BUG: pacf_yw doesn't demean #1138

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

Projects

None yet

1 participant

@josef-pkt
Member

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.

@josef-pkt
Member

False alarm, yule_walker demeans by default

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

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.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment