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ENH: Add new KPSS critical values
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Improve resolution of KPSS critical values
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@bashtage
Admin authored and bashtage committed Jul 7, 2017
1 parent 2898a87 commit 59816f2
Showing 1 changed file with 42 additions and 37 deletions.
79 changes: 42 additions & 37 deletions arch/unitroot/critical_values/kpss.py
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@@ -1,40 +1,45 @@
from numpy import asarray

kpss_critical_values = {}
kpss_critical_values['c'] = ((100.0, 0.0000), (99.5, 0.0219), (99.0, 0.0249),
(98.0, 0.0289), (97.0, 0.0319), (96.0, 0.0344),
(94.5, 0.0377), (93.0, 0.0407), (89.5, 0.0470),
(86.0, 0.0527), (74.0, 0.0720), (70.5, 0.0778),
(67.0, 0.0839), (64.0, 0.0894), (61.5, 0.0941),
(58.5, 0.1001), (56.0, 0.1053), (53.0, 0.1119),
(50.0, 0.1190), (47.0, 0.1266), (44.5, 0.1333),
(42.0, 0.1406), (39.5, 0.1484), (37.0, 0.1568),
(34.5, 0.1659), (32.0, 0.1758), (30.0, 0.1845),
(28.0, 0.1938), (26.0, 0.2041), (24.0, 0.2152),
(22.5, 0.2244), (21.0, 0.2343), (19.5, 0.2451),
(18.0, 0.2569), (16.5, 0.2699), (15.0, 0.2842),
(14.0, 0.2948), (12.0, 0.3187), (11.0, 0.3324),
(10.0, 0.3475), (8.5, 0.3737), (7.0, 0.4054),
(6.0, 0.4309), (5.0, 0.4614), (4.0, 0.4993),
(3.5, 0.5222), (2.5, 0.5806), (2.0, 0.6197),
(1.5, 0.6706), (1.0, 0.7430), (0.7, 0.8075),
(0.4, 0.9097), (0.2, 1.0375), (0.1, 1.1661))
kpss_critical_values['c'] = asarray(kpss_critical_values['c'])
kpss_critical_values['ct'] = ((100.0, 0.0000), (99.5, 0.0156), (99.0, 0.0173),
(98.5, 0.0185), (97.5, 0.0203), (96.0, 0.0224),
(94.5, 0.0240), (93.0, 0.0254), (91.0, 0.0272),
(89.0, 0.0287), (86.5, 0.0306), (81.5, 0.0340),
(68.5, 0.0424), (62.5, 0.0464), (59.5, 0.0485),
(56.5, 0.0507), (53.5, 0.0529), (51.0, 0.0548),
(48.0, 0.0573), (45.0, 0.0598), (42.5, 0.0621),
(40.0, 0.0645), (37.5, 0.0670), (35.0, 0.0697),
(33.0, 0.0720), (31.0, 0.0744), (29.0, 0.0770),
(27.5, 0.0791), (25.5, 0.0820), (24.0, 0.0844),
(22.5, 0.0869), (21.0, 0.0897), (18.5, 0.0946),
(16.0, 0.1004), (14.0, 0.1057), (12.0, 0.1119),
(10.0, 0.1193), (8.5, 0.1259), (7.0, 0.1339),
(6.0, 0.1403), (5.0, 0.1479), (4.0, 0.1573),
(3.5, 0.1630), (2.5, 0.1775), (2.0, 0.1871),
(1.5, 0.1997), (1.0, 0.2177), (0.7, 0.2335),
(0.4, 0.2587), (0.2, 0.2904), (0.1, 0.3225))
kpss_critical_values['ct'] = asarray(kpss_critical_values['ct'])
c = ((100.000, 0.0000), (99.500, 0.0219), (99.000, 0.0249), (98.000, 0.0289),
(97.000, 0.0318), (96.000, 0.0344), (95.000, 0.0366), (93.500, 0.0397),
(91.500, 0.0435), (89.500, 0.0470), (86.000, 0.0527), (74.000, 0.0720),
(70.500, 0.0778), (67.000, 0.0839), (64.000, 0.0894), (61.500, 0.0941),
(58.500, 0.1001), (56.000, 0.1053), (53.000, 0.1119), (50.000, 0.1190),
(47.000, 0.1266), (44.500, 0.1333), (42.000, 0.1406), (39.500, 0.1484),
(37.000, 0.1568), (34.500, 0.1659), (32.000, 0.1758), (30.000, 0.1845),
(28.000, 0.1939), (26.000, 0.2041), (24.000, 0.2153), (22.500, 0.2244),
(21.000, 0.2343), (19.500, 0.2451), (18.000, 0.2568), (16.500, 0.2698),
(15.000, 0.2842), (14.000, 0.2947), (12.000, 0.3186), (10.000, 0.3475),
(9.500, 0.3557), (9.000, 0.3644), (8.500, 0.3736), (8.000, 0.3834),
(7.500, 0.3940), (7.000, 0.4053), (6.500, 0.4176), (6.000, 0.4309),
(5.500, 0.4454), (5.000, 0.4614), (4.500, 0.4793), (4.000, 0.4993),
(3.500, 0.5222), (3.000, 0.5488), (2.500, 0.5804), (2.000, 0.6195),
(1.500, 0.6704), (1.000, 0.7428), (0.900, 0.7618), (0.800, 0.7830),
(0.700, 0.8073), (0.600, 0.8353), (0.500, 0.8683), (0.400, 0.9090),
(0.300, 0.9618), (0.200, 1.0369), (0.100, 1.1650), (0.100, 1.1650),
(0.090, 1.1845), (0.080, 1.2068), (0.070, 1.2318), (0.060, 1.2608),
(0.050, 1.2948), (0.040, 1.3372), (0.030, 1.3912), (0.020, 1.4671),
(0.010, 1.6000),)
kpss_critical_values['c'] = asarray(c)

