New submission from Guo <guoyanling_2...@yahoo.de>: from statsmodels.tsa.stattools import adfuller adf = adfuller(x, regression=‘c’, autolag=‘t-stat’)
Sometimes comes error message: UnboundLocalError: local variable ‘bestlag’ referenced before assignment I found the reason: when using t-stat, bestlag is only assigned, when the last lag becomes significant the first time, so if no lag has a significant t-value, then bestlag is never assigned I fixed this bug this way: open the file stattools.py and find the lines: elif method == “t-stat”: #stop = stats.norm.ppf(.95) stop = 1.6448536269514722 Then add here following two lines: bestlag = startlag icbest = np.abs(results[startlag].tvalues[-1]) This way, the code won’t crash again and t-stat simply uses no lag when there is no significant value ---------- components: Library (Lib) messages: 380446 nosy: gyllila priority: normal severity: normal status: open title: Bug in adfuller test and a suggested fix type: enhancement versions: Python 3.8 _______________________________________ Python tracker <rep...@bugs.python.org> <https://bugs.python.org/issue42276> _______________________________________ _______________________________________________ Python-bugs-list mailing list Unsubscribe: https://mail.python.org/mailman/options/python-bugs-list/archive%40mail-archive.com
