unit_root
Perform Augmented Dickey-Fuller (ADF) unit root test.
The ADF test is a popular method for testing the presence of a unit root in a time series. A unit root indicates that the series may be non-stationary, meaning its statistical properties such as mean, variance, and autocorrelation can change over time. The presence of a unit root suggests that the time series might be influenced by a random walk process, making it unpredictable and challenging for modeling and forecasting. The 'regression' parameter allows you to specify the model used in the test: 'c' for a constant term, 'ct' for a constant and trend term, and 'ctt' for a constant, linear, and quadratic trend. This flexibility helps tailor the test to the specific characteristics of your data, providing a more accurate assessment of its stationarity.
Examples
from openbb import obb
# Perform Augmented Dickey-Fuller (ADF) unit root test.
stock_data = obb.equity.price.historical(symbol='TSLA', start_date='2023-01-01', provider='fmp').to_df()
obb.econometrics.unit_root(data=stock_data, column="close")
obb.econometrics.unit_root(data=stock_data, column="close", regression="ct")
obb.econometrics.unit_root(column='close', data=[{'date': '2023-01-02', 'open': 110.0, 'high': 120.0, 'low': 100.0, 'close': 115.0, 'volume': 10000.0}, {'date': '2023-01-03', 'open': 165.0, 'high': 180.0, 'low': 150.0, 'close': 172.5, 'volume': 15000.0}, {'date': '2023-01-04', 'open': 146.67, 'high': 160.0, 'low': 133.33, 'close': 153.33, 'volume': 13333.33}, {'date': '2023-01-05', 'open': 137.5, 'high': 150.0, 'low': 125.0, 'close': 143.75, 'volume': 12500.0}, {'date': '2023-01-06', 'open': 132.0, 'high': 144.0, 'low': 120.0, 'close': 138.0, 'volume': 12000.0}])
Parameters
- standard
| Name | Type | Description | Default | Optional |
|---|---|---|---|---|
| data | List[Data] | Input dataset. | False | |
| column | str | Data columns to check unit root | False | |
| regression | Literal["c", "ct", "ctt"] | Regression type to use in the test. Either "c" for constant only, "ct" for constant and trend, or "ctt" for | False |
Returns
OBBject
results : Data
OBBject with the results being the score from the test.