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2.2 KiB
Vendored
2.2 KiB
Vendored
usage: unitroot [-r {c,ct,ctt,nc}] [-k {c,ct}] [--export {csv,json,xlsx}] [-h]
Unit root test / stationarity (ADF, KPSS)
In statistics, a unit root test tests whether a time series variable is non-stationary and possesses a unit root. The null hypothesis is generally defined as the presence of a unit root and the alternative hypothesis is either stationarity, trend stationarity or explosive root depending on the test used.
See the Wiki page on this subject for more information: https://en.wikipedia.org/wiki/Unit_root_test
optional arguments:
-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' (default: c)
--export {csv,json,xlsx}
Export dataframe data to csv,json,xlsx file (default: )
-h, --help show this help message (default: False)
Example:
2022 Feb 16, 11:16 (🦋) /stocks/qa/ $ unitroot
Unit Root Calculation
┏━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━┳━━━━━━━━┓
┃ ┃ ADF ┃ KPSS ┃
┡━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━╇━━━━━━━━┩
│ Test Statistic │ -28.9536 │ 0.2928 │
├────────────────┼────────────┼────────┤
│ P-Value │ 0.0000 │ 0.1000 │
├────────────────┼────────────┼────────┤
│ NLags │ 0.0000 │ 3 │
├────────────────┼────────────┼────────┤
│ Nobs │ 759.0000 │ │
├────────────────┼────────────┼────────┤
│ ICBest │ -3339.2013 │ │
└────────────────┴────────────┴────────┘