
  • +
+

Setting output options globally

+

Output options can be set globally via vars, e.g. in your dbt_project.yml:

+
# dbt_project.yml
+vars:
+  dbt_linreg:
+    output_options:
+      round: 5
+
+

Output options passed via ols() always take precedence over globally set output options.

+

Methods and method options

+

There are currently two valid methods for calculating regression coefficients:

+
    +
  • chol: Uses Cholesky decomposition to calculate the pseudo-inverse.
  • +
  • fwl: Uses a "Frisch-Waugh-Lovell" approach, which consists of calculating univariate regressions to get multiple regression coefficients.
  • +
+

chol method

+

👍 This is the suggested method (and the default) for calculating regressions!

+

This method calculates regression coefficients using the Moore-Penrose pseudo-inverse, and the inverse of X'X is calculated using Cholesky decomposition, hence it is referred to as chol.

+

Options for method='chol'

+

Specify these in a dict using the method_options= kwarg:

+
    +
  • safe (bool; default: True): If True, returns null coefficients instead of an error when X is perfectly multicollinear. If False, a negative value may be passed into a SQRT() or a divide by zero may occur, and most SQL engines will raise an error when this happens.
  • +
  • subquery_optimization (bool; default = True): If True, nested subqueries are used during some of the steps to optimize the query speed. If false, the query is flattened.
  • +
  • intra_select_aliasing (bool; default = [depends on db]): If True, within a single select statement, column aliases are used to refer to other columns created during that select. This can significantly reduce the text of a SQL query, but not all SQL engines support this. By default, for all databases officially supported by dbt_linreg, the best option is already selected. For unsupported databases, the default is False for broad compatibility, so if you are running dbt_linreg in an officially unsupported database engine which supports this feature, you may want to modify this option globally in your vars to be true.
  • +
+

fwl method

+

This method is generally not recommended.

+

Simple univariate regression coefficients are simply covar_pop(y, x) / var_pop(x).

+

The multiple regression implementation uses a technique described in section 3.2.3 Multiple Regression from Simple Univariate Regression of TEoSL (source). Econometricians know this as the Frisch-Waugh-Lovell theorem, hence the method is referred to as fwl internally in the code base.

+

Ridge regression is implemented using the augmentation technique described in Exercise 12 of Chapter 3 of TEoSL (source).

+

There are a few reasons why this method is discouraged over the chol method:

+
    +
  • 🐌 It tends to be much slower in OLAP systems, and struggles to efficiently calculate large number of columns.
  • +
  • 📊 It does not calculate standard errors.
  • +
  • 😕 For ridge regression, coefficients are not accurate; they tend to be off by a magnitude of ~0.01%.
  • +
  • ⚠️ It does not work in all databases because it relies on COVAR_POP.
  • +
+

So when should you use fwl? The main use case is in OLTP systems (e.g. Postgres) for unregularized coefficient estimation. Long story short, the chol method relies on subquery optimization to be more performant than fwl; however, OLTP systems do not benefit at all from subquery optimization. This means that fwl is slightly more performant in this context.

+

Setting method options globally

+

Method options can be set globally via vars, e.g. in your dbt_project.yml. Each method gets its own config, e.g. the dbt_linreg: method_options: chol: ... namespace only applies to the chol method. Here is an example:

+
# dbt_project.yml
+vars:
+  dbt_linreg:
+    method_options:
+      chol:
+        intra_select_aliasing: true
+
+

Method options passed via ols() always take precedence over globally set method options.

+

Notes

+
    +
  • +

    ⚠️ If your coefficients are null, it does not mean dbt_linreg is broken, it most likely means your feature columns are perfectly multicollinear. If you are 100% sure that is not the issue, please file a bug report with a minimally reproducible example.

    +
  • +
  • +

    Regularization is implemented using nearly the same approach as Statsmodels; the only difference is that the constant term can never be regularized. This means:

    +
  • +
  • A scalar input (e.g. alpha=0.01) will apply an alpha of 0.01 to all features.
  • +
  • An array input (e.g. alpha=[0.01, 0.02, 0.03, 0.04, 0.05]) will apply an alpha of 0.01 to the first column, 0.02 to the second column, etc.
  • +
  • alpha is equivalent to what TEoSL refers to as "lambda," times the sample size N. That is to say: α ≡ λ * N.
  • +
  • +

    (Of course, you can regularize the constant term by DIYing your own constant term and doing add_constant=false.)

