ó
áp7]c           @` sS  d  Z  d d l m Z m Z m Z d d l Z d d l Z d d l Z d d l 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 m Z m Z m Z d d l m Z m Z e j j  e j j! e" ƒ ƒ Z# i d	 d
 6d	 g g d 6d	 g g d 6d	 g g d 6d	 g g d 6d d 6Z$ e% e& d „ Z' d „  Z( d „  Z) e j* j+ d „  ƒ Z, d „  Z- d „  Z. d „  Z/ d „  Z0 d „  Z1 d „  Z2 d „  Z3 e& d „ Z4 d „  Z5 d „  Z6 d „  Z7 d  d	 d! „ Z8 d" „  Z9 d# „  Z: d$ „  Z; d% „  Z< d& „  Z= d' „  Z> e j* j+ d( „  ƒ Z? d) „  Z@ d S(*   sM   
Tests for the generic MLEModel

Author: Chad Fulton
License: Simplified-BSD
i    (   t   divisiont   absolute_importt   print_functionN(   t   sarimaxt   varmaxt   kalman_filtert   kalman_smoother(   t   MLEModelt   MLEResultsWrapper(   t   nile(   t   assert_almost_equalt   assert_equalt   assert_allcloset   assert_raises(   t   results_sarimaxt   results_var_misci   t   k_statest   designt
   transitiont	   selectiont	   state_covt   approximate_diffuset   initializationc      
   C` sÝ   t  j d ƒ d } d | } | rk t j d d d d d ƒ} t j | d | ƒ} t j | d | ƒ} n  t j | d	 | d
 d d t d t ƒ} |  rÍ t	 j
 ƒ  $ t	 j d ƒ | j d d ƒ } Wd  QXn d  } | | f S(   Nid   g      ð?i   s
   1960-01-01t   periodst   freqt   MSt   indext   exogt   orderi    t   time_varying_regressiont   mle_regressiont   ignoret   dispiÿÿÿÿ(   i    i    i    (   t   npt   aranget   pdt
   date_ranget   SeriesR   t   SARIMAXt   Truet   Falset   warningst   catch_warningst   simplefiltert   fitt   None(   R,   t   pandast   endogR   R   t   modt   res(    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   get_dummy_mod$   s    
c          C` sÜ  t  d t ƒ \ }  } t |  d d t j d ƒ ƒ d |  d d d d  d  … f <t |  j d d d d  d  … f d ƒ t |  j d j d ƒ d g g |  d <t |  j d d ƒ t |  j d j d ƒ t |  j d ƒ d |  _ t |  j j d ƒ t |  j |  j j ƒ d	 |  _ t |  j j d	 ƒ t |  j	 d
 ƒ d |  _	 t |  j j	 d ƒ t t
 |  j t ƒ t ƒ |  j ƒ  |  j d ƒ t |  j j d ƒ t |  j j d ƒ |  j d g d g g ƒ t |  j j d ƒ t |  j j d g ƒ t |  j j d g g ƒ |  j ƒ  t |  j j d ƒ t |  j j t j ƒ t |  j j t j ƒ t |  j j t j ƒ t |  j j t j ƒ |  j j  ƒ  |  j j! } t | j t j ƒ t | j t j ƒ t | j t j ƒ |  j" d ƒ |  j# d ƒ |  j$ d ƒ |  j% d ƒ t |  j j d ƒ t |  j j d ƒ t |  j j d ƒ t |  j j d ƒ t | j t j ƒ t | j t j ƒ t | j t j ƒ |  j" d ƒ |  j j  ƒ  |  j j! } t | j d ƒ t | j d ƒ t | j d ƒ d  S(   NR,   R   i    g       @id   i   i   g      @g°rh‘í|¿?g    _ Bg   ¢”mBg     jø@R   g      @i(   t   knownt
   stationaryie   if   ig   (   R   i    i    (   i   i   id   (   R   i    i    (   i   i   (&   R2   R(   R   R!   R"   t   ssmt   shapet   loglikelihood_burnt	   tolerancet   initial_variancet
