INNER CODE UNIT · Python

augmented_dickey_fuller

firmai/deltapy · deltapy/extract.py:190

def augmented_dickey_fuller(x, param=[{"attr": "teststat"}]):

    res = None
    try:
        res = adfuller(x)
    except LinAlgError:
        res = np.NaN, np.NaN, np.NaN
    except ValueError: # occurs if sample size is too small
        res = np.NaN, np.NaN, np.NaN
    except MissingDataError: # is thrown for e.g. inf or nan in the data
        res = np.NaN, np.NaN, np.NaN

    return [('attr_"{}"'.format(config["attr"]),
                  res[0] if config["attr"] == "teststat"
             else res[1] if config["attr"] == "pvalue"
             else res[2] if config["attr"] == "usedlag" else np.NaN)
            for config in param]

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