https://github.com/bashtage/arch
Tip revision: 6c6fb94b230114e844499d381a3c5845d136fb23 authored by Kevin Sheppard on 26 May 2023, 16:58:13 UTC
Merge pull request #663 from bashtage/backport-632
Merge pull request #663 from bashtage/backport-632
Tip revision: 6c6fb94
kpss.py
from __future__ import annotations
from numpy import asarray
kpss_critical_values = {}
c = (
(100.000, 0.0000),
(99.500, 0.0219),
(99.000, 0.0249),
(98.000, 0.0289),
(97.000, 0.0318),
(96.000, 0.0344),
(95.000, 0.0366),
(93.500, 0.0397),
(91.500, 0.0435),
(89.500, 0.0470),
(86.000, 0.0527),
(74.000, 0.0720),
(70.500, 0.0778),
(67.000, 0.0839),
(64.000, 0.0894),
(61.500, 0.0941),
(58.500, 0.1001),
(56.000, 0.1053),
(53.000, 0.1119),
(50.000, 0.1190),
(47.000, 0.1266),
(44.500, 0.1333),
(42.000, 0.1406),
(39.500, 0.1484),
(37.000, 0.1568),
(34.500, 0.1659),
(32.000, 0.1758),
(30.000, 0.1845),
(28.000, 0.1939),
(26.000, 0.2041),
(24.000, 0.2153),
(22.500, 0.2244),
(21.000, 0.2343),
(19.500, 0.2451),
(18.000, 0.2568),
(16.500, 0.2698),
(15.000, 0.2842),
(14.000, 0.2947),
(12.000, 0.3186),
(10.000, 0.3475),
(9.500, 0.3557),
(9.000, 0.3644),
(8.500, 0.3736),
(8.000, 0.3834),
(7.500, 0.3940),
(7.000, 0.4053),
(6.500, 0.4176),
(6.000, 0.4309),
(5.500, 0.4454),
(5.000, 0.4614),
(4.500, 0.4793),
(4.000, 0.4993),
(3.500, 0.5222),
(3.000, 0.5488),
(2.500, 0.5804),
(2.000, 0.6195),
(1.500, 0.6704),
(1.000, 0.7428),
(0.900, 0.7618),
(0.800, 0.7830),
(0.700, 0.8073),
(0.600, 0.8353),
(0.500, 0.8683),
(0.400, 0.9090),
(0.300, 0.9618),
(0.200, 1.0369),
(0.100, 1.1650),
(0.100, 1.1650),
(0.090, 1.1845),
(0.080, 1.2068),
(0.070, 1.2318),
(0.060, 1.2608),
(0.050, 1.2948),
(0.040, 1.3372),
(0.030, 1.3912),
(0.020, 1.4671),
(0.010, 1.6000),
)
kpss_critical_values["c"] = asarray(c)
ct = (
(100.000, 0.0000),
(99.500, 0.0156),
(99.000, 0.0173),
(98.500, 0.0185),
(97.500, 0.0203),
(96.000, 0.0224),
(94.500, 0.0240),
(93.000, 0.0254),
(91.000, 0.0272),
(88.500, 0.0291),
(86.000, 0.0309),
(81.000, 0.0343),
(68.500, 0.0424),
(62.500, 0.0464),
(56.500, 0.0507),
(53.500, 0.0529),
(51.000, 0.0548),
(48.000, 0.0573),
(45.500, 0.0594),
(43.000, 0.0616),
(40.000, 0.0645),
(37.500, 0.0670),
(35.500, 0.0691),
(33.000, 0.0720),
(31.000, 0.0744),
(29.000, 0.0770),
(27.500, 0.0791),
(25.500, 0.0820),
(24.000, 0.0844),
(22.500, 0.0869),
(21.000, 0.0897),
(18.500, 0.0946),
(16.000, 0.1004),
(14.000, 0.1057),
(12.000, 0.1119),
(10.000, 0.1193),
(9.500, 0.1214),
(9.000, 0.1236),
(8.500, 0.1259),
(8.000, 0.1284),
(7.500, 0.1310),
(7.000, 0.1339),
(6.500, 0.1370),
(6.000, 0.1403),
(5.500, 0.1439),
(5.000, 0.1479),
(4.500, 0.1523),
(4.000, 0.1573),
(3.500, 0.1630),
(3.000, 0.1696),
(2.500, 0.1774),
(2.000, 0.1871),
(1.500, 0.1996),
(1.000, 0.2175),
(0.900, 0.2222),
(0.800, 0.2275),
(0.700, 0.2335),
(0.600, 0.2404),
(0.500, 0.2486),
(0.400, 0.2588),
(0.300, 0.2719),
(0.200, 0.2904),
(0.100, 0.3223),
(0.100, 0.3223),
(0.090, 0.3272),
(0.080, 0.3326),
(0.070, 0.3388),
(0.060, 0.3460),
(0.050, 0.3546),
(0.040, 0.3653),
(0.030, 0.3790),
(0.020, 0.3985),
(0.010, 0.4313),
)
kpss_critical_values["ct"] = asarray(ct)