some new features

.venv/lib/python3.12/site-packages/statsmodels/tsa/tests/test_bds.py

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+"""
+Test for BDS test for IID time series
+
+References
+----------
+
+Kanzler, Ludwig. 1998.
+BDS: MATLAB Module to Calculate Brock, Dechert & Scheinkman Test for
+Independence.
+Statistical Software Components. Boston College Department of Economics.
+http://ideas.repec.org/c/boc/bocode/t871803.html.
+
+"""
+
+import os
+
+import numpy as np
+from numpy.testing import assert_almost_equal
+import pandas as pd
+
+from statsmodels.tsa.stattools import bds
+
+DECIMAL_8 = 8
+DECIMAL_6 = 6
+DECIMAL_5 = 5
+DECIMAL_4 = 4
+DECIMAL_3 = 3
+DECIMAL_2 = 2
+DECIMAL_1 = 1
+
+curdir = os.path.dirname(os.path.abspath(__file__))
+data_file = os.path.join(curdir, "results", "bds_data.csv")
+data = pd.read_csv(data_file, header=None)
+
+res_file = os.path.join(curdir, "results", "bds_results.csv")
+results = pd.read_csv(res_file, header=None)
+
+
+class CheckBDS:
+    """
+    Test BDS
+
+    Test values from Kanzler's MATLAB program bds.
+    """
+    def test_stat(self):
+        assert_almost_equal(self.res[0], self.bds_stats, DECIMAL_8)
+
+    def test_pvalue(self):
+        assert_almost_equal(self.res[1], self.pvalues, DECIMAL_8)
+
+
+class TestBDSSequence(CheckBDS):
+    """
+    BDS Test on np.arange(1,26)
+    """
+    @classmethod
+    def setup_class(cls):
+        cls.results = results[results[0] == 1]
+        cls.bds_stats = np.array(cls.results[2].iloc[1:])
+        cls.pvalues = np.array(cls.results[3].iloc[1:])
+
+        cls.data = data[0][data[0].notnull()]
+        cls.res = bds(cls.data, 5)
+
+
+class TestBDSNormal(CheckBDS):
+    """
+    BDS Test on np.random.normal(size=25)
+    """
+    @classmethod
+    def setup_class(cls):
+        cls.results = results[results[0] == 2]
+        cls.bds_stats = np.array(cls.results[2].iloc[1:])
+        cls.pvalues = np.array(cls.results[3].iloc[1:])
+
+        cls.data = data[1][data[1].notnull()]
+        cls.res = bds(cls.data, 5)
+
+
+class TestBDSCombined(CheckBDS):
+    """
+    BDS Test on np.r_[np.random.normal(size=25), np.random.uniform(size=25)]
+    """
+    @classmethod
+    def setup_class(cls):
+        cls.results = results[results[0] == 3]
+        cls.bds_stats = np.array(cls.results[2].iloc[1:])
+        cls.pvalues = np.array(cls.results[3].iloc[1:])
+
+        cls.data = data[2][data[2].notnull()]
+        cls.res = bds(cls.data, 5)
+
+
+class TestBDSGDPC1(CheckBDS):
+    """
+    BDS Test on GDPC1: 1947Q1 - 2013Q1
+
+    References
+    ----------
+    http://research.stlouisfed.org/fred2/series/GDPC1
+    """
+    @classmethod
+    def setup_class(cls):
+        cls.results = results[results[0] == 4]
+        cls.bds_stats = np.array(cls.results[2].iloc[1:])
+        cls.pvalues = np.array(cls.results[3].iloc[1:])
+
+        cls.data = data[3][data[3].notnull()]
+        cls.res = bds(cls.data, 5)