   isinstanceR   t   objectR'   t   initialize_defaultt   initialize_approximate_diffuset   initialization_typet   approximate_diffuse_variancet   initialize_knownt   constantt   stationary_covt   initialize_stationaryt   filter_methodR   t   FILTER_CONVENTIONALt   stability_methodt   STABILITY_FORCE_SYMMETRYt   conserve_memoryt   MEMORY_STORE_ALLt   smoother_outputR   t   SMOOTHER_ALLt   _initialize_filtert   _kalman_filtert   set_filter_methodt   set_stability_methodt   set_conserve_memoryt   set_smoother_output(   R0   t   _t   kf(    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_wrapping=   sp    &			

	
c          C` s#  t  j }  t j |  d ƒ d } t j | d d d d ƒ} t j ƒ  Z t j d ƒ | j	 d d	 d
 d d d d t
 ƒ } | j	 d d	 d
 d d d d t
 ƒ } Wd  QXt | j | j d d ƒt d t
 ƒ \ } } t j ƒ  * t j d ƒ | j	 d
 d d t ƒ } Wd  QXt | d d g d ƒ d  S(   Nt   datai   R   i    t   trendt   cR   t   methodt   ncgR    t   optim_hessiant   opgt   optim_complex_stept   oimt   rtolg{®Gáz„?R,   iÿÿÿÿt   return_paramsi   (   i   i    i   (   R   t   wpi1_stationaryR!   t   diffR   R&   R)   R*   R+   R,   R(   R   t   llfR2   R'   R
   (   t   trueR/   R0   t   res1t   res2RR   t
   res_params(    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_fit_misc¨   s    		c          C` s#   t  ƒ  \ }  } |  j | j ƒ d  S(   N(   R2   t   scoret   params(   R0   R1   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_score_miscÂ   s    c           C` s   t  t d „  ƒ d  S(   Nc           S` s   t  j d d d ƒ S(   Ni   i   i   (   R   t   from_formula(    (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   <lambda>Ë   t    (   R   t   NotImplementedError(    (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_from_formulaÊ   s    c       
   C` sØ  t  j d d g d d ƒ}  d „  } d „  } t j d } t j | | d | d ƒ | | d | d ƒ f } |  j | d	 t d
 t ƒ} t | | ƒ |  j | d	 t d
 t ƒ} t | | d d ƒ|  j | d	 t d
 t d t ƒ} t | | d d ƒ|  j | d	 t d d d
 t ƒ} t | | ƒ |  j | d	 t d d d
 t ƒ}	 t |	 | d d ƒ|  j | d	 t d d d
 t d t ƒ}
 t |
 | d d ƒd „  } d „  } |  j | ƒ } t j	 t j
 t j | | d ƒ | | d ƒ f ƒ t j | | d | d ƒ | | d | d ƒ f ƒ } |  j | d	 t d
 t ƒ} t | | ƒ |  j | d	 t d
 t ƒ} t | | d d ƒ|  j | d	 t d
 t d t ƒ} t | | d d ƒ|  j | d	 t d d d
 t ƒ} t | | ƒ |  j | d	 t d d d
 t ƒ}	 t |	 | d d ƒ|  j | d	 t d d d
 t d t ƒ}
 t |
 | d d ƒt j d } d „  } | | d | d ƒ } t j ƒ  R t j d ƒ t |  j | ƒ d | d d ƒt |  j | ƒ d | d d ƒWd  QXd  S(   Ni   g      à?R   i    c         S` s,   d |  d d |  | d | d |  d S(   Ng      à¿i   i   (    (   t   phit   sigma2(    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   partial_phiÔ   s    c         S` s   d d | |  d | d S(   Ng      à¿i   g      ô?