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Lag 0 standard errors should be both 1, like how it appears in acf
Do you mean confidence intervals ?
I don't see standard errors returned anywhere directly.
>>> sm.tsa.pacf(dta, alpha=0.05)[:5]
array([[ 0.88850154, 1.11149846],
[ 0.71136583, 0.93436274],
>>> sm.tsa.acf(dta, alpha=0.05)[:5]
array([[ 1. , 1. ],
[ 0.70870284, 0.93169975],
[ 0.28050977, 0.62202721],
Yes, CI is returned but the standard error that goes into the CI is incorrect at lag 0 for pacf. The 0 lag CI should always be [1,1], like in acf since the standard error is always 0 at this lag.
@bashtage Do you want to prepare a PR?
Otherwise, I add it to a misc bugfix PR that I'm planning for today.
Will leave this one to you if it is easy.
fixed in da0fe2e PR #1987
typo in the commit message that referred to unrelated PR