ó įp7]c@`sddZddlmZmZmZddlZddlZddlZddlZ ddl m Z m Z ddl ZddlZddlmZddlmZddlmZejjejjeƒƒZejjd d ƒZejejjeeƒƒZejjd d ƒZejejjeeƒƒZ d e!fd „ƒYZ"de"fd„ƒYZ#de#fd„ƒYZ$de#fd„ƒYZ%de#fd„ƒYZ&de#fd„ƒYZ'de#fd„ƒYZ(de#fd„ƒYZ)de#fd„ƒYZ*de"fd„ƒYZ+d e+fd!„ƒYZ,d"e+fd#„ƒYZ-d$„Z.d%„Z/d&„Z0d'„Z1dS((sF Tests for VARMAX models Author: Chad Fulton License: Simplified-BSD i(tdivisiontabsolute_importtprint_functionN(t assert_equaltassert_allclose(tvarmax(tforgi(tresults_varmaxtresultssresults_var_stata.csvsresults_varmax_stata.csvt CheckVARMAXcB`s}eZdZd„Zejjd„ƒZejjd„ƒZd„Z d„Z d„Z dd„Z dd „Z d „ZRS( s³ Test Vector Autoregression against Stata's `dfactor` code (Stata's `var` function uses OLS and not state space / MLE, so we can't get equivalent log-likelihoods) c C`søtjdtƒ tjdƒ|jjdddtƒ}t|j_t|j_|jj|j dddddtƒ}t|j_t|j_t |j |j j d d ƒWdQXdS( Ntrecordtalwaystmaxiteridtdisptmethodtnmičtrtolgńh戵ųä>( twarningstcatch_warningstTruet simplefiltertmodeltfittFalsetenforce_stationaritytenforce_invertibilitytparamsRtllfR(tselfR((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyttest_mle&s      cC`s»|j}|j|jƒt|jƒt|jƒks=t‚|j|j|jƒƒ}t||jƒt |_ t |_ |j|j|jƒƒ}t |_ t |_ t||jƒdS(N( Rtfiltert start_paramstlent param_namestAssertionErrorttransform_paramstuntransform_paramsRRRRR(RRtactual((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyt test_params5s $    cC`s¬|jjƒ|j}|jdkrĢtj|jj|jƒ}|j|j |j |jƒ}tjgt |jƒD]7}|d|j …||j |d|j …f^qvƒ}t |jj |ƒnt |jj dƒ|jdkr•tj|jj|jƒ}|j|j |j |jƒ}tjgt |jƒD]7}|d|j …||j |d|j …f^q?ƒ}t |jj|ƒnt |jjdƒdS(Nii(RtsummaryRtk_artnptarrayRt _params_artreshapetk_endogtrangeRtcoefficient_matrices_vartNonetk_mat _params_matcoefficient_matrices_vma(RRt params_art coefficientstitcoefficient_matricest params_ma((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyt test_resultsNs,   M   M  cC`s$t|jj|jdddƒdS(NtloglikeRgķµ ÷Ę°>(RRRttrue(R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyt test_loglikerscC`s$t|jj|jdddƒdS(Ntaictatoli(RRR=R;(R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyttest_aicuscC`s$t|jj|jdddƒdS(NtbicR>i(RRR@R;(R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyttest_bicysgķµ ÷Ę°>cK`s0t|jjd|||jdd|ƒdS(NtendtpredictR>(RRRCR;(RRBR>tkwargs((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyt test_predict}s cK`s6t|jjd|d|||jdd|ƒdS(NRBtdynamictdynamic_predictR>(RRRCR;(RRBRFR>RD((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyttest_dynamic_predict„s cC`s5|jj}d|j_|jj}t||ƒdS(N(Rtstandardized_forecasts_errorR0t_standardized_forecasts_errorR(Rt cython_sfet python_sfe((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyt!test_standardized_forecasts_error‹s   (t__name__t __module__t__doc__RtpytesttmarktsmokeR&R9R<R?RARERHRM(((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR s $     tCheckLutkepohlcB`s8eZeddddgd„ƒZd„Zd„ZRS(tapproxtdln_invtdln_inct dln_consumpc K`sü||_tjtjddddgdtjdddd ƒƒ}tj|dƒjƒ|d g-Cėā6?