[New-bugs-announce] [issue42276] Bug in adfuller test and a suggested fix

[Guo]

New submission from Guo <guoyanling_2000 at yahoo.de>:

from statsmodels.tsa.stattools import adfuller
adf = adfuller(x, regression=‘c’, autolag=‘t-stat’)

Sometimes comes error message:
UnboundLocalError: local variable ‘bestlag’ referenced before assignment 

I found the reason: when using t-stat, bestlag is only assigned, when the last lag becomes significant the first time, so if no lag has a significant t-value, then bestlag is never assigned

I fixed this bug this way: open the file stattools.py and find the lines:
elif method == “t-stat”:
  #stop = stats.norm.ppf(.95)
  stop = 1.6448536269514722
Then add here following two lines:
  bestlag = startlag
  icbest = np.abs(results[startlag].tvalues[-1])

This way, the code won’t crash again and t-stat simply uses no lag when there is no significant value

----------
components: Library (Lib)
messages: 380446
nosy: gyllila
priority: normal
severity: normal
status: open
title: Bug in adfuller test and a suggested fix
type: enhancement
versions: Python 3.8

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Python tracker <report at bugs.python.org>
<https://bugs.python.org/issue42276>
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