def test_spec_white():
resdir = os.path.join(cur_dir, "results")
wsfiles = ['wspec1.csv', 'wspec2.csv', 'wspec3.csv', 'wspec4.csv']
for file in wsfiles:
mdlfile = os.path.join(resdir, file)
mdl = np.asarray(pd.read_csv(mdlfile))
# DV is in last column
lastcol = mdl.shape[1] - 1
dv = mdl[:, lastcol]
# create design matrix
design = np.concatenate((np.ones((mdl.shape[0], 1)), \
np.delete(mdl, lastcol, 1)), axis=1)
# perform OLS and generate residuals
resids = dv - np.dot(design, np.linalg.lstsq(design, dv, rcond=-1)[0])
# perform White spec test. wspec3/wspec4 contain dummies.
wsres = smsdia.spec_white(resids, design)
# compare results to SAS 9.3 output
if file == 'wspec1.csv':
assert_almost_equal(wsres, [3.251, 0.661, 5], decimal=3)
elif file == 'wspec2.csv':
assert_almost_equal(wsres, [6.070, 0.733, 9], decimal=3)
elif file == 'wspec3.csv':
assert_almost_equal(wsres, [6.767, 0.454, 7], decimal=3)
else:
assert_almost_equal(wsres, [8.462, 0.671, 11], decimal=3)
def test_spec_white():
resdir = os.path.join(cur_dir, "results")
wsfiles = ['wspec1.csv', 'wspec2.csv', 'wspec3.csv', 'wspec4.csv']
for file in wsfiles:
mdlfile = os.path.join(resdir, file)
mdl = np.asarray(pd.read_csv(mdlfile))
# DV is in last column
lastcol = mdl.shape[1] - 1
dv = mdl[:,lastcol]
# create design matrix
design = np.concatenate((np.ones((mdl.shape[0], 1)), \
np.delete(mdl, lastcol, 1)), axis=1)
# perform OLS and generate residuals
resids = dv - np.dot(design, np.linalg.lstsq(design, dv, rcond=-1)[0])
# perform White spec test. wspec3/wspec4 contain dummies.
wsres = smsdia.spec_white(resids, design)
# compare results to SAS 9.3 output
if file == 'wspec1.csv':
assert_almost_equal(wsres, [3.251, 0.661, 5], decimal=3)
elif file == 'wspec2.csv':
assert_almost_equal(wsres, [6.070, 0.733, 9], decimal=3)
elif file == 'wspec3.csv':
assert_almost_equal(wsres, [6.767, 0.454, 7], decimal=3)
else:
assert_almost_equal(wsres, [8.462, 0.671, 11], decimal=3)