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fix compatibility with pandas v0.2 #308

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merged 4 commits into from
May 12, 2017
Merged

fix compatibility with pandas v0.2 #308

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fedc715
update to include statsmodels to estimate ar1 process and remove ols …
natashawatkins May 12, 2017
e26d6a1
remove pandas import which is no longer needed, statsmodels accepts a…
natashawatkins May 12, 2017
3ce6e63
reduce amount of imports
natashawatkins May 12, 2017
6b2321b
fix tsa import
natashawatkins May 12, 2017
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10 changes: 4 additions & 6 deletions quantecon/estspec.py
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Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,7 @@
from __future__ import division, print_function
import numpy as np
from numpy.fft import fft
from pandas import ols, Series
from statsmodels.api import tsa


def smooth(x, window_len=7, window='hanning'):
Expand Down Expand Up @@ -140,11 +140,9 @@ def ar_periodogram(x, window='hanning', window_len=7):

"""
# === run regression === #
x_current, x_lagged = x[1:], x[:-1] # x_t and x_{t-1}
x_current, x_lagged = Series(x_current), Series(x_lagged) # pandas series
results = ols(y=x_current, x=x_lagged, intercept=True, nw_lags=1)
e_hat = results.resid.values
phi = results.beta['x']
results = tsa.AR(x).fit(maxlag=1, cov_type='HAC', cov_kwds={'maxlags':1})
e_hat = results.resid
phi = results.params[1]

# === compute periodogram on residuals === #
w, I_w = periodogram(e_hat, window=window, window_len=window_len)
Expand Down