示例#1
0
    def test_het_goldfeldquandt(self):
        #TODO: test options missing

        #> gq = gqtest(fm, alternative='greater')
        #> mkhtest_f(gq, 'het_gq_greater', 'f')
        het_gq_greater = dict(statistic=0.5313259064778423,
                              pvalue=0.9990217851193723,
                              parameters=(98, 98), distr='f')

        #> gq = gqtest(fm, alternative='less')
        #> mkhtest_f(gq, 'het_gq_less', 'f')
        het_gq_less = dict(statistic=0.5313259064778423,
                           pvalue=0.000978214880627621,
                           parameters=(98, 98), distr='f')

        #> gq = gqtest(fm, alternative='two.sided')
        #> mkhtest_f(gq, 'het_gq_two_sided', 'f')
        het_gq_two_sided = dict(statistic=0.5313259064778423,
                                pvalue=0.001956429761255241,
                                parameters=(98, 98), distr='f')


        #> gq = gqtest(fm, fraction=0.1, alternative='two.sided')
        #> mkhtest_f(gq, 'het_gq_two_sided_01', 'f')
        het_gq_two_sided_01 = dict(statistic=0.5006976835928314,
                                   pvalue=0.001387126702579789,
                                   parameters=(88, 87), distr='f')

        #> gq = gqtest(fm, fraction=0.5, alternative='two.sided')
        #> mkhtest_f(gq, 'het_gq_two_sided_05', 'f')
        het_gq_two_sided_05 = dict(statistic=0.434815645134117,
                                   pvalue=0.004799321242905568,
                                   parameters=(48, 47), distr='f')

        endogg, exogg = self.endog, self.exog
        #tests
        gq = smsdia.het_goldfeldquandt(endogg, exogg, split=0.5)
        compare_t_est(gq, het_gq_greater, decimal=(14, 14))
        assert_equal(gq[-1], 'increasing')

        gq = smsdia.het_goldfeldquandt(endogg, exogg, split=0.5,
                                       alternative='decreasing')
        compare_t_est(gq, het_gq_less, decimal=(14, 14))
        assert_equal(gq[-1], 'decreasing')

        gq = smsdia.het_goldfeldquandt(endogg, exogg, split=0.5,
                                       alternative='two-sided')
        compare_t_est(gq, het_gq_two_sided, decimal=(14, 14))
        assert_equal(gq[-1], 'two-sided')

        #TODO: forcing the same split as R 202-90-90-1=21
        gq = smsdia.het_goldfeldquandt(endogg, exogg, split=90, drop=21,
                                       alternative='two-sided')
        compare_t_est(gq, het_gq_two_sided_01, decimal=(14, 14))
        assert_equal(gq[-1], 'two-sided')
示例#2
0
def notyet_atst():
    d = macrodata.load().data

    realinv = d['realinv']
    realgdp = d['realgdp']
    realint = d['realint']
    endog = realinv
    exog = add_constant(np.c_[realgdp, realint],prepend=True)
    res_ols1 = OLS(endog, exog).fit()

    #growth rates
    gs_l_realinv = 400 * np.diff(np.log(d['realinv']))
    gs_l_realgdp = 400 * np.diff(np.log(d['realgdp']))
    lint = d['realint'][:-1]
    tbilrate = d['tbilrate'][:-1]

    endogg = gs_l_realinv
    exogg = add_constant(np.c_[gs_l_realgdp, lint], prepend=True)
    exogg2 = add_constant(np.c_[gs_l_realgdp, tbilrate], prepend=True)

    res_ols = OLS(endogg, exogg).fit()
    res_ols2 = OLS(endogg, exogg2).fit()

    #the following were done accidentally with res_ols1 in R,
    #with original Greene data

    params = np.array([-272.3986041341653, 0.1779455206941112,
                       0.2149432424658157])
    cov_hac_4 = np.array([1321.569466333051, -0.2318836566017612,
                37.01280466875694, -0.2318836566017614, 4.602339488102263e-05,
                -0.0104687835998635, 37.012804668757, -0.0104687835998635,
                21.16037144168061]).reshape(3,3, order='F')
    cov_hac_10 = np.array([2027.356101193361, -0.3507514463299015,
        54.81079621448568, -0.350751446329901, 6.953380432635583e-05,
        -0.01268990195095196, 54.81079621448564, -0.01268990195095195,
        22.92512402151113]).reshape(3,3, order='F')

    #goldfeld-quandt
    het_gq_greater = dict(statistic=13.20512768685082, df1=99, df2=98,
                          pvalue=1.246141976112324e-30, distr='f')
    het_gq_less = dict(statistic=13.20512768685082, df1=99, df2=98, pvalue=1.)
    het_gq_2sided = dict(statistic=13.20512768685082, df1=99, df2=98,
                          pvalue=1.246141976112324e-30, distr='f')

    #goldfeld-quandt, fraction = 0.5
    het_gq_greater_2 = dict(statistic=87.1328934692124, df1=48, df2=47,
                          pvalue=2.154956842194898e-33, distr='f')

    gq = smsdia.het_goldfeldquandt(endog, exog, split=0.5)
    compare_t_est(gq, het_gq_greater, decimal=(13, 14))
    assert_equal(gq[-1], 'increasing')


    harvey_collier = dict(stat=2.28042114041313, df=199,
                          pvalue=0.02364236161988260, distr='t')
    #hc = harvtest(fm, order.by=ggdp , data = list())
    harvey_collier_2 = dict(stat=0.7516918462158783, df=199,
                          pvalue=0.4531244858006127, distr='t')