def test_dfgls_auto(self): dfgls = DFGLS(self.inflation, trend='ct', method='BIC', max_lags=3) assert_equal(dfgls.lags, 2) assert_equal(dfgls.max_lags, 3) assert_almost_equal(dfgls.stat, -2.9035369, DECIMAL_4) dfgls.max_lags = 1 assert_equal(dfgls.lags, 1)
def test_dfgls_auto(self): dfgls = DFGLS(self.inflation, trend="ct", method="BIC", max_lags=3) assert_equal(dfgls.lags, 2) assert_equal(dfgls.max_lags, 3) assert_almost_equal(dfgls.stat, -2.9035369, DECIMAL_4) with pytest.warns(FutureWarning, match="Mutating unit root"): dfgls.max_lags = 1 assert_equal(dfgls.lags, 1)
def test_dfgls_c(self): dfgls = DFGLS(self.inflation, trend="c", lags=0) assert_almost_equal(dfgls.stat, -6.017304, DECIMAL_4) dfgls.summary() dfgls.regression.summary() assert dfgls.trend == "c" with pytest.warns(FutureWarning, match="Mutating unit root"): dfgls.trend = "c" assert dfgls.trend == "c" with pytest.warns(FutureWarning, match="Mutating unit root"): dfgls.trend = "ct" assert dfgls.trend == "ct" with pytest.warns(FutureWarning, match="Mutating unit root"): dfgls.trend = "c" assert dfgls.trend == "c" dfgls_hm = DFGLS(self.inflation, trend="c", lags=0, low_memory=False) assert_almost_equal(dfgls_hm.stat, -6.017304, DECIMAL_4) dfgls_lm = DFGLS(self.inflation, trend="c", lags=0, low_memory=True) assert_almost_equal(dfgls_lm.stat, -6.017304, DECIMAL_4) ml = dfgls.max_lags with pytest.warns(FutureWarning, match="Mutating unit root"): dfgls.max_lags = ml