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Build # 496

Build Type

push

travis-ci

Committed by bashtage

Commit Message

ENH: Unit Root Tests

Introduces 4 new unit root tests and adds a class-based
Augmented Dickey Fuller.

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.

Run Details

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