M/Ph?ddlmZddlmZmZmZmZddgZgdZgdZ eddd d d gZ gd Z gd Z gdZ gdZgdZgdZgdZgdZgdZe e eedZe e eedZee eedZegdZgdgdgdgdgdgdgZeeezZgdgdgdgd gd!gd"gZeeezZgd#gd$gd%gd&gd'gd(gZeeezZgd)gd*gd+gd,gd-gd.gZeeezZeeeedZegd/Zgd0gd1gd2gd3gd4gd5gZeeezZgd6gd7gd8gd9gd:gd;gZeeezZgd<gd=gd>gd?gd@gdAgZ ee ezZ gdBgdCgdDgdEgdFgdGgZ!ee!ezZ!eee e!dZ"gdHZ#gdIZ$gdJZ%gdKZ&egdLgdMgdNgdOgdPgdQgZ'egdRgdSgdTgdUgdVgdWgZ(egdXgdYgdZgd[gd\gd]gZ)egd^gd_gd`gdagdbgdcgZ*egddZ+egdegdfgdggdhgdigdjgZ,e,e+zZ,egdkgdlgdmgdngdogdpgZ-e-e+zZ-egdqgdrgdsgdtgdugdvgZ.e.e+zZ.egdwgdxgdygdzgd{gd|gZ/e/e+zZ/ddZ0gdgdgdggZ1ee1Z1gdgdgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgdgg Z2ee2Z2gdgdgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgd¢ggdâgdĢgdŢggdƢgdǢgdȢggdɢgdʢgdˢgg Z3ee3Z3gd̢gd͢gd΢ggdϢgdТgdѢggdҢgdӢgdԢggdբgd֢gdעggdآgd٢gdڢggdۢgdܢgdݢggdޢgdߢgdggdgdgdggdgdgdggdgdgdggdgdgdggdgdgdgg Z4ee4Z4e1e2e3e4dZ5d~d}efdZ6dS))norm)arraypolyvalinfasarray mackinnonp mackinnoncrit)gp= ףg{Gzgq= ףpgQg(\g)\()g ףp= 3gQ3g(\55g@7gzG5g= ףp9g)\(?gQ?g)\(?g?gףp= ?)g(\g(\g ףp= g(\ g= ףp=gq= ףp)gGz2g\(2g{Gz7gR٬?gͪ@)gp_Q @g=U?g( @)gTd@gfc]F?gz,C@)g-!lV@rg(~k @)gI@g鷯?gk+ݓ@)gQ@g_v?gHP@)gUN@gI +?g{P@)g'i@g`TR'?g q[@)gV@g&S:?g g @)gB`"@gw#?gcZ @)g&†@g* ?g$ @)gGr@g?ܵ|?g@)r 皙?rr)gl g?g_vO"@g Oeggs @)g?W[?gV-!@gDlgͪ )gܵ|@gx#<@gZӼ g y)g @g:@gg h"lx)g1% @g h"l8@g h"lgё\C )gܵ| @g^I @gz,Cgea)g( ?g[ A"@g1Zdgǘ)guV@gT㥛@g6[gl g)g-C@gJ4@gw#9 g+ݓ)gsAO@gH.@gt g?ܵ)g @gͪ@gjMSg? )g,eX@g46<@gDioIgS㥛)ggs5@g^@gec]gw/)g@gJ +@g#J{/L g!rh)gS㥛 @gQ@gS% g|г)gK7 @gH}8@g?ܵg|a2U0 )gH@gy):@gڬ\mg|?5^)g/@gg@g]FxgD)g=U@go@gz6>g)g!g,g3g9皙=333333A)g.g3L9rg?g333333C)g333334rgfffff=rg@CgF)g ?gH}8grg3fӣ)g9#J{?g~jtrgڧ1)gmV}@gO@aSgd,i?gŏ1w-)gY8m@g g$0{?gkC)gQ@gZӼg3K?gCn)gZB>@gh|?5rgӂ})glV}@gM Og?gd@zdz)gT?gH}8?g U+~׿r)g3@gۊedgm4?gIf6ÿ)ga+e @gW/'rg~ )gMSt$@g yrg)s)g=,Ԛ+@g"u gN ^?gKu̿)gSt$@g0L F%g ?g )gV/@gjMgx&1?g"uq Ŀ)g`vO @gJYrgc=yX)gTt$?g?gۿҤr)g?5^I @gLJ?gl gr)gN@S&@g cZBg o?g6qrÿ)g1%d @g h"lxzrg/Xni5)gjM@gZڊrgsM)g镲 @gQI?g@M-[r)gV@gȘrgg)g46<@g^K=rg-l)g c7@gy&1L-g;Sn @gƧϠտ)r rrgMbP?gh㈵>)gOe?g9v@g,eXw*@g 2(@r)g}8gD?gY@gSt$@)g8d@gOn@g?W[@gx#?gc]K?)g,eX@gPn @g@?gX5;N?gJY8?)g @g ^) @gPkw?g??g]C?)gE @gH.!}@g,Ԛ?glV}?g;pΈ?)gFx?g+e@gQkwb@gꕲ q?r)gLJ@gl g@g~jt@gy):?g\C?)gl@g5^I  @gr?g:M?g/$?)gm @gH} @g?ܵ?g[٬?g&S?gioT?)gA&@grh@gW[?g&†W?g-!lV?)goŏ@gYJ@gAc]K@g6[?g?)g^)@ga+eY@gtF_?g_L?gk ?)g[B>٬ @gȘ @gгY?gH}8g?gGz?)g r@g!uq @gC6?g?߾?gH}?)gȘ@g7@g3?g{Gz?gE?)gx $(~@gsF@g9EGr?gpΈ?gɳ?)g[잼 @g[ Ac@gio?gH}8?g1%?)g47B@g(~k@g_vO?g-1?gNbX9?)gh|?5@gL F% @gͪ?gԚ?gc]F?)g S@gL @gJ4?gQ?glV}?)gK7A`@gH@g9v?gyX5;?ggs?)g?d@g=yX(@gn?g@a+?gݓ?rr Ncbt|}t|}t|}|||dz krdS|||dz krdS|||dz krt||dz }nt||dz }t jt|ddd|S)a Returns MacKinnon's approximate p-value for teststat. Parameters ---------- teststat : float "T-value" from an Augmented Dickey-Fuller regression. regression : str {"c", "n", "ct", "ctt"} This is the method of regression that was used. Following MacKinnon's notation, this can be "c" for constant, "n" for no constant, "ct" for constant and trend, and "ctt" for constant, trend, and trend-squared. N : int The number of series believed to be I(1). For (Augmented) Dickey- Fuller N = 1. Returns ------- p-value : float The p-value for the ADF statistic estimated using MacKinnon 1994. References ---------- .. [*] MacKinnon, J.G. 1994 "Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests." Journal of Business & Economics Statistics, 12.2, 167-76. Notes ----- For (A)DF H_0: AR coefficient = 1 H_a: AR coefficient < 1 r ?gN) _tau_maxs _tau_mins _tau_stars _tau_smallps _tau_largepsrcdfr)teststat regressionNlagsmaxstatminstatstarstattau_coefs Y/var/www/html/test/jupyter/venv/lib/python3.11/site-packages/statsmodels/tsa/adfvalues.pyrrsB #G #G*%H'!A#,s GAaCL s8AaC=   +AaC0 +AaC0 8GHTTrTNH55 6 66)gOpg,Cgjt r)guVg( 0ѿgQ g +9?@)gL~gSt$?gʡEgw/]9@)g6>W[q gcZB>(gK70gʡES)gaog=UgV-gQD)gԲgQIgFxr)g$+go_%g~jt@r)gƢd g( pgnJr)g%u[gI.!g(\r)g-,gW[,g)\@gClG@)gk& g6[ !gNbX9%gZd;@)g>? g!uqgX9v r)gmscz’g7d2g#~jBr)gMbg*Dx&gY&r)g9#J{g~8gD g?5^Ir)gϛgl g5gV-Fr)gE>'g~j,gfffff&)r)g:ugD0gˡE}1g7A`N@)gPI5g`*"~j獗n;@)g K< g~jt=gxYQg= ףpd@)gղHg3gQ 6gbX9[@)gE 2gJ +v/r*r+)gxN gOjM@gjtTgvp@)g{gǘ7gL7A`8gSb@)gk&g|гYe2gK7A`g+ηW@)gZ![g2w-!Bg(\Ug'1 o@)g<8b-gT4:gn:gNbX9 f@)gSZgN@#5g+"gJ +e@)gQ5Ugz):DgQYgzGUx@)ggZӼs=gX9v>gn`o@)g0|DLg`TR'8guVg!rhad@)g3.gN@GgƳZgy&1 v@)gNg gj@gfffffF>g+?o@)gk)gGx $:gETglb@)g>yX5gA`IgDl _g"@)glC8sg_Q"Bgq= ף@@gFԬs@)gKqUYg?ܵ=grh|gʡEg@)g]gV/"g!rhmgڬ\m#gS%(r)g l`q g~jtSgx&g1Z5@)gsFg0*2g/$HgV-Z@)gDyg:p'g-3gh|?US@)g&Ngio%"g5^I !g$A@)g8dg0*x6g&1LJgx&1I@)geg[B>,-g|?5^:2gA`C@)gٱוg&g"#gˡE K@)gvg@7:gT㥛Mg RI@)gx( gAc][1g)\6g"V@)g*gŏ17+g`"y$gDl1S@)g:g`"=g|?5RgjtHi@)g=gGzN4gMbX99g)\`@)gs/gU0* 0gy&1#g rhW@)g[='gZd;O@gUgS㥛n@)g.9g|a2U7gGzgxgA`Jj@)gV`Vg [Kgyag^I @)gX>gQCg BgA``y@)gL7A`%gz@gClg#~js@)gB |g(-'gFAgnt)g#gog{G(gV-])gz1m gfc]F gy&1,gd;OO)ghbg h"lx:4gA`:Pgjt8V@)gWgo*gxfW(gx1g ףp=T@)gy):gF%uH;g/$SgZd;;a@)g!Yg$(~{2g?g?5^I[@)g6Xgǘp-gMb1g{GzY@)g#0g3>g(\WgPno@)g{g#~j<5gHzBg-Fh@)gx gE1gK72g/$a@)g*g\g}?5^YAg{Zg`"۟x@)gJigV/78g$Cg7A`m@)gLg^K=3gS2g rhe@)gTt<gQI^CgQ&[gSv@)gPgrhL;g9vCgL7A`n@)g%̴g\mB6g)\1g+j@)g D gz):[Eg+]gQVz@)g K<g9vo>gfffff&FgHzu@)g6>W[gj+8g㥛 3gZd'q@)gR8g~k aGg'1agףp= [@)g:gN@@g+WEgMbu@)g6Tg/$;g(\+g33333m@)gW2đg48}IgX9.bgҁ@)g2YxgI +Bgy&1\HgGz}@)ggK7A-gjts@)g?Yg[잤KgFcgV-Ĉ@)g6~AglV}FDg bGg)\r~@)gc&(g(\@gX9v>"gvq@)gTގpg0L FMgdgy&1@)g28J^g3 Fg"Gg'1@)g^}tgݵ|{Bg#~j%gv&z@c|}|dvrtd|zt|}|tur||dz dddfS||dz dddddf}t|jd|z S)a0 Returns the critical values for cointegrating and the ADF test. In 2010 MacKinnon updated the values of his 1994 paper with critical values for the augmented Dickey-Fuller tests. These new values are to be preferred and are used here. Parameters ---------- N : int The number of series of I(1) series for which the null of non-cointegration is being tested. For N > 12, the critical values are linearly interpolated (not yet implemented). For the ADF test, N = 1. reg : str {'c', 'tc', 'ctt', 'n'} Following MacKinnon (1996), these stand for the type of regression run. 