mlfinlab.structural_breaks.chow

Explosiveness tests: Chow-Type Dickey-Fuller Test

Module Contents

Functions

get_chow_type_stat(→ pandas.Series)

Multithread implementation of Chow-Type Dickey-Fuller Test, p.251-252.
get_chow_type_stat(series: pandas.Series, min_length: int = 20, num_threads: int = 8, verbose: bool = True) → pandas.Series

Multithread implementation of Chow-Type Dickey-Fuller Test, p.251-252.

Parameters:

  • series – (pd.Series) Series to test.

  • min_length – (int) Minimum sample length used to estimate statistics.

  • num_threads – (int): Number of cores to use.

  • verbose – (bool) Flag to report progress on asynch jobs.

Returns:

(pd.Series) Chow-Type Dickey-Fuller Test statistics.