def time_recresid(self, setup):
""" Time recursive residuals for 7 series 500 times each
"""
for y in setup['Y'][:-1, :]:
for i in range(500):
recresid(setup['X'], y)
def test_regression_recresid_recresid(airquality):
""" Test against strucchange R package using airquality data
R code:
> R.version
_
platform x86_64-unknown-linux-gnu
arch x86_64
os linux-gnu
system x86_64, linux-gnu
status
major 3
minor 2.1
year 2015
month 06
day 18
svn rev 68531
language R
version.string R version 3.2.1 (2015-06-18)
nickname World-Famous Astronaut
> library(strucchange)
> data('airquality')
> lm <- lm(Ozone ~ Solar.R + Wind + Temp, data=airquality)
> rr <- recresid(lm)
> cat(paste(rr, collapse=', '))
"""
strucchange_rr = np.array([
-1.70903937865941, -5.70262862100494, 6.60058663304715,
-4.84066470078687, -9.61248575241643, 1.22166340836876,
-9.36237672204679, 3.82041988937251, 21.2202286297367,
-2.40767376507925, 13.0309632080141, -13.9398122014138,
-16.2029244910195, -7.72958699626936, -11.6283169957354,
17.6408339399752, 6.55065388308375, 16.6714666991652,
64.0654005409762, -13.3454372144415, -25.3623740751964,
13.7809180271227, -17.6731418418553, -28.3835646695026,
-10.032312216991, 18.8583862175622, -1.47379402730503,
-17.981483478909, -21.2139670778193, 73.6763909248311,
-8.56701113146189, -18.315097880498, 2.94831087378935,
-10.6994007950455, 7.30225082337986, 22.5973384761887,
18.275043254397, 15.6018836565117, -17.5303135258411,
-9.74580210959132, -24.8754321115095, -11.4987235752952,
-16.0051888513877, -4.38295812383965, 8.23315105331898,
12.3625362518307, -24.3451078177118, 16.8302442707546,
46.0832959249389, -29.9822578153195, 5.9927321222946,
13.7996047183179, -17.6339316511468, 2.36382561737491,
5.30006070666721, -13.3815998096361, -20.4629900052523,
-33.6463967653763, 41.4991693964953, 25.3635108460443,
39.5002714240528, -9.52165469079163, -23.3335897003711,
18.4343901071501, -12.9188628355704, 9.91295551833012,
-21.4816340778195, -13.5155949341234, 0.966119266589024,
-8.62510628674869, -3.00794346768842, -2.58301039970212,
93.1847641179631, 6.42385051040252, -0.294037879512774,
15.9399129088867, -6.68532625795045, 0.699550784712069,
19.6168910430843, -9.09283712184529, -22.8661685960126,
2.23644540782301, -15.5698178767363, 5.01821309340935,
-28.5510298040051, -22.3236818310892, -17.7542788195006,
-17.6153222403174, 10.8703536500043, -3.51339507921876,
-30.7483018343845, -10.6016989469021, -9.24222318622196,
-11.4586102655371, 4.08099238771835, -16.2201117976377,
-4.93377968777668, -41.3922225601194, -0.902543450360464,
-0.466709711450799, -7.5186145325449, -11.1763927025224,
28.8236627073026, -10.5175372637295, -9.48699874178777,
-24.6182062947431, -3.04044885384074
])
# Python implementation
y = np.asarray(airquality['Ozone'])
X = patsy.dmatrix('1 + SolarR + Wind + Temp', data=airquality)
rr = recresid(X, y)
np.testing.assert_allclose(rr[X.shape[1]:], strucchange_rr)
def test_regression_recresid_recresid(airquality):
""" Test against strucchange R package using airquality data
R code:
> R.version
_
platform x86_64-unknown-linux-gnu
arch x86_64
os linux-gnu
system x86_64, linux-gnu
status
major 3
minor 2.1
year 2015
month 06
day 18
svn rev 68531
language R
version.string R version 3.2.1 (2015-06-18)
nickname World-Famous Astronaut
> library(strucchange)
> data('airquality')
> lm <- lm(Ozone ~ Solar.R + Wind + Temp, data=airquality)
> rr <- recresid(lm)
> cat(paste(rr, collapse=', '))
"""
strucchange_rr = np.array([
-1.70903937865941, -5.70262862100494, 6.60058663304715,
-4.84066470078687, -9.61248575241643, 1.22166340836876,
-9.36237672204679, 3.82041988937251, 21.2202286297367,
-2.40767376507925, 13.0309632080141, -13.9398122014138,
-16.2029244910195, -7.72958699626936, -11.6283169957354,
17.6408339399752, 6.55065388308375, 16.6714666991652, 64.0654005409762,
-13.3454372144415, -25.3623740751964, 13.7809180271227,
-17.6731418418553, -28.3835646695026, -10.032312216991,
18.8583862175622, -1.47379402730503, -17.981483478909,
-21.2139670778193, 73.6763909248311, -8.56701113146189,
-18.315097880498, 2.94831087378935, -10.6994007950455,
7.30225082337986, 22.5973384761887, 18.275043254397, 15.6018836565117,
-17.5303135258411, -9.74580210959132, -24.8754321115095,
-11.4987235752952, -16.0051888513877, -4.38295812383965,
8.23315105331898, 12.3625362518307, -24.3451078177118,
16.8302442707546, 46.0832959249389, -29.9822578153195, 5.9927321222946,
13.7996047183179, -17.6339316511468, 2.36382561737491,
5.30006070666721, -13.3815998096361, -20.4629900052523,
-33.6463967653763, 41.4991693964953, 25.3635108460443,
39.5002714240528, -9.52165469079163, -23.3335897003711,
18.4343901071501, -12.9188628355704, 9.91295551833012,
-21.4816340778195, -13.5155949341234, 0.966119266589024,
-8.62510628674869, -3.00794346768842, -2.58301039970212,
93.1847641179631, 6.42385051040252, -0.294037879512774,
15.9399129088867, -6.68532625795045, 0.699550784712069,
19.6168910430843, -9.09283712184529, -22.8661685960126,
2.23644540782301, -15.5698178767363, 5.01821309340935,
-28.5510298040051, -22.3236818310892, -17.7542788195006,
-17.6153222403174, 10.8703536500043, -3.51339507921876,
-30.7483018343845, -10.6016989469021, -9.24222318622196,
-11.4586102655371, 4.08099238771835, -16.2201117976377,
-4.93377968777668, -41.3922225601194, -0.902543450360464,
-0.466709711450799, -7.5186145325449, -11.1763927025224,
28.8236627073026, -10.5175372637295, -9.48699874178777,
-24.6182062947431, -3.04044885384074
])
# Python implementation
y = np.asarray(airquality['Ozone'])
X = patsy.dmatrix('1 + SolarR + Wind + Temp', data=airquality)
rr = recresid(X, y)
np.testing.assert_allclose(rr[X.shape[1]:], strucchange_rr)