(Rt_cov_params_approxtdiagonalRR;(Rtbse((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyttest_bse_approxæscC`s;|jjƒjƒd}t|d|jdddƒdS(Ngą?iRR>g{®Gįz„?(Rt_cov_params_oimRƒRR;(RR„((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyt test_bse_oimĆsc C`s|jjƒ}g|jD]}t|ƒ^q}|jd}tjd|dƒsZt‚xńt|j j ƒD]Ż}||j j }||d}|j j |}tjd||ƒs½t‚t |j dƒƒdksŽt‚tjd||d|ƒst‚tjd ||d |ƒs&t‚tjd ||d|ƒsmt‚qmW|d }tjd |ƒspt‚t |j dƒƒdks‘t‚||j j}|j j|j j}xDtt |ƒƒD]0}tjd||||f|ƒsŹt‚qŹWdS(NRsModel:.*VAR\(1\)iisResults for equation %ss isL1.dln_inv +%.4fsL1.dln_inc +%.4fisL1.dln_consump +%.4fi’’’’sError covariance matrixi s%s +%.4f(RR'ttableststrR;tretsearchR"R.RR-t endog_namesR tsplitt_params_state_covR!( RR'ttableRˆRR6toffsettnametnames((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyt test_summaryĒs*" !$$ !(RNRORsRqR…R‡R“(((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRt±s  tTestVAR_diagonalcB`s2eZed„ƒZd„Zd„Zd„ZRS(cC`swtjjƒ}tjddddg|dgńh戵ųä>(RR‚RƒRR;(RR„((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR…śscC`s;|jjƒjƒd}t|d|jdddƒdS(Ngą?iRR>g{®Gįz„?(RR†RƒRR;(RR„((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR‡žsc C`s|jjƒ}g|jD]}t|ƒ^q}|jd}tjd|dƒsZt‚xńt|j j ƒD]Ż}||j j }||d}|j j |}tjd||ƒs½t‚t |j dƒƒdksŽt‚tjd||d|ƒst‚tjd ||d |ƒs&t‚tjd ||d|ƒsmt‚qmW|d }tjd |ƒspt‚t |j dƒƒdks‘t‚||j j}|j j|j j}xDtt |ƒƒD]0}tjd||||f|ƒsŹt‚qŹWdS(NRsModel:.*VAR\(1\)iisResults for equation %ss isL1.dln_inv +%.4fsL1.dln_inc +%.4fisL1.dln_consump +%.4fi’’’’sError covariance matrixs%s +%.4f(RR'RˆR‰R;RŠR‹R"R.RR-RŒR RRŽR!( RR'RRˆRR6RR‘R’((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR“s*" !$$ !(RNRORsRqR…R‡R“(((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR”ģs  tTestVAR_measurement_errorcB`s\eZdZed„ƒZd„Zd„Zd„Zd„Zd„Z d„Z d„Z RS( sŻ Notes ----- There does not appear to be a way to get Stata to estimate a VAR with measurement errors. Thus this test is mostly a smoke test that measurement errors are setup correctly: it uses the same params from TestVAR_diagonal and sets the measurement errors variance params to zero to check that the loglike and predict are the same. It also checks that the state-space representation with positive measurement errors is correct. c C`sĀtjjƒ}tjddddg|dg-Cėā6?(RR‚RƒRR;(RR„((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR…£scC`s;|jjƒjƒd}t|d|jdddƒdS(Ngą?iRR>g{®Gįz„?(RR†RƒRR;(RR„((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR‡§scC`sdS(N((R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR?