28
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master: 88%

Ran 23 Mar 2014 09:44AM UTC

Jobs 1

Files 420

Run time 43s

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Build # 28

Build Type

push

travis-ci

Committed by

bashtage

Commit Message

ENH: Unit Root Tests

Introduces 4 new unit root tests and provides a class for Augmented Dickey Fuller testing.
The four new tests are:
  - PhillipsPerron
  - KPSS
  - Variance Ratio
  - DF-GLS

These have all been included in unitroot.py, and the afduller function has been moved from
tsatools to unitroot, and is now just a wrapper around the ADF class.

The critical value and p-value lookup codes have also been consolidated into untiroot.py.
Critical value and p-value lookup information for DFGLS and KPSS is not readily available
in published form, and so simulations were performed to generate these using 100,000,000
replications using a methodology similar to MacKinnon (2010).  All critical value data
has been consolidated into tsa/critical_values.

A cov_nw function was added to tsa/stattools which computes Newey-West covariance.

Also includes substantial improvements to tsatools, including numerous bug fixes.   The
code that handled recarrays has been improved to now handle pandas dataframes.  Numerous
doc strings where improved.  Test coverage was also substantially increased.

string_types was added to the compatibility library to address the difference between basestring
in Python 2 and str in Python 3.

Moved coint to a new file coinegration.py which will, in the long term, be expanded to include
other tests for cointegration.

Run Details

32007 of 41641 relevant lines covered (76.86%)

0.77 hits per line

Jobs

ID	Job ID	Ran	Files	Coverage
1	28.1 (PYTHON=python PYSUF='')	23 Mar 2014 09:44AM UTC	0	76.86	Travis Job 28.1

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