Package to test for structural breaks at a specified date using the Chow Test.
More details on the Chow Test are here: https://en.wikipedia.org/wiki/Chow_test
An example of its use is here: https://towardsdatascience.com/the-time-series-they-are-a-changing-why-all-good-models-eventually-fail-24a96a5f48d3
It contains 3 functions.
-
linear_residuals(X, y) which returns a pandas dataframe containing the predicted y-values, the actual y-values, the residuals of the linear regression, and their squared residuals.
-
calculate_RSS(X, y) which returns the residual sum of squares from a linear regression
-
ChowTest(X, y, last_index_in_model_1, first_index_in_model_2) which returns a tuple of the Chow Statistic and the p-value from the Chow Test
Clone this repository, move into the directory, and install with pip:
git clone https://github.com/jkclem/chowtest.git
cd chowtest
pip install .
In your Python code you can import it as:
from chowtest import ChowTest
or
import chowtest as ct
to get all the functions.
| Input | Description |
|---|---|
| X | a pandas DataFrame of the independent variable(s) in order (first row is the earliest observation and the last row is the latest observation) |
| y | a pandas DataFrame of the dependent variable in order (first row is the earliest observation and the last row is the latest observation) |
| last_index_in_model_1 | the index value (for example '2000-01-01') of the last observation to include in the pre-break point model |
| first_index_in_model_2 | the index value (for example '2000-01-02') of the first observation to include in the post-break point model |
The example folder in this repository has an example of the chowtest package being used at the very bottom of the notebook.