Merge pull request #473 from bashtage/cov-corner

TST: Add coverage for additional corner cases

Author: bashtage

arch/tests/test_examples.py

@@ -20,7 +20,7 @@
     pytestmark = pytest.mark.skip(reason="Required packages not available")
 
 SLOW_NOTEBOOKS = ["multiple-comparison_examples.ipynb"]
-if bool(os.environ.get("ARCH_TEST_SLOW_NOTEBOOKS", False)):
+if bool(os.environ.get("ARCH_TEST_SLOW_NOTEBOOKS", False)):  # pragma: no cover
     SLOW_NOTEBOOKS = []
 kernel_name = "python%s" % sys.version_info.major
 

arch/tests/unitroot/test_phillips_ouliaris.py

@@ -150,6 +150,7 @@ def test_pval_exceptions():
 
 def test_pval_extremes():
     assert phillips_ouliaris_pval(3.0, "Zt", "n", 2) == 1.0
+    np.testing.assert_allclose(phillips_ouliaris_pval(2.1, "Zt", "n", 2), 0.996850543)
     assert phillips_ouliaris_pval(-3000.0, "Zt", "n", 2) == 0.0
     # Above and below tau-star
     above = phillips_ouliaris_pval(1.0, "Zt", "n", 2)

arch/tests/unitroot/test_unitroot.py

@@ -21,6 +21,7 @@
 from arch.unitroot.critical_values.dickey_fuller import tau_2010
 from arch.unitroot.unitroot import (
     _autolag_ols,
+    _autolag_ols_low_memory,
     _is_reduced_rank,
     auto_bandwidth,
     mackinnoncrit,
@@ -746,3 +747,20 @@ def test_wrong_exceptions_variance_ratio(nobs, trend, overlap, debiased):
         assert np.isfinite(vr.stat)
     except InfeasibleTestException:
         pass
+
+
+def test_low_memory_singular():
+    x = np.zeros(1000)
+    x[:3] = np.random.standard_normal()
+    x[-3:] = np.random.standard_normal()
+    match = "The maximum lag you are"
+    with pytest.raises(InfeasibleTestException, match=match):
+        ADF(x, max_lags=10, low_memory=True).stat
+
+
+@pytest.mark.parametrize("method", ["aic", "bic", "t-stat"])
+@pytest.mark.parametrize("trend", ["c", "t", "ct", "ctt"])
+def test_autolag_ols_low_memory_smoke(trend, method):
+    data = dataset_loader(macrodata)
+    realgdp = np.log(data["realgdp"])
+    _autolag_ols_low_memory(realgdp, maxlag=4, trend=trend, method=method)