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* Add Statistics Menu * Add Granger Causality test * Apply Black formatting * Add Cointegration Tests * Adjust plotting for Cointegration test * Add Significant parameter to Cointegration tests * Move regression functions to seperate .py files * Progress on Panel Data * A lot of progress for Panel Data * Make functions robust and improve documentation * Re-enable Breusch-Godfrey * Add modify functionality * Improve modify functionality * Add Breusch-Pagan heteroscedasticity test * Capitalize a word * Include documentatin for the Statistics Menu * Update _index.md * Update _index.md * Update _index.md * Fix export statements and add Example datasets * Update example with Longley's dataset * Update documentation with a legit source * Compare the results from each regression models based on the wage_panel dataset * Updated with all relevant types of regression tables * Update with all relevant regression types for Panel data * Update _index.md * Add change column type, improve OLS, add time and entity effects for FE * Update documentation and fix a small bug * Add in Statistics menu, replacing Custom menu * Remove custom menu * Add in documentation * Add in gst files * Cointegration can be used on any amount of columns * Add Tests * Make tests time invariant * Update Poetry and Requirements * Change name of Statistics menu to Econometrics menu * Rename scripts * Add type in Documentation * Change names from Statistics to Econometrics * Add graph * Update tests with rounding and naming * Make minor adjustments to fix the tests * Updating tests : allow extra args for capture * Apply recorder formatting * Adding some minor formatting * Fix error with MyPy * Attempt to fix MyPy annoyance * super small style things * Fix small bugs and add plot command to dwat * Small description mistake * Update documentation with missing argument * Update styling * Add error handling and add improve show functionality * Fix merge issue * Allow import from custom_imports Co-authored-by: Jeroen Bouma <jeroenbouma@MacBook-Pro-van-Jeroen.local> Co-authored-by: jmaslek <jmaslek11@gmail.com> Co-authored-by: Chavithra PARANA <chavithra@gmail.com>
3.4 KiB
Vendored
3.4 KiB
Vendored
usage: root [-c {OPTIONS}] [-r {c,ct,ctt,nc}] [-k {c,ct}] [-h] [--export {csv,json,xlsx}]
Show unit root tests of a column of a dataset.
In probability theory and statistics, a unit root is a feature of some stochastic processes (such as random walks) that can cause problems in statistical inference involving time series models. A linear stochastic process has a unit root if 1 is a root of the process's characteristic equation. Such a process is non-stationary but does not always have a trend. [Source: Wikipedia]
optional arguments:
-c {OPTIONS}, --column {OPTIONS}
The column and name of the database you want test unit root for (default: None)
-r {c,ct,ctt,nc}, --fuller_reg {c,ct,ctt,nc}
Type of regression. Can be ‘c’,’ct’,’ctt’,’nc’. c - Constant and t - trend order (default: c)
-k {c,ct}, --kps_reg {c,ct}
Type of regression. Can be ‘c’,’ct'. c - Constant and t - trend order (default: c)
-h, --help show this help message (default: False)
--export {csv,json,xlsx}
Export raw data into csv, json, xlsx (default: )
Example:
2022 Feb 24, 05:37 (✨) /econometrics/ $ root return-msft
Unitroot Test [Column: return | Dataset: msft]
┏━━━━━━━━━━━━━━━━┳━━━━━━━━━━┳━━━━━━┓
┃ ┃ ADF ┃ KPSS ┃
┡━━━━━━━━━━━━━━━━╇━━━━━━━━━━╇━━━━━━┩
│ Test Statistic │ -22.31 │ 0.09 │
├────────────────┼──────────┼──────┤
│ P-Value │ 0.00 │ 0.10 │
├────────────────┼──────────┼──────┤
│ NLags │ 1.00 │ 5 │
├────────────────┼──────────┼──────┤
│ Nobs │ 757.00 │ │
├────────────────┼──────────┼──────┤
│ ICBest │ -3902.73 │ │
└────────────────┴──────────┴──────┘
2022 Feb 24, 05:38 (✨) /econometrics/ $ root adj_close-aapl
Unitroot Test [Column: adj_close | Dataset: aapl]
┏━━━━━━━━━━━━━━━━┳━━━━━━━━━┳━━━━━━┓
┃ ┃ ADF ┃ KPSS ┃
┡━━━━━━━━━━━━━━━━╇━━━━━━━━━╇━━━━━━┩
│ Test Statistic │ -0.46 │ 4.20 │
├────────────────┼─────────┼──────┤
│ P-Value │ 0.90 │ 0.01 │
├────────────────┼─────────┼──────┤
│ NLags │ 1.00 │ 17 │
├────────────────┼─────────┼──────┤
│ Nobs │ 757.00 │ │
├────────────────┼─────────┼──────┤
│ ICBest │ 3214.33 │ │
└────────────────┴─────────┴──────┘