/usr/share/pyshared/pandas/stats/tests/test_fama_macbeth.py is in python-pandas 0.7.0-1.
This file is owned by root:root, with mode 0o644.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 | from pandas import DataFrame, Panel
from pandas.stats.api import fama_macbeth
from common import assert_almost_equal, BaseTest
import numpy as np
class TestFamaMacBeth(BaseTest):
def testFamaMacBethRolling(self):
# self.checkFamaMacBethExtended('rolling', self.panel_x, self.panel_y,
# nw_lags_beta=2)
# df = DataFrame(np.random.randn(50, 10))
x = dict((k, DataFrame(np.random.randn(50, 10))) for k in 'abcdefg')
x = Panel.from_dict(x)
y = (DataFrame(np.random.randn(50, 10)) +
DataFrame(0.01 * np.random.randn(50, 10)))
self.checkFamaMacBethExtended('rolling', x, y, nw_lags_beta=2)
self.checkFamaMacBethExtended('expanding', x, y, nw_lags_beta=2)
def checkFamaMacBethExtended(self, window_type, x, y, **kwds):
window = 25
result = fama_macbeth(y=y, x=x, window_type=window_type, window=window,
**kwds)
self._check_stuff_works(result)
index = result._index
time = len(index)
for i in xrange(time - window + 1):
if window_type == 'rolling':
start = index[i]
else:
start = index[0]
end = index[i + window - 1]
x2 = {}
for k, v in x.iteritems():
x2[k] = v.truncate(start, end)
y2 = y.truncate(start, end)
reference = fama_macbeth(y=y2, x=x2, **kwds)
assert_almost_equal(reference._stats, result._stats[:, i])
static = fama_macbeth(y=y2, x=x2, **kwds)
self._check_stuff_works(static)
def _check_stuff_works(self, result):
# does it work?
attrs = ['mean_beta', 'std_beta', 't_stat']
for attr in attrs:
getattr(result, attr)
# does it work?
result.summary
if __name__ == '__main__':
import nose
nose.runmodule(argv=[__file__,'-vvs','-x','--pdb', '--pdb-failure'],
exit=False)
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