
p7]c           @   s  d  Z  d d l Z d d l Z d d l m Z m Z m Z m Z d d l	 m
 Z
 m Z d d l m Z d d l m Z d d l j j Z d d l j j Z d d l j j Z d d f d	  Z d
 e f d     YZ d   Z e d k r e   Z e j    n  d S(   sz   Tests of GLSAR and diagnostics against Gretl

Created on Thu Feb 02 21:15:47 2012

Author: Josef Perktold
License: BSD-3

iN(   t   assert_almost_equalt   assert_equalt   assert_allcloset   assert_array_less(   t   OLSt   GLSAR(   t   add_constant(   t	   macrodatai   i   c         C   sy   t  |  j | d d | d t  |  j | d d | d t |  j | d  t |  j | d  t d | d  d  S(   Ni    t   decimali   i   i   t   fi   (   R    t   fvaluet   pvalueR   t   df_numt   df_denom(   t   contrast_rest   otherR   (    (    sL   lib/python2.7/site-packages/statsmodels/regression/tests/test_glsar_gretl.pyt   compare_ftest   s
    t   TestGLSARGretlc           B   s   e  Z d    Z RS(   c   3      C   s  t  j   j } d t j t j | d j   } d t j t j | d j   } t j | d  } t t j t j | d j  | d d  j f  } | } t t j | | d d  j f  } t	 | |  j
   } t | | d d }	 |	 j
   }
 t | | d d } | j d d	  } d } t j d
 d d d d d g d d d d d d g d d d d d d g g  } t d d d d d" d d% d d( d d+ d d. d d1 d d4 d d6 d  
} d9 d: d; d< d= g } d> d? d@ dA d= g } dB dC d@ dA d= g } dD dE dF dG g } dH dH g } dI } dJ } dK } dL dM d; g } |
 } t | j | d  d   dN f dF  t | j | d  d   d@ f dO  t | j | d  d   d; f d;  t | j | d" d@ dP d; t t j | j  | d% d@ dP d	 t | j | d. d@ dP dF t | j | d1 d@ dQ dR t j | j dS dF } t | dN | dN dP dF t | d@ | d@ dP dO | } t | j j | dP dT t | j | d  d   dN f dF  t | j | d  d   d@ f dT  t | j | d  d   d; f d;  t | j | d" d@ dP d; t t j | j  | d% d@ dP d	 t | j | d. d@ dP dN t | j | d1 d@ dP dO t j | dU d; } t  | | dP d t j | dU dT } t  | | dP d t j | j dS dF } t | dN | dN dP d@ t | d@ | d@ dP d; t j dV dW dX dY dZ d[ g d\ d] d^ d_ d` da g db dc dd de df dg g g  } t d d d d d" d d% d d( d d+ d d. d d1 d dq d dt d dw d dz d d4 d d6 d  } d d d; dG g } d d d; dG g } d d dF d d g } d d dF dG g } d d dF dG g }  d d dA d g }! d d dT d d g }" d d dT dG g }# d d dF dG g } d d d; dG g } d d d	 dG g }$ d d d; dG g }% d d d; dG g }& d9 d: d; d< d= g } d> d? d@ dA d= g } dB dC d@ dA d= g } d } d } d } d d g } d j!   }' t" j# j$ t" j# j% t&   }( t" j# j' |( d  }) t j( |) d dT d d@ d i d   dN 6}* t j) |* d d  rt j( |) d dT d d; d i d   dN 6}* n  |' |* j* _+ | } t, j- | d dF d t. }+ t, j/ |+  }, t | j | d  d   dN f d	  t |, | d  d   d@ f d	  t | j | d" d@ dP d; t | j0 | dq d@ dP dF t | j1 | d( d@ dP dO t | j2 | d+ d@ dP dO t t j | j  | d% d@ dP d	 t j | dU d; } t  | | dP d t j | dU dT } t  | | dP d t j3 | j4 | j j5  }- t |- dN | dN dP dO t |- d@ | d@ dP d t j6 | j4 | j j5  }. t |. dN |& dN dP dO t |. d@ |& d@ dP dO t j7 | j4 | j j5  }/ t |/ d;  |$ d;  dO  t j | j4 dS dF } t | dN | dN dP d	 t | d@ | d@ dP dO g  d@ d; g D] }0 t j8 | j j5 |0  ^ qd
}1 t j9 |  }2 t |* d | j4 dP dT t |* d |2 j: dN dP dT t |* d |2 j; dP dT t |* d |2 j< dP dF d  S(   Ni  t   realinvt   realgdpt   realintit   rhog/ͮt   maxiteri   gu#g0б?gNbX94#g&Dv(P<g"uq&g:g9#J{@ge3?g      5@gAV<5g @gÙ@g4c=g'8'?g}?5^Ig|a2U?g	mg t
   endog_means   Mean dependent vargj@t	   endog_stds   S.D. dependent varg"2@t   ssrs   Sum squared residg @t   mse_resid_sqrts   S.E. of regressiong1U%@t   rsquareds	   R-squaredgGé?t   rsquared_adjs   Adjusted R-squaredgF?R
   s	   F(2, 198)gQk@t   f_pvalues
   P-value(F)g"Ou5t
   resid_acf1ge9	/lt   dws   Durbin-Watsong2m?g}HF@g_xZy?i   i   R	   gV@g.s,&6?i   i   g9@gZd;O?g^o%;@g[vؾ?i   t   chi2gx&1?gt$κ@g   CAgHCM?gyG4@gi?i    i   R   t   rtolg{Gz?t   maxlagi   t   degreegBs"g-R\?g\( gq^Ҍ.4=gs'gW}WgW	3@ge
?g*@gk1 :g.9@g,&6@gZ	ݥgX?g|?5^ gݓZ?gJ+gvp꡿g:;%
@g482@gRC@g=yXh%@gOCͩ?gߤiP4?s	   F(2, 199)g0r.V@gC3:t   llfs   Log-likelihoodgyX5߇t   aics   Akaike criteriong@t   bics   Schwarz criteriong    @t   hqics   Hannan-Quinng/@g$zg.Ueߵ@g҇.?g<G仔?gN]@g](ɗ?g:T?g%}?i   t   Fg)=K@g+?gn@gL7A`?g"Ƥ?gq{?t   tgԚ(@g?i   t   maxFg7[ a*@g& aq?g|Sz@gjIG9?gʡE7@gh㈵>gy@@gTqs*>gAΡ?gJ?gT?g ~:p?g
