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ENH: Improve ADF simulation - #980
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Use 2000 runs each with 250,000 simulations for the ADF critical values to bring all in-line with the 'n' case
Codecov Report✅ All modified and coverable lines are covered by tests. Additional details and impacted files@@ Coverage Diff @@
## main #980 +/- ##
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Coverage 98.95% 98.95%
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Files 137 138 +1
Lines 30099 30148 +49
Branches 2337 2339 +2
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+ Hits 29785 29834 +49
Misses 256 256
Partials 58 58
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This was referenced Oct 29, 2026
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Oct 31, 2026
- adf_z_critical_values_simulation_joblib.py failed unless --max-memory-size was given, since argparse sets the attribute to None. - adf_simulation.py created its output directory when it was imported; the joblib script that writes to it creates it now. - adf_z_simlation_process.py wrote "500 exercises" into dickey_fuller.py, which the tables of bashtage#980 changed to 2,000, and wrote CRLF line endings on Windows. - The docstrings of dickey_fuller.py and mackinnonp said that every value is from the blocked simulations and that only the "n" ADF-Z values were simulated. The ADF t values are MacKinnon's, and every ADF-Z value is simulated.
jngod2011
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- Highlights and new features: NGARCH (bashtage#966), the VaR backtests (bashtage#965), the local block bootstrap (bashtage#967) and bandwidth_method (bashtage#964, and phillips_ouliaris here). - Changes that alter results: the automatic bandwidth entry of bashtage#983 now also describes the bandwidth of the kernels with bounded support, the fractional bandwidths and the Tukey-Parzen constant of bashtage#964, its S&P 500 bandwidths are those of the bandwidth attribute (30.96 and 34.50, where it said the 31.96 and 35.50 of opt_bandwidth), and it links phillips_ouliaris in arch.unitroot.cointegration. The ADF-Z tables of bashtage#972, bashtage#973 and bashtage#980. - Backward-incompatible changes: strings in object data. - Bug fixes: bashtage#954, bashtage#970, bashtage#974, bashtage#975, bashtage#977, bashtage#978, bashtage#982, and the constant data of the Newey-West bandwidth and mackinnonp at -inf and inf. - Maintenance: the CI changes and the version file. - Contributors: galafis, jackiectl2, mkzung and wavebyrd.
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Use 2000 runs each with 250,000 simulations for the ADF critical values to bring all in-line with the 'n' case