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BUG: pacf_yw doesn't demean #1138

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josef-pkt opened this issue Oct 23, 2013 · 2 comments

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commented Oct 23, 2013

looking at PR #1018 : demeaned xm is not used

unit test for pacf_yw only uses 1 or 2 decimals.
It looks like I get much higher agreement with reference after demeaning. (checked only with pdb so far.)

Aside: Where do the reference numbers come from? looks like matlab but it doesn't say explicitly.

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commented Oct 23, 2013

False alarm, yule_walker demeans by default

@josef-pkt josef-pkt closed this Oct 23, 2013

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commented Oct 23, 2013

just to clarify: Skipper had added tests for pac_yw comparing to Stata at 8 decimals.
My original unit test compared it with the ols version (matlab version IIUC) which only agrees at 1 decimal because of the different treatment of initial observations.

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