'c' for constant and no trend, 'tc' for constant with a linear trend, 'ctt' for constant with a linear and quadratic trend, and 'n' for no constant. The values for the no constant case are taken from the 1996 paper, as they were not updated for 2010 due to the unrealistic assumptions that would underlie such a case. nobs : int or np.inf This is the sample size. If the sample size is numpy.inf, then the asymptotic critical values are returned. References ---------- .. [*] MacKinnon, J.G. 1994 "Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests." Journal of Business & Economics Statistics, 12.2, 167-76. .. [*] MacKinnon, J.G. 2010. "Critical Values for Cointegration Tests." Queen's University, Dept of Economics Working Papers 1227. http://ideas.repec.org/p/qed/wpaper/1227.html )rrr rz$regression keyword %s not understoodr Nrrr) ValueError tau_2010srrT)r"r!nobsregtauvals r(r r sF C )))?#EFFF C.C s{{1Q319~!A#qqq$$B$,subg&&&r))rr N)7 scipy.statsrnumpyrrrr__all__ tau_star_nc tau_min_nc tau_max_nc tau_star_c tau_min_c tau_max_c tau_star_ct tau_min_ct tau_max_ct tau_star_ctt tau_min_ctt tau_max_cttrrr small_scaling tau_nc_smallp tau_c_smallp tau_ct_smallptau_ctt_smallpr large_scaling tau_nc_largep tau_c_largep tau_ct_largeptau_ctt_largepr z_star_ncz_star_c z_star_ct z_star_ctt z_nc_smallp z_c_smallp z_ct_smallp z_ctt_smallpz_large_scaling z_nc_largep z_c_largep z_ct_largep z_ctt_largepr tau_nc_2010 tau_c_2010 tau_ct_2010 tau_ctt_2010r.r r)r(r_s ............  ) 988 = = = 4tT4 0 7 7 7 < < < - - - 888 = = = 0 0 0 999 === 222                       lll##    &&}4   w|$$]2    &&}4  ((6      +++,, %%%$$$&&&&&&&&&%%% '  &&}4 '&&&&&&&&&&&&&&%%% ' w|$$]2 '&&###$$$%%%%%%&&& (  &&}4 '&&%%%&&&&&&%%%&&& (((6       5 4 4 4 4 4 6 6 6 7 7 7 e   &&&&&&'''   "## U&&&'''      ((( *++ e&&&%%%!!!!!!   ((( *++ u""""""!!!""""""))) +,, %33344e''',,,,,,,,,,,,+++ -..   U&&&+++)))+++,,,,,, .//  o e))),,,,,,+++***,,, .//   u,,,,,,+++,,,***,,, .//   -7-7-7-7l#""'''&&&() gk"" +**)))###%&%%######%+**)))###%&%%%%%###%&%%%%%$$$&+*****)))+,+++++)))+,+++++)))+,+++++***,,+++++***,-,,+++***,-,,+++***,E$- JWZ ,++))))))+&%%$$$(((*,++***(((*+*****)))++********,,++***)))+,++++++++-+**++++++--,,+++***,-,,+++***,-,,+++***,-,,+++***,E$- Jgk"" -,,+++)))++********,,+++++***,,+++++***,,++++++++--,,++++++--,,++++++--,,***+++-,++++++++--,,***+++--,,+++***,-,,++++++-E$. Jw|$$         #C+'+'+'+'+'+'r)