ףp`@g   /AgVQ?gjt?s=   date   residual        leverage       influence        DFFITSs*   results/leverage_influence_ols_nostars.txtt   skip_headert   skip_footert
   convertersc         S   s   |  S(   N(    (   t   s(    (    sL   lib/python2.7/site-packages/statsmodels/regression/tests/test_glsar_gretl.pyt   <lambda>[  t    t   f1c         S   s   |  S(   N(    (   R.   (    (    sL   lib/python2.7/site-packages/statsmodels/regression/tests/test_glsar_gretl.pyR/   _  R0   t   nlagst   use_correctioni   t   residualt   DFFITSt   leveraget	   influence(   s   Mean dependent vargj@(   s   S.D. dependent varg"2@(   s   Sum squared residg @(   s   S.E. of regressiong1U%@(   s	   R-squaredgGé?(   s   Adjusted R-squaredgF?(   s	   F(2, 198)gQk@(   s
   P-value(F)g"Ou5(   R   ge9	/l(   s   Durbin-Watsong2m?(   i   i   (   i   i   (   s   Mean dependent varg:;%
@(   s   S.D. dependent varg482@(   s   Sum squared residgRC@(   s   S.E. of regressiong=yXh%@(   s	   R-squaredgOCͩ?(   s   Adjusted R-squaredgߤiP4?(   s	   F(2, 199)g0r.V@(   s
   P-value(F)gC3:(   s   Log-likelihoodgyX5߇(   s   Akaike criteriong@(   s   Schwarz criteriong    @(   s   Hannan-Quinng/@(   R   g$z(   s   Durbin-Watsong.Ueߵ@(   i   i   (   i   i   (=   R   t   load_pandast   datat   npt   difft   logt   valuesR   t   c_R   t   fitR   t   iterative_fitt   arrayt   dictR    t   paramst   bset   tvaluesR   t   sqrtt	   mse_residR
   R   R   t   smsdiat   het_archt   wresidt   modelR   t   oit   reset_ramseyR   t   splitt   ost   patht   abspatht   dirnamet   __file__t   joint
   genfromtxtt   isnant   dtypet   namest   swt   cov_hac_simplet   Falset   se_covR$   R   R   t	   linear_lmt   residt   exogt   het_breuschpagant	   het_whitet   variance_inflation_factort   OLSInfluencet   dffitst   hat_matrix_diagR7   (3   t   selft   dt   gs_l_realinvt   gs_l_realgdpt   endogdt   exogdt   endoggt   exoggt   res_olst   mod_g1t   res_g1t   mod_g2t   res_g2R   t   partablet   result_gretl_g1t	   reset_2_3t   reset_2t   reset_3t   arch_4t   vift
   cond_1normt   determinantt   reciprocal_condition_numbert	   normalityt   rest   sm_archt   ct   linear_logst   linear_squarest	   lm_acorr4t
   lm2_acorr4t   acorr_ljungbox4t   cusum_Harvey_Colliert	   break_qlrt
   break_chowRa   t   het_breusch_pagant   het_breusch_pagan_konkerRX   t   cur_dirt   fpatht   levt   cov_hact   bse_hact	   linear_sqt   hbpkt   hwt   kt   vif2t   infl(    (    sL   lib/python2.7/site-packages/statsmodels/regression/tests/test_glsar_gretl.pyt   test_all$   s"   ##4$	###'	###'	# '	1(   t   __name__t
   __module__R   (    (    (    sL   lib/python2.7/site-packages/statsmodels/regression/tests/test_glsar_gretl.pyR   "   s   c    	      C   sp  d d l  m }  |  j   j } d t j t j | d j   } d t j t j | d j   } t t j	 | | d d  j f d t
 } t | | d  } | j d	  } t | | d
  } | j d  } t t j | j | j d  d  t | j | j  t t j | j | j  d d  t t j | j | j d j    d  t t | j  d
  d  S(   Ni(   R   i  R   R   R   t   prependi   i   i   i
   gQ?gQ?(   t   statsmodels.datasetsR   R8   R9   R:   R;   R<   R=   R   R>   R[   R   R@   R   t   absRC   R   RD   t   fittedvaluest   meanR   t   lenR   (	   R   t   d2t   g_gdpt   g_invRm   t   mod1t   res1t   mod4t   res4(    (    sL   lib/python2.7/site-packages/statsmodels/regression/tests/test_glsar_gretl.pyt   test_GLSARlag  s    ##*$$#t   __main__(!   t   __doc__RO   t   numpyR:   t   numpy.testingR    R   R   R   t#   statsmodels.regression.linear_modelR   R   t   statsmodels.tools.toolsR   R   R   t%   statsmodels.stats.sandwich_covariancet   statst   sandwich_covarianceRY   t   statsmodels.stats.diagnostict
   diagnosticRH   t$   statsmodels.stats.outliers_influencet   outliers_influenceRL   R   t   objectR   R   R   R)   R   (    (    (    sL   lib/python2.7/site-packages/statsmodels/regression/tests/test_glsar_gretl.pyt   <module>	   s"   " {		