Bug in adfuller test and a suggested fix

[gyllila]

BPO	42276
Nosy	@ronaldoussoren

^{Note: these values reflect the state of the issue at the time it was migrated and might not reflect the current state.}

Show more details

GitHub fields:

assignee = None
closed_at = <Date 2020-11-06.12:54:02.207>
created_at = <Date 2020-11-06.12:44:20.321>
labels = ['3.8', 'type-bug', 'library']
title = 'Bug in adfuller test and a suggested fix'
updated_at = <Date 2020-11-06.12:54:02.204>
user = 'https://bugs.python.org/gyllila'

bugs.python.org fields:

activity = <Date 2020-11-06.12:54:02.204>
actor = 'ronaldoussoren'
assignee = 'none'
closed = True
closed_date = <Date 2020-11-06.12:54:02.207>
closer = 'ronaldoussoren'
components = ['Library (Lib)']
creation = <Date 2020-11-06.12:44:20.321>
creator = 'gyllila'
dependencies = []
files = []
hgrepos = []
issue_num = 42276
keywords = []
message_count = 2.0
messages = ['380446', '380447']
nosy_count = 2.0
nosy_names = ['ronaldoussoren', 'gyllila']
pr_nums = []
priority = 'normal'
resolution = 'third party'
stage = 'resolved'
status = 'closed'
superseder = None
type = 'behavior'
url = 'https://bugs.python.org/issue42276'
versions = ['Python 3.8']

[gyllila]

from statsmodels.tsa.stattools import adfuller
adf = adfuller(x, regression=‘c’, autolag=‘t-stat’)

Sometimes comes error message:
UnboundLocalError: local variable ‘bestlag’ referenced before assignment

I found the reason: when using t-stat, bestlag is only assigned, when the last lag becomes significant the first time, so if no lag has a significant t-value, then bestlag is never assigned

I fixed this bug this way: open the file stattools.py and find the lines:
elif method == “t-stat”:
#stop = stats.norm.ppf(.95)
stop = 1.6448536269514722
Then add here following two lines:
bestlag = startlag
icbest = np.abs(results[startlag].tvalues[-1])

This way, the code won’t crash again and t-stat simply uses no lag when there is no significant value

[ronaldoussoren]

Statsmodel is not part of the Python standard library.

The issue tracker for this packages seems to be at: https://github.com/statsmodels/statsmodels/issues