【Function】协调关系测试

常用函数总结

第一章 协调关系测试

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协调关系测试

协整关系说明两个时序具有长期的统计上的关系。

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一、coint_johansen

coint_johansen(adf.ar, -1, 4)
函数中adf.ar是一个数组，-1表示不设假设，4表示滞后阶数为4.

二、使用步骤

1.初步检测

from statsmodels.tsa.vector_ar.vecm import coint_johansen

def cointegration_test(df, alpha=0.05): 
    """Perform Johanson's Cointegration Test and Report Summary"""
    print(df)
    out = coint_johansen(df,-1,5)
    d = {'0.90':0, '0.95':1, '0.99':2}
    traces = out.lr1
    cvts = out.cvt[:, d[str(1-alpha)]]
    def adjust(val, length= 6): return str(val).ljust(length)

    # Summary
    print('Name   ::  Test Stat > C(95%)    =>   Signif  \n', '--'*20)
    for col, trace, cvt in zip(df.columns, traces, cvts):
        print(adjust(col), ':: ', adjust(round(trace,2), 9), ">", adjust(cvt, 8), ' =>  ' , trace > cvt)

cointegration_test(df)

2.进一步表示

def adfuller_test(series, signif=0.05, name='', verbose=False):
    """Perform ADFuller to test for Stationarity of given series and print report"""
    r = adfuller(series, autolag='AIC')
    output = {'test_statistic':round(r[0], 4), 'pvalue':round(r[1], 4), 'n_lags':round(r[2], 4), 'n_obs':r[3]}
    p_value = output['pvalue'] 
    def adjust(val, length= 6): return str(val).ljust(length)

    # Print Summary
    print(f'    Augmented Dickey-Fuller Test on "{name}"', "\n   ", '-'*47)
    print(f' Null Hypothesis: Data has unit root. Non-Stationary.')
    print(f' Significance Level    = {signif}')
    print(f' Test Statistic        = {output["test_statistic"]}')
    print(f' No. Lags Chosen       = {output["n_lags"]}')

    for key,val in r[4].items():
        print(f' Critical value {adjust(key)} = {round(val, 3)}')

    if p_value <= signif:
        print(f" => P-Value = {p_value}. Rejecting Null Hypothesis.")
        print(f" => Series is Stationary.")
    else:
        print(f" => P-Value = {p_value}. Weak evidence to reject the Null Hypothesis.")
        print(f" => Series is Non-Stationary.")    

3.不平稳处理

# Differencing
df_differenced = df_differenced.diff().dropna()

# ADF Test on each column of 2nd Differences Dataframe
for name, column in df_differenced.iteritems():
    adfuller_test(column, name=column.name)
    print('\n')

进行微分处理可以使其出现平稳性

总结

本文仅针对协调性进行简单说明，后续更新计算过程。