    +
  • +
  • +

    Regularization as currently implemented for the chol method tends to be very slow in OLTP systems (e.g. Postgres), but is very performant in OLAP systems (e.g. Snowflake, DuckDB, BigQuery, Redshift). As dbt is more commonly used in OLAP contexts, the code base is optimized for the OLAP use case.

    +
  • +
  • +

    That said, it may be possible to make regularization in OLTP more performant (e.g. with augmentation of the design matrix), so PRs are welcome.

    +
  • +
  • +

    Regression coefficients in Postgres are always numeric types.

    +
  • +
+

Possible future features

+

Some things that could happen in the future:

+
    +
  • Weighted least squares (WLS)
  • +
  • Efficient multivariate regression (i.e. multiple endogenous vectors sharing a single design matrix)
  • +
  • P-values
  • +
  • Heteroskedasticity robust standard errors
  • +
  • Recursive CTE implementations + long formatted inputs
  • +
+

Note that although I maintain this library (as of writing in 2025), I do not actively update it much with new features, so this wish list is unlikely unless I personally need it or unless someone else contributes these features.

+

FAQ

+

How does this work?

+

See Methods and method options section for a full breakdown of each linear regression implementation.

+

All approaches were validated using Statsmodels sm.OLS().

+

BigQuery (or other database) has linear regression implemented natively. Why should I use dbt_linreg over that?

+

You don't have to use this. Most warehouses don't support multiple regression out of the box, so this satisfies a niche for those database tools which don't.

+

That said, even in BigQuery, it may be very useful to extract coefficients within a query instead of generating a separate MODEL object through a DDL statement, for a few reasons. Even in more black box predictive contexts, being able to predict in the same SELECT statement as training can be convenient. Additionally, BigQuery does not expose model coefficients to users, and this can be a dealbreaker in many contexts where you care about your coefficients as measurements, not as predictive model parameters. Lastly, group_by is akin to estimating parameters for multiple linear regressions at once.

+

Overall, I would say this is pretty different from what BigQuery's CREATE MODEL is doing; use whatever makes sense for your use case! But keep in mind that for large numbers of variables, a native implementation of linear regression will be noticeably more efficient than this implementation.

+

Why is L2 regularization / ridge regression supported, but not L1 regularization / LASSO supported?

+

There is no closed-form solution to L1 regularization, which makes it very very hard to add through raw SQL. L2 regularization has a closed-form solution and can be implemented using a pre-processing trick.

+

Is the group_by=[...] argument like categorical variables / one-hot encodings?

+

No. The group_by runs a linear regressions within each group, and each individual partition is its own y vector and X matrix. This is not a replacement for dummy variables.

+

Why aren't categorical variables / one-hot encodings supported?

+

I opt to leave out dummy variable support because it's tricky, and I want to keep the API clean and mull on how to best implement that at the highest level.

+

Note that you couldn't simply add categorical variables in the same list as numeric variables because Jinja2 templating is not natively aware of the types you're feeding through it, nor does Jinja2 know the values that a string variable can take on. The way you would actually implement categorical variables is with group by trickery (i.e. center both y and X by categorical variable group means), although I am not sure how to do that efficiently for more than one categorical variable column.

+

If you'd like to regress on a categorical variable, for now you'll need to do your own feature engineering, e.g. (foo = 'bar')::int as foo_bar, (foo = 'baz')::int as foo_baz.

+

Why are there no p-values?

+

This is something that might happen in the future. P-values would require a lookup on a dimension table, which is a significant amount of work to manage nicely.

+

In the meanwhile, you can implement this yourself-- just create a dimension table that left joins a t-statistic on a half-open interval to lookup a p-value.

+

Trademark & Copyright

+

dbt is a trademark of dbt Labs.

+

This package is unaffiliated with dbt Labs.

+ + + + + + + + +
+
+ + +
+ +
+ + + +
+
+
+
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