def checkFamaMacBethExtended(self, window_type, x, y, **kwds):
window = 25
result = fama_macbeth(y=y, x=x, window_type=window_type, window=window,
**kwds)
index = result._index
time = len(index)
for i in xrange(time - window + 1):
if window_type == 'rolling':
start = index[i]
else:
start = index[0]
end = index[i + window - 1]
x2 = {}
for k, v in x.iteritems():
x2[k] = v.truncate(start, end)
y2 = y.truncate(start, end)
reference = fama_macbeth(y=y2, x=x2, **kwds)
assert_almost_equal(reference._stats, result._stats[:, i])
def checkFamaMacBethExtended(self, window_type, x, y, **kwds):
window = 25
with tm.assert_produces_warning(FutureWarning, check_stacklevel=False):
result = fama_macbeth(y=y, x=x, window_type=window_type, window=window,
**kwds)
self._check_stuff_works(result)
index = result._index
time = len(index)
for i in range(time - window + 1):
if window_type == 'rolling':
start = index[i]
else:
start = index[0]
end = index[i + window - 1]
x2 = {}
for k, v in compat.iteritems(x):
x2[k] = v.truncate(start, end)
y2 = y.truncate(start, end)
with tm.assert_produces_warning(FutureWarning, check_stacklevel=False):
reference = fama_macbeth(y=y2, x=x2, **kwds)
assert_almost_equal(reference._stats, result._stats[:, i])
with tm.assert_produces_warning(FutureWarning, check_stacklevel=False):
static = fama_macbeth(y=y2, x=x2, **kwds)
self._check_stuff_works(static)
def checkFamaMacBethExtended(self, window_type, x, y, **kwds):
window = 25
result = fama_macbeth(y=y,
x=x,
window_type=window_type,
window=window,
**kwds)
self._check_stuff_works(result)
index = result._index
time = len(index)
for i in range(time - window + 1):
if window_type == 'rolling':
start = index[i]
else:
start = index[0]
end = index[i + window - 1]
x2 = {}
for k, v in x.iterkv():
x2[k] = v.truncate(start, end)
y2 = y.truncate(start, end)
reference = fama_macbeth(y=y2, x=x2, **kwds)
assert_almost_equal(reference._stats, result._stats[:, i])
static = fama_macbeth(y=y2, x=x2, **kwds)
self._check_stuff_works(static)
def checkFamaMacBethExtended(self, window_type, x, y, **kwds):
window = 25
with tm.assert_produces_warning(FutureWarning, check_stacklevel=False):
result = fama_macbeth(y=y, x=x, window_type=window_type, window=window,
**kwds)
self._check_stuff_works(result)
index = result._index
time = len(index)
for i in range(time - window + 1):
if window_type == 'rolling':
start = index[i]
else:
start = index[0]
end = index[i + window - 1]
x2 = {}
for k, v in compat.iteritems(x):
x2[k] = v.truncate(start, end)
y2 = y.truncate(start, end)
with tm.assert_produces_warning(FutureWarning, check_stacklevel=False):
reference = fama_macbeth(y=y2, x=x2, **kwds)
assert_almost_equal(reference._stats, result._stats[:, i])
with tm.assert_produces_warning(FutureWarning, check_stacklevel=False):
static = fama_macbeth(y=y2, x=x2, **kwds)
self._check_stuff_works(static)