«scC`sdS(N((R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRA°s(RNRORsRqR…R‡R?RA(((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR­•s    t TestVAR_exogcB`sheZed„ƒZd„Zd„Zd„Zd„Zd„Zd„Z d„Z d„Z d „Z RS( cC`s¼tjjƒ}tjdd!dddg|dgńh戵ųä>(RR‚RƒRR;(RR„((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR…ŌscC`s?|jjƒjƒd}t|d d|jdddƒdS(Ngą?iś’’’iRR>gńh戵ųä>(RR†RƒRR;(RR„((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR‡ŁscC`s#tt|ƒjddddƒdS(NRBs 1978-10-01R>gü©ńŅMbP?(RrRTRE(R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyREŽscC`sdS(N((R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRHįscC`sbtjdd ƒddd…tjf}|jjddd|ƒ}t||jdddƒdS( NiKiitstepsR¾R½R>gķµ ÷Ę°>i[(R)RĆR©RtforecastRR;(RR¾R«((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyt test_forecastås)c C`s8|jjƒ}g|jD]}t|ƒ^q}|jd}tjd|dƒsZt‚x't|j j ƒD]}||j j }||d}|j j |}tjd||ƒs½t‚t |j dƒƒdksŽt‚tjd||d|ƒst‚tjd ||d |ƒs&t‚tjd ||d|ƒsJt‚tjd t||j j|d dƒ|ƒsmt‚qmW|d}tjd|ƒs¦t‚t |j dƒƒdksĒt‚||j j}|j j|j j}xDtt |ƒƒD]0}tjd||||f|ƒst‚qWdS(NRsModel:.*VARX\(1\)iisResults for equation %ss i sL1.dln_inv +%.4fsL1.dln_inc +%.4fisL1.dln_consump +%.4fs beta.x1 +tprecii’’’’sError covariance matrixi s%s +%.4f(RR'RˆR‰R;RŠR‹R"R.RR-RŒR RRt_params_regressionRŽR!( RR'RRˆRR6RR‘R’((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR“÷s2" !$$ !( RNRORsRqRR?RAR…R‡RERHRĘR“(((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR¶¶s        t TestVAR_exog2cB`s_eZed„ƒZd„Zd„Zd„Zd„Zd„Zd„Z d„Z d„Z RS( cC`såtjjƒ}tjdd!dddg|dscC`sdS(N((R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR‡AscC`s#tt|ƒjddddƒdS(NRBs 1978-10-01R>gü©ńŅMbP?(RrRTRE(R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyREDscC`sdS(N((R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRHGscC`sxtjtjd ƒtjdd ƒddd…tjff}|jjddd|ƒ}t||jddd ƒdS( NiiiKiRÄR¾R½R>gķµ ÷Ę°>(iii[( R)RŃRŅRĆR©RRÅRR;(RR¾R«((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRĘKs-( RNRORsRqRR?RAR…R‡RERHRĘ(((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRÉ s       tTestVAR2cB`s2eZed„ƒZd„Zd„Zd„ZRS(c C`s}tjjƒ}tjdddg|dgńh戵ųä>(RR‚RƒRR;(RR„((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR…`scC`sC|jjƒjƒd}t|d d|jdd ddƒdS(Ngą?iż’’’iRR>g{®Gįz„?(RR†RƒRR;(RR„((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR‡esc C`s0|jjƒ}g|jD]}t|ƒ^q}|jd}tjd|dƒsZt‚xt|j j ƒD] }||j j |j j }||d}|j j |}tjd||ƒsĒt‚t |jdƒƒdksčt‚tjd||d|ƒs t‚tjd ||d |ƒs0t‚tjd ||d|ƒsTt‚tjd ||d |ƒsmt‚qmW|d}tjd|ƒsžt‚t |jdƒƒdksæt‚||j j}|j j|j j}xDtt |ƒƒD]0}tjd||||f|ƒsųt‚qųWdS(NRsModel:.*VAR\(2\)iisResults for equation %ss i sL1.dln_inv +%.4fsL1.dln_inc +%.4fisL2.dln_inv +%.4fsL2.dln_inc +%.4fii’’’’sError covariance matrixis%s +%.4f(RR'RˆR‰R;RŠR‹R"R.RR-R(RŒR RRŽR!( RR'RRˆRR6RR‘R’((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR“js*" !$$$( !