ct = ((100.000, 0.0000), (99.500, 0.0156), (99.000, 0.0173), (98.500, 0.0185),
(97.500, 0.0203), (96.000, 0.0224), (94.500, 0.0240), (93.000, 0.0254),
(91.000, 0.0272), (88.500, 0.0291), (86.000, 0.0309), (81.000, 0.0343),
(68.500, 0.0424), (62.500, 0.0464), (56.500, 0.0507), (53.500, 0.0529),
(51.000, 0.0548), (48.000, 0.0573), (45.500, 0.0594), (43.000, 0.0616),
(40.000, 0.0645), (37.500, 0.0670), (35.500, 0.0691), (33.000, 0.0720),
(31.000, 0.0744), (29.000, 0.0770), (27.500, 0.0791), (25.500, 0.0820),
(24.000, 0.0844), (22.500, 0.0869), (21.000, 0.0897), (18.500, 0.0946),
(16.000, 0.1004), (14.000, 0.1057), (12.000, 0.1119), (10.000, 0.1193),
(9.500, 0.1214), (9.000, 0.1236), (8.500, 0.1259), (8.000, 0.1284),
(7.500, 0.1310), (7.000, 0.1339), (6.500, 0.1370), (6.000, 0.1403),
(5.500, 0.1439), (5.000, 0.1479), (4.500, 0.1523), (4.000, 0.1573),
(3.500, 0.1630), (3.000, 0.1696), (2.500, 0.1774), (2.000, 0.1871),
(1.500, 0.1996), (1.000, 0.2175), (0.900, 0.2222), (0.800, 0.2275),
(0.700, 0.2335), (0.600, 0.2404), (0.500, 0.2486), (0.400, 0.2588),
(0.300, 0.2719), (0.200, 0.2904), (0.100, 0.3223), (0.100, 0.3223),
(0.090, 0.3272), (0.080, 0.3326), (0.070, 0.3388), (0.060, 0.3460),
(0.050, 0.3546), (0.040, 0.3653), (0.030, 0.3790), (0.020, 0.3985),
(0.010, 0.4313),)
kpss_critical_values['ct'] = asarray(ct)

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