(    (   Rp   Rq   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   partial_sigma2×   s    g        i   t   transformedt   approx_complex_stept   atolgñhãˆµøä>t   approx_centeredRX   t   harveyc         S` s   d d |  d d S(   Ng      ð¿i   i   g      @g      ø?(    (   Rp   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   partial_transform_phi   s    c         S` s   d |  S(   Ng       @(    (   Rq   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   partial_transform_sigma2  s    g      ð?c         S` sn   t  j d ƒ } |  d d |  d d d | d <d d | d | d	 <| d
 <| |  d | d | d <| S(   Ni   i   i    iÿÿÿÿg      ô?i   (   i   i   (   i    i    (   i   i    (   i    i   (   i   i   (   R!   t   zeros(   Rp   Rq   t   hessian(    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyR|   )  s
    #R   gš™™™™™¹?(   i   i    i    (   g        i   (   g      à?g      ð?(   R   R&   R!   t   r_Rh   R'   R   R(   t   untransform_paramst   dott   diagR)   R*   R+   t   _hessian_complex_stept   _hessian_finite_difference(   R0   Rr   Rs   Ri   t   analytic_scoret	   approx_cst	   approx_fdt   approx_fd_centeredt	   harvey_cst	   harvey_fdt   harvey_fd_centeredRy   Rz   t   uparamsR|   t   analytic_hessian(    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_score_analytic_ar1Î   sv    						
								c          C` s#  t  ƒ  \ }  } t j ƒ  t j d ƒ |  j | j d d d d ƒ} t | j d d ƒ |  j | j d d d d ƒ} t | j d ƒ t | j d d	 ƒ |  j | j d d d d
 ƒ} t | j d
 ƒ t | j d d ƒ |  j | j d d d d ƒ} t | j d ƒ t | j d d ƒ |  j | j d d d d ƒ} t | j d ƒ t | j d d ƒ |  j | j d d d d ƒ} t | j d ƒ t | j d d ƒ |  j | j d d d d ƒ} t | j d ƒ t | j d d ƒ t	 j
 t ƒ ! |  j | j d d d d ƒWd  QXWd  QXd  S(   NR   R    iÿÿÿÿt   cov_typet   nonet   descriptions!   Covariance matrix not calculated.t   approxsL   Covariance matrix calculated using numerical (complex-step) differentiation.R]   sm   Covariance matrix calculated using the observed information matrix (complex-step) described in Harvey (1989).R[   sQ   Covariance matrix calculated using the outer product of gradients (complex-step).t   robustsµ   Quasi-maximum likelihood covariance matrix used for robustness to some misspecifications; calculated using the observed information matrix (complex-step) described in Harvey (1989).t
   robust_oimt   robust_approxs”   Quasi-maximum likelihood covariance matrix used for robustness to some misspecifications; calculated using numerical (complex-step) differentiation.t   invalid_cov_type(   R2   R)   R*   R+   R,   Ri   R   t   cov_kwdsR   t   pytestt   raisesRn   (   R0   R1   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_cov_params:  sN    






c          C` sd  t  d d g t  }  t |  j d d g ƒ d d g ƒ t |  j d d g ƒ d d g ƒ |  j g  d t ƒ|  j g  d t ƒ|  j g  d t ƒ|  j	 g  d t ƒt
