statsmodels/statsmodels — pull request #1499 by bashtage (2014-03-22 17:57:22+00:00)
Title: ENH: Unit Root Tests

Introduces 4 new unit root tests and provides a class for Augmented Dickey Fuller testing.
The four new tests are:
- PhillipsPerron
- KPSS
- Variance Ratio
- DF-GLS

These have all been included in unitroot.py, and the afduller function has been moved from
tsatools to unitroot, and is now just a wrapper around the ADF class.

The critical value and p-value lookup codes have also been consolidated into untiroot.py.
Critical value and p-value lookup information for DFGLS and KPSS is not readily available
in published form, and so simulations were performed to generate these using 100,000,000
replications using a methodology similar to MacKinnon (2010). All critical value data
has been consolidated into tsa/critical_values.

A cov_nw function was added to tsa/stattools which computes Newey-West covariance.

Also includes substantial improvements to tsatools, including numerous bug fixes. The
code that handled recarrays has been improved to now handle pandas dataframes. Numerous
doc strings where improved. Test coverage was also substantially increased.

string_types was added to the compatability library to address the difference between basestring
in Python 2 and str in Python 3.