def test_hedge_ratio_tls():
model = odr.ODR(
odr.Data(EWA, EWC),
odr.Model(lambda B,x: B[0]*x + B[1]),
beta0=[0,0]).run()
assert_almost_equals(
model.beta[0],
hedge_ratio(EWA, EWC, method="tls"),
places=10)
def cadf(x, y, method="ols", maxlag=1, regression="c"):
beta = hr.hedge_ratio(x, y, method=method)
return sms.adfuller(
y - beta * x,
maxlag=maxlag,
regression=regression)
def test_hedge_ratio_bad_arg():
hedge_ratio(EWA, EWC, method="unknown")
def test_hedge_ratio_ols():
model = LinearRegression().fit(EWA[:,None], EWC)
assert_almost_equals(
model.coef_[0],
hedge_ratio(EWA, EWC, method="ols"),
places=10)