def test_tstat(self):
exog, endog = lagmat(self.inflation, 12, original='sep', trim='both')
icbest, sel_lag = _autolag(OLS, endog, exog, 1, 11, 't-stat')
icbest2, sel_lag2 = _autolag_ols(endog, exog, 0, 12, 't-stat')
assert np.isscalar(icbest2)
assert np.isscalar(sel_lag2)
assert sel_lag == sel_lag2
exog, endog = lagmat(self.y, 12, original='sep', trim='both')
icbest, sel_lag = _autolag(OLS, endog, exog, 1, 11, 't-stat')
icbest2, sel_lag2 = _autolag_ols(endog, exog, 0, 12, 't-stat')
assert np.isscalar(icbest2)
assert np.isscalar(sel_lag2)
assert sel_lag == sel_lag2
def test_tstat(self):
exog, endog = lagmat(self.inflation, 12, original="sep", trim="both")
_, sel_lag = _autolag(OLS, endog, exog, 1, 11, "t-stat")
icbest2, sel_lag2 = _autolag_ols(endog, exog, 0, 12, "t-stat")
assert np.isscalar(icbest2)
assert np.isscalar(sel_lag2)
assert sel_lag == sel_lag2
exog, endog = lagmat(self.y, 12, original="sep", trim="both")
_, sel_lag = _autolag(OLS, endog, exog, 1, 11, "t-stat")
icbest2, sel_lag2 = _autolag_ols(endog, exog, 0, 12, "t-stat")
assert np.isscalar(icbest2)
assert np.isscalar(sel_lag2)
assert sel_lag == sel_lag2
def test_tstat(self):
exog, endog = lagmat(self.inflation, 12, original='sep', trim='both')
icbest, sel_lag = _autolag(OLS, endog, exog, 1, 11, 't-stat')
icbest2, sel_lag2 = _autolag_ols(endog, exog, 0, 12, 't-stat')
assert np.isscalar(icbest2)
assert np.isscalar(sel_lag2)
assert sel_lag == sel_lag2
exog, endog = lagmat(self.y, 12, original='sep', trim='both')
icbest, sel_lag = _autolag(OLS, endog, exog, 1, 11, 't-stat')
icbest2, sel_lag2 = _autolag_ols(endog, exog, 0, 12, 't-stat')
assert np.isscalar(icbest2)
assert np.isscalar(sel_lag2)
assert sel_lag == sel_lag2
def test_tstat_exogenous(self):
exog, endog = lagmat(self.z, 12, original='sep', trim='both')
exog = np.concatenate([self.x[12:], exog], axis=1)
icbest, sel_lag = _autolag_ols(endog, exog, 2, 12, 't-stat')
direct = np.zeros(exog.shape[1])
for i in range(3, exog.shape[1]):
res = OLS(endog, exog[:, :i]).fit()
direct[i] = res.tvalues[-1]
crit = stats.norm.ppf(0.95)
assert np.max(np.argwhere(np.abs(direct[2:]) > crit)) == sel_lag
def test_bic_exogenous(self):
exog, endog = lagmat(self.z, 12, original='sep', trim='both')
exog = np.concatenate([self.x[12:], exog], axis=1)
icbest, sel_lag = _autolag_ols(endog, exog, 2, 12, 'bic')
direct = np.zeros(exog.shape[1])
direct.fill(np.inf)
for i in range(3, exog.shape[1]):
res = OLS(endog, exog[:, :i]).fit()
direct[i] = res.bic
assert np.argmin(direct[2:]) == sel_lag
def test_tstat_exogenous(self):
exog, endog = lagmat(self.z, 12, original='sep', trim='both')
exog = np.concatenate([self.x[12:], exog], axis=1)
icbest, sel_lag = _autolag_ols(endog, exog, 2, 12, 't-stat')
direct = np.zeros(exog.shape[1])
for i in range(3, exog.shape[1]):
res = OLS(endog, exog[:, :i]).fit()
direct[i] = res.tvalues[-1]
crit = stats.norm.ppf(0.95)
assert np.max(np.argwhere(np.abs(direct[2:]) > crit)) == sel_lag
def test_bic_exogenous(self):
exog, endog = lagmat(self.z, 12, original='sep', trim='both')
exog = np.concatenate([self.x[12:], exog], axis=1)
icbest, sel_lag = _autolag_ols(endog, exog, 2, 12, 'bic')
direct = np.zeros(exog.shape[1])
direct.fill(np.inf)
for i in range(3, exog.shape[1]):
res = OLS(endog, exog[:, :i]).fit()
direct[i] = res.bic
assert np.argmin(direct[2:]) == sel_lag
