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)