segmcoint 1.0.0__py3-none-any.whl

segmcoint/__init__.py

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+"""
+segmcoint: Tests for Segmented Cointegration
+=============================================
+
+A Python library implementing tests for segmented cointegration from:
+
+1. Kim, J.-Y. (2003). Inference on Segmented Cointegration.
+   Econometric Theory, 19, 620-639.
+
+2. Martins, L.F. and Rodrigues, P.M.M. (2022). Tests for Segmented
+   Cointegration: An Application to US Governments Budgets.
+   Empirical Economics, 63, 567-600.
+
+Main Functions
+--------------
+kim_test :
+    Kim (2003) infimum-based tests for segmented cointegration.
+    Computes Z*_rho, Z*_t, ADF*_rho, ADF*_t statistics.
+
+mr_test :
+    Martins & Rodrigues (2022) Wald-type tests for segmented cointegration.
+    Computes W(m*) and W_max statistics.
+
+kim_break_estimator :
+    Extremum estimator for the noncointegration period (Kim 2003, Eq. 3.16-3.17).
+
+Utility Functions
+-----------------
+generate_segmented_data :
+    Generate simulated data from a segmented cointegration DGP.
+
+simulate_kim_critical_values :
+    Monte Carlo simulation of critical values for Kim (2003) tests.
+
+simulate_mr_critical_values :
+    Monte Carlo simulation of critical values for Martins & Rodrigues (2022) tests.
+
+monte_carlo_size_power :
+    Size and power analysis for both test procedures.
+
+Example
+-------
+>>> import numpy as np
+>>> from segmcoint import kim_test, mr_test, generate_segmented_data
+>>>
+>>> # Generate segmented cointegration data
+>>> y, X, eps, info = generate_segmented_data(T=200, rho=0.85, seed=42)
+>>>
+>>> # Kim (2003) tests
+>>> res_kim = kim_test(y, X, model='drift')
+>>> print(res_kim)
+>>>
+>>> # Martins & Rodrigues (2022) tests
+>>> res_mr = mr_test(y, X, model='drift')
+>>> print(res_mr)
+"""
+
+__version__ = "1.0.0"
+__author__ = "Dr Merwan Roudane"
+__email__ = "merwanroudane920@gmail.com"
+
+from .kim2003 import (
+    kim_test,
+    kim_break_estimator,
+    get_critical_value,
+    KimTestResult,
+)
+
+from .martins_rodrigues2022 import (
+    mr_test,
+    get_mr_critical_value,
+    MRTestResult,
+)
+
+from .utils import (
+    ols_residuals,
+    generate_segmented_data,
+)
+
+from .simulation import (
+    simulate_kim_critical_values,
+    simulate_mr_critical_values,
+    monte_carlo_size_power,
+)
+
+__all__ = [
+    # Kim (2003)
+    "kim_test",
+    "kim_break_estimator",
+    "get_critical_value",
+    "KimTestResult",
+    # Martins & Rodrigues (2022)
+    "mr_test",
+    "get_mr_critical_value",
+    "MRTestResult",
+    # Utilities
+    "ols_residuals",
+    "generate_segmented_data",
+    # Simulation
+    "simulate_kim_critical_values",
+    "simulate_mr_critical_values",
+    "monte_carlo_size_power",
+]