(RNRORsRqR…R‡R“(((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRÓTs  tCheckFREDManufacturingcB`seZedd„ƒZRS(RUc K`s||_tjjtddƒ}t|dƒ}tj|ƒ} WdQXtj| j ddƒ| _ | dj ƒ| d<| dj ƒ| d <| j d d…dd gf} t jd tƒ9t jd ƒtj| d |d|d|||_WdQX|jj|dd|ƒ|_dS(NRs manufac.dtatrbR^tMSt lncaputilt dlncaputiltlnhourstdlnhourss 1972-02-01R R R`RaRbRRc(R;tostpathtjoint current_pathtopenRdt read_statat DatetimeIndextmonthR]RiRjRRRRRRkRRlR( RmR;R`RaRbRcRDRįt test_dataRoRp((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRqs  (RNRORsRq(((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRŁst TestVARMAcB`s‰eZdZed„ƒZd„Zejjdƒd„ƒZ ejjdƒd„ƒZ d„Z d„Z d„Z d „Zd „ZRS( sN Test against the sspace VARMA example with some params set to zeros. cC`sqtjjƒ}tjdddg|dg-Cėā6?(RrRéRE(R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyREŅscC`s#tt|ƒjddddƒdS(NRBs 2009-05-01RFs 2000-01-01(RrRéRH(R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRHÕsc C`sŠ|jjƒ}g|jD]}t|ƒ^q}|jd}tjd|dƒsZt‚xmt|j j ƒD]Y}||j j }|j j d|j j ||j j }||d}|j j |}tjd||ƒsåt‚t |jdƒƒdkst‚tjdt||dd d ƒ|ƒs6t‚tjd t||d d d ƒ|ƒsft‚tjd t||dd d ƒ|ƒs–t‚tjdt||d d d ƒ|ƒsmt‚qmW|d}tjd|ƒsģt‚t |jdƒƒdks t‚||j j}|j j|j j} xPtt | ƒƒD]<}tjd| |t||d d ƒf|ƒsFt‚qFWdS(NRsModel:.*VARMA\(1,1\)iisResults for equation %ss i sL1.dlncaputil +RĒis L1.dlnhours +isL1.e\(dlncaputil\) +sL1.e\(dlnhours\) +i’’’’sError covariance matrixis%s +%s(RR'RˆR‰R;RŠR‹R"R.RR-R(RŒR RRRŽR!( RR'RRˆRR6t offset_art offset_maR‘R’((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyR“Łs@" ! !'(RNRORPRsRqRRQRRtskipR…R‡R?RARERHR“(((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRé¦s     tTestVMA1cB`s€eZdZed„ƒZd„Zejjdƒd„ƒZ ejjdƒd„ƒZ d„Z d„Z d„Z d „ZRS( sN Test against the sspace VARMA example with some params set to zeros. cC`sqtjjƒ}tjdddg|dg-Cėā6?(RrRóRE(R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRE5scC`s#tt|ƒjddddƒdS(NRBs 2009-05-01RFs 2000-01-01(RrRóRH(R((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRH8s(RNRORPRsRqRRQRRRņR…R‡R?RARERH(((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyRó s    cC`s‡tjdƒjddƒ}tjdƒ}tj|dtjddddƒƒ}tj|d |d d ƒtj|d |d dƒdS(Nii iR]s 2000-01-01s 2009-01-01R^tASR¾R`ii(ii(ii(R)RĆR,RdtSeriesRgRRk(RpR¾texog2((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyttest_specifications=s  c C`sTit_tjdƒjddƒ}tjtƒtj|dd ddƒWdQXtjtƒtj|ddd dƒWdQXtjtƒtj|ddƒWdQXt j d t ƒ'}t j d ƒtj|ddƒWdQXt j d t ƒL}t j d ƒtj|ddƒd }t |djƒ|ks@t‚WdQXt jƒdS(Nii iR`iiRatRbR R scEstimation of VARMA(p,q) models is not generically robust, due especially to identification issues.(ii(ii(ii(ii(ii(Rt__warningregistry__R)RĆR,RQtraisest ValueErrorRkRRRRR‰tmessageR"t resetwarnings(RptwR((sKlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_varmax.pyttest_misspecificationsKs"   %c C`sd}d}tjjdƒtjjd||fƒ}tj|dd…dfs@      s;;n!j4;c4  # 6