 d t ƒ \ }  } t |  j d d g ƒ d d g ƒ t |  j d d g ƒ d d g ƒ |  j d d g d t ƒ} t | j d d g ƒ |  j d d g d t ƒ} t | j d d g ƒ d  S(   Ni   i   i   Rt   R,   i   i	   (   R   t   kwargsR   t   transform_paramsR~   t   filterR(   t   updatet   logliket
   loglikeobsR2   R'   Ri   (   R0   RR   R1   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_transformv  s    """"c          C` sÆ   t  j d d g ƒ }  t |  t  } | j g  d t ƒ} t t | t j	 ƒ t ƒ | j g  ƒ } t t | t
 ƒ t ƒ t | j d ƒ | j g  d d ƒ} t t | t
 ƒ t ƒ t | j d ƒ d  S(   Ng      ð?g       @t
   return_ssmR[   R   R]   (   R!   t   arrayR   R™   R›   R'   R   R:   R   t   FilterResultsR   R   (   R/   R0   R1   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_filter•  s    c           ` s}   t  d d g t  ‰  t t ‡  f d †  ƒ t ˆ  j g  ƒ d g ˆ  _ d g ˆ  _ t ˆ  j d g ƒ t ˆ  j d g ƒ d  S(   Ni   i   c           ` s   ˆ  j  S(   N(   t   start_params(    (   R0   (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyRl   ¬  Rm   t   a(	   R   R™   R   Rn   R   t   param_namest   _start_paramst   _param_namesR¤   (    (    (   R0   sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_params¨  s    c         C` sn   t  d |  ƒ \ } } t | j d | j d j ƒ  ƒ t | j d t j | j d ƒ ƒ t	 | j
 d ƒ d  S(   NR.   i   i   (   R2   R
   t   fittedvaluesR/   t   squeezet   residR!   R{   t   nobsR   R7   (   R.   R0   R1   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   check_results¸  s    !$c         C` s   t  d t ƒ t  d t ƒ d  S(   NR.   (   R®   R(   R'   (   R.   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_resultsÅ  s    c          C` sì   t  j d d d d d d ƒ }  t  j d d g d	 |  ƒ} t | t  } | j g  ƒ } | j ƒ  } t | j | j	 f ƒ t
 | j ƒ  j | ƒ t
 | j d
 d ƒ | j ƒ  ƒ t d d g t  } | j g  ƒ } t t | j d
 d ƒd  S(   Nt   starts
   1980-01-01t   ends
   1981-01-01R   t   ASi   i   R   t   dynamict   string(   R#   R$   R%   R   R™   R›   t   predictR   R6   R­   R   t   get_predictiont   predicted_meanR   t   KeyError(   t   datesR/   R0   R1   Rµ   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_predictÊ  s    c          C` s3  t  d d g t  }  |  j g  ƒ } | j d d ƒ } t | t j d ƒ d ƒ t | j d d ƒ j | ƒ t	 j
 d d d d d ƒ} t  t	 j d d g d	 | ƒt  }  |  j g  ƒ } t | j d d ƒ t j d ƒ d ƒ t | j d d
 ƒ t j d ƒ d ƒ t | j d d ƒ j t j d ƒ d ƒ d  S(   Ni   i   t   stepsi
   s
   1960-01-01R   R   R   R   s
   1960-12-01(   i
   (   i
   (   i
   (   i
   (   R   R™   R›   t   forecastR   R!   t   onest   get_forecastR·   R#   R$   R%   (   R0   R1   R¼   R   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_forecastâ  s    $&&c          C` s9  t  j d d d d d d ƒ }  t  j d d d	 d
 d g d |  ƒ} t | t  } | j g  ƒ } t | j ƒ  ƒ } t t	 j
