Failing tests for ADF/KPSS #364
Conversation
|
Hello @tomzx! Thanks for updating this PR. We checked the lines you've touched for PEP 8 issues, and found:
Comment last updated at 2020-04-08 21:39:47 UTC |
|
Should all be errors, just more meaningful ones. You can't run even the most basic DF test with 1 or 2 data points. |
|
Those are simplified versions of the issue encountered. You can change the test to [0]*100 if you prefer, the issue will also be present. We discovered this issue while having a time series such as [0]*64+[1]. |
tomzx
force-pushed
the
tr/fixes/exception-in-adf-kpss
branch
from
d7205b6
to
270ac73
Compare
|
I think that one should also usually error since I think the regression needed will be singular, or may produce a residual variance of 0 depending on the test. A better error would be better but I think error seems correct. |
Improve error message when user attempt to perform unitroot test that is infeasible due to singular regressor matrices or short samples closes #364
Improve error message when user attempt to perform unitroot test that is infeasible due to singular regressor matrices or short samples closes #364
|
After #365 will see InvalidTestException |
Improve error message when test cannot be run due to issues in user provided data xref #364
Improve user-facing exceptions in Phillips-Perron test xref #364
Improve user-facing exceptions in KPSS test xref #364
Improve user-facing exceptions in Zivot-Andrews test xref #364
Improve user-facing exceptions in Zivot-Andrews test xref #364
Improve error message when test cannot be run due to issues in user provided data xref #364
Improve user-facing exceptions in Phillips-Perron test xref #364
Improve user-facing exceptions in KPSS test xref #364
Improve user-facing exceptions in Zivot-Andrews test xref #364
Improve user-facing exceptions in the variance-ratio test closes #364
We're currently encountering a few exceptions we're not sure how to handle.
I've created a few tests that cover those cases. Help to fix those would be appreciated!