
p7]c           @   sj   d  Z  d d l Z d d l m Z d d l m Z d d l m Z d d l	 j
 j Z d   Z d   Z d S(   s   Tests for sandwich robust covariance estimation

see also in regression for cov_hac compared to Gretl and
sandbox.panel test_random_panel for comparing cov_cluster, cov_hac_panel and
cov_white

Created on Sat Dec 17 08:39:16 2011

Author: Josef Perktold
iN(   t   assert_almost_equal(   t   OLS(   t   add_constantc          C   s  d d  l  }  |  j j |  j j t   } |  j j | d  } t j |  } | d  d   d f } | d  d   d f j t	  } | d  d   d f j t	  } t
 | d  d   d f  } t | |  j   } t j | | d | \ }	 }
 } d d g } d d	 g } d
 d g } d d g } t j |
  } t j |  } t j |	  } t | | j d d t | | d d t | | d d t | | d d d  S(   Nis   test_data.txti    i   i   t   group2gZӼ?gx&?gcZB>?ggj+?go_?g7d?gS!uq?t   decimali   (   t   ost   patht   abspatht   dirnamet   __file__t   joint   npt
   genfromtxtt   astypet   intR   R   t   fitt   swt   cov_cluster_2groupst   se_covR    t   HC0_se(   R   t   cur_dirt   fpatht   pett   endogt   groupt   timet   exogt   rest   cov01t   covgt   covtt   bse_petwt   bse_pet0t   bse_pet1t	   bse_pet01t   bse_0t   bse_1t   bse_01(    (    sD   lib/python2.7/site-packages/statsmodels/stats/tests/test_sandwich.pyt   test_cov_cluster_2groups   s*    !c          C   s  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  } t
 | |  j   } d d d	 g d
 d d g d d d g g } d d d g d d d g d d d g g } t j | d d d t } t j |  }	 t j | d d d t }
 t j |
  } t | | d d t |
 | d d t j | d t } t j | d d d t } t | | d d d  S(   Ni(   t	   macrodatai  t   realgdpt   realinvt   realintgX-ƀ?gƲZԿgpv>	gŲZԿg<BQ?gN;9?gvv>	ghO;9?g'g?gRp7+?gcCԿgIqgN?gx9?gIqglx9?gK?t   nlagsi   t   use_correctionR   i   (   t   statsmodels.datasetsR'   t   load_pandast   dataR   t   difft   logt   valuesR   t   c_R   R   R   t   cov_hac_simplet   TrueR   t   FalseR    (   R'   t   d2t   g_gdpt   g_invt   exoggt   res_olsgt   cov1_rt   cov2_rt   cov1t   se1t   cov2t   se2t   cov3t   cov4(    (    sD   lib/python2.7/site-packages/statsmodels/stats/tests/test_sandwich.pyt   test_hac_simple7   s*    ##$(   t   __doc__t   numpyR   t   numpy.testingR    t#   statsmodels.regression.linear_modelR   t   statsmodels.tools.toolsR   t%   statsmodels.stats.sandwich_covariancet   statst   sandwich_covarianceR   R&   RD   (    (    (    sD   lib/python2.7/site-packages/statsmodels/stats/tests/test_sandwich.pyt   <module>   s   	#