 d | ƒ d  k	 t ƒ t t	 j
 d | ƒ d  k	 t ƒ t t	 j
 d | ƒ d  k	 t ƒ t j ƒ  X t j d ƒ t j | j j (| j ƒ  d | j _ | j ƒ  d | j _ | j ƒ  Wd  QXd  S(   NR°   s
   1980-01-01R±   s
   1984-01-01R   R²   i   i   i   i   i   R   s   Sample:\s+01-01-1980s   \s+- 01-01-1984s   Model:\s+MLEModelR   R¥   (   R#   R$   R%   R   R™   R›   t   strt   summaryR   t   ret   searchR-   R'   R)   R*   R+   R!   t   nant   filter_resultst   _standardized_forecasts_error(   R¹   R/   R0   R1   t   txt(    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_summaryô  s     $

i   c         K` sÁ   t  |  |  } t | j j d ƒ t | j j d t ƒ t | j j | | f ƒ t | j j j d ƒ t | j j j d t ƒ t | j j j | | f ƒ t | j j j | j k t ƒ | S(   Ni   t   C_CONTIGUOUSt   F_CONTIGUOUS(	   R   R   R/   t   ndimt   flagsR'   R6   R5   t   base(   R/   R­   t   k_endogR™   R0   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   check_endog  s    c          C` sš  t  t t d d d d ƒt  t t d d d d ƒt  t t d t d d ƒt d g t  }  |  j g  ƒ } t | j j d g g ƒ t d g t  }  |  j g  ƒ } t | j j d g g ƒ t t g t  }  |  j g  ƒ } t | j j d g g ƒ t d g t  }  t  t |  j g  ƒ d d g } t	 | t  }  |  j g  ƒ d g d g g } t	 | t  }  |  j g  ƒ d } t	 | t  }  |  j g  ƒ d  S(   NR/   i   R   R¥   g      ð?g       @(   g      ð?g       @(
   R   t
   ValueErrorR   R'   R™   R›   R   RÅ   R/   RÏ   (   R0   R1   R/   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_basic_endog#  s.    c          C` sö  t  j d d g ƒ }  t |  t  } t | j j | j j k	 t	 ƒ t | j j |  k	 t	 ƒ t | j j j |  k	 t	 ƒ d |  d <t | j t  j
 d j d d ƒ ƒ t | j j |  ƒ t  j d ƒ }  t t t |  t  t  j d d g ƒ }  t |  j d ƒ t |  j d t	 ƒ t |  j d t	 ƒ t |  j d ƒ t |  t  } | j g  ƒ t  j d d g ƒ j d d ƒ }  t |  j d ƒ t |  j d t	 ƒ t |  j d ƒ t |  t  } | j g  ƒ t  j d d g ƒ j d d ƒ }  t |  j d ƒ t |  j d t	 ƒ t |  j d ƒ t t t |  t  t  j d d g ƒ j d d ƒ j ƒ  }  t |  j d ƒ t |  j d t	 ƒ t |  j d ƒ t |  t  } | j g  ƒ t  j d d g ƒ j d d ƒ j ƒ  }  t |  j d ƒ t |  j d t	 ƒ t |  j d ƒ t t t |  t  t  j d d g ƒ j d d d ƒ }  t t t |  t  i d d 6d g d	 g g d
 6d d g d d g g d 6d g g d 6d g g d 6d g g d 6d d 6} t  j d d g d d g g ƒ }  t |  d d | } | j g  ƒ d  S(   Ng      ð?g       @i   i    i   RÉ   RÊ   R   g        R   t   obs_covR   R   R   R   R   g      @g      @RÎ   (   i   i   (   i   (   i   i   (   i   i   (   i   i   (   i   i   (   R!   R¡   R   R™   R   R/   RÍ   RU   t
   orig_endogR'   R}   t   reshapeR   t	   TypeErrorRÏ   RË   RÌ   R6   R›   RÐ   t	   transpose(   R/   R0   t   kwargs2(    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_numpy_endogK  s`    
#!!''$3'
!c          C` sã  t  j d d g ƒ }  t j d ƒ t  j d d d d d d	 ƒ } t  j d d g d
 | ƒ}  t |  t  } | j g  ƒ t  j d d g d
 | ƒ}  t t	 t |  t  t  j d d g d
 | ƒ}  t |  t  } | j g  ƒ t  j
 i d d g d 6d
 | ƒ}  t |  t  } | j g  ƒ t  j
 i d d g d 6d d g d 6d
 | ƒ}  t t	 t |  t  t  j
 i d d g d 6d
 | ƒ}  t |  t  } t | j j | j j k	 t ƒ t | j j |  k	 t ƒ t | j j j j |  k	 t ƒ d |  j d <t | j t j d j d d ƒ ƒ t | j j |  ƒ i d d 6d g d g g d 6d d g d d g g d 6d g g d 6d g g d 6d g g d 6d d 6} t  j
 i d d g d 6d d g d 6d
 | ƒ}  t |  d d | } | j g  ƒ d  S(   Ng      ð?g       @t   alwaysR°   s
   1980-01-01R±   s
   1981-01-01R   R²   R   R¥   t   bg      @g      @i   i    i   R   g        R   RÒ   R   R   R   R   R   RÎ   (   i    i    (   i   i   (   R#   R%   R)   R+   R$   RÏ   R™   R›   R   RÐ   t	   DataFrameR   R/   RÍ   RU   RÓ   R'   t   valuest   ilocR!   R}   RÔ   R   (   R/   R¹   R0   R×   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_pandas_endog¨  s>    "/"#3'
/c       
   C` sŽ  t  ƒ  \ }  } | j j j } t j j d | ƒ | j _ | j d d  ƒ } | j d d ƒ } t	 | | ƒ t
 t | j d d ƒ| j d d  ƒ } | j d d ƒ } t	 | | ƒ t j t ƒ  | j d d  d d ƒ Wd  QXt j t ƒ  | j d d ƒ Wd  QX| j d d  ƒ } | j d d ƒ } t	 | | ƒ t j t ƒ  | j d d ƒ Wd  QX| j d d  d d d	 t ƒ } | j d d
 ƒ } d  S(   Nt   sizeRX   t
   jarqueberat   invalidt   breakvart   alternativet   ljungboxt   dt   use_ft	   boxpierce(   R2   RÅ   RÆ   R6   R!   t   randomt   normalt   test_normalityR-   R   R   Rn   t   test_heteroskedasticityR–   R—   RÐ   t   test_serial_correlationR(   (   R0   R1   R6   t   actualt   desired(    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_diagnosticså  s,    	c       
   C` s:  t  j j ƒ  j }  t j d d d d ƒ|  _ t |  d d d d d	 d
 d d d ƒ} d | j d# <t j	 d ƒ | j d$ <d | j d% <d | j d& <t j	 d ƒ | j d' <| j
 g  ƒ } | j d d d d ƒ d d  d  … d f } t | d d g d d ƒ| j d d ƒ d d  d … f } t | d  d! g d d" ƒd  S((   Ns
   1871-01-01s
   1970-01-01R   R²   t   volumeR   i   R   R   R9   g  4&õkCR7   R   i    g¥N@a3#@RÒ   R   R   g…Îkìe@R   RX   Rä   t   lagsi
   iÿÿÿÿg–C‹lç;*@g-²ï§ÆË?Rv   gü©ñÒMbP?Rà   i   gÐðfÞW¥?gª»²Wï?gñhãˆµøä>(   R   i    i    (   RÒ   i    i    (   R   i    i    (   R   i    i    (   R   i    i    (   R	   RU   t   load_pandasR#   R$   R   R   R5   R!   t   expR›   Rì   R   Rê   (   t   niledataR0   R1   Rí   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_diagnostics_nile_eviews  s     	+"c       
   C` sT  t  j j ƒ  j }  t j d d d d ƒ|  _ t |  d d d d d	 d
 d d d ƒ} d | j d% <d | j d& <d | j d' <d | j d( <d | j d) <| j g  ƒ } | j	 d d d d ƒ d* } t
 | d g d d ƒ| j d d ƒ d } | d | d | d g } t
 | d  d! d" g d d ƒ| j d d# ƒ d+ } t
 | d$ g d d ƒd  S(,   Ns
   1871-01-01s
   1970-01-01R   R²   Rð   R   i   R   R   R9   g  4&õkCR7   R   i    g    €}Í@RÒ   R   R   gfffffô–@R   RX   Rä   Rñ   i	   iÿÿÿÿg®Gáz®!@Rv   g{®Gáz„?Rà   i   i   gš™™™™™©?g¸…ëQ¸ž¿g¸…ëQ¸@Râ   g…ëQ¸…ã?(   R   i    i    (   RÒ   i    i    (   R   i    i    (   R   i    i    (   R   i    i    (   i    i    iÿÿÿÿ(   i    i    (   R	   RU   Rò   R#   R$   R   R   R5   R›   Rì   R   Rê   Rë   (   Rô   R0   R1   Rí   t   norm(    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt#   test_diagnostics_nile_durbinkoopman*  s&    	c          C` s)   t  ƒ  \ }  } | j ƒ  } | j ƒ  d  S(   N(   R2   R¶   t   summary_frame(   R0   R1   Rµ   (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   test_prediction_resultsN  s    c       
   C` s,  t  j t j d d d d g d t  j d d d d	 ƒƒ}  t j |  d ƒ j ƒ  |  d
 <t j |  d ƒ j ƒ  |  d <t j |  d ƒ j ƒ  |  d <|  j d d … d
 d d g f } t j	 } t
 j | d
 d d# d d d d ƒ} | j | d ƒ } t | j | d ƒ | j d d d ƒd$ | j } | j d d d ƒd t j | j ƒ | j } | j d d d ƒd% t j t j | j ƒ ƒ | j } t | | d ƒ t | | d ƒ t | | d ƒ t j } | j d } | j t j | j ƒ } t | | d ƒ t | | d ƒ | j d ƒ d } | j d ƒ t j | j ƒ } t | | d ƒ t | | d ƒ t j } t j | d d& d d d  d! d d ƒ} | j | d ƒ } t | j | d ƒ | j d d d ƒd' | j } | j d d d ƒd" t j | j ƒ | j } | j d d d ƒd( t j t j | j ƒ ƒ | j } t | | d ƒ t | | d ƒ t | | d ƒ t j } | j d) } | j d" t j | j ƒ } t | | d ƒ t | | d ƒ | j d ƒ d* } | j d ƒ d" t j | j ƒ } t | | d ƒ t | | d ƒ d  S(+   Nt   columnst   invt   inct   consumpR   s
   1960-01-01s
   1982-10-01R   t   QSt   dln_invt   dln_inct   dln_consumps
   1960-04-01s
   1978-10-01R   i   i    RV   RW   R7   Ri   R   t   aicRX   t	   lutkepohli   t   bict   hqict	   estat_aict	   estat_bict   nt   error_cov_typet   unstructuredi   (   i   i    i    i   i   (   i   i    i   i   i   i   (   R#   RÛ   R   t   lutkepohl_dataR$   R!   t   logRa   t   loct   lutkepohl_ar1_lustatsR   R&   R›   R   Rb   t   info_criteriat   nobs_effectivet   lutkepohl_ar1R  R  t   lutkepohl_var1_lustatsR   t   VARMAXt   lutkepohl_var1(   t   dtaR/   Rc   R0   R1   R  R  R  (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt#   test_lutkepohl_information_criteriaX  sl    		'		'	#(A   t   __doc__t
   __future__R    R   R   t   osRÂ   R)   t   numpyR!   R.   R#   R–   t   statsmodels.tsa.statespaceR   R   R   R   t#   statsmodels.tsa.statespace.mlemodelR   R   t   statsmodels.datasetsR	   t   numpy.testingR
   R   R   R   t(   statsmodels.tsa.statespace.tests.resultsR   R   t   patht   dirnamet   abspatht   __file__t   current_pathR™   R'   R(   R2   RT   Rg   t   markt   smokeRj   Ro   RŒ   R˜   RŸ   R£   R©   R®   R¯   Rº   R¿   RÈ   RÏ   RÑ   RØ   RÞ   Rï   Rõ   R÷   Rù   R  (    (    (    sM   lib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_mlemodel.pyt   <module>   sR   ""!
	k			l	<								(	]	=	&		$
