ADF test in statsmodels in Python

Question

I am trying to run a Augmented Dickey-Fuller test in `statsmodels` in Python, but I seem to be missing something. This is the code that I am trying: ``` import numpy as np import statsmodels.tsa.stattools as ts x = np.array([1,2,3,4,3,4,2,3]) result = ts.adfuller(x) ``` I get the following error: ``` Traceback (most recent call last): File "C:\Users\Akavall\Desktop\Python\Stats_models\stats_models_test.py", line 12, in <module> result = ts.adfuller(x) File "C:\Python27\lib\site-packages\statsmodels-0.4.1-py2.7-win32.egg\statsmodels	sa\stattools.py", line 201, in adfuller xdall = lagmat(xdiff[:,None], maxlag, trim='both', original='in') File "C:\Python27\lib\site-packages\statsmodels-0.4.1-py2.7-win32.egg\statsmodels	sa	satools.py", line 305, in lagmat raise ValueError("maxlag should be < nobs") ValueError: maxlag should be < nobs ``` My Numpy Version: 1.6.1 My statsmodels Version: 0.4.1 I am using windows. I am looking at the documentation here but can't figure what I am doing wron…

Accepted Answer

I figured it out. By default `maxlag` is set to `None`, while it should be set to integer. Something like this works:

```
import numpy as np
import statsmodels.tsa.stattools as ts

x = np.array([1,2,3,4,3,4,2,3])
result = ts.adfuller(x, 1) # maxlag is now set to 1
```

Output:

```
>>> result
(-2.6825663173365015, 0.077103947319183241, 0, 7, {'5%': -3.4775828571428571, '1%': -4.9386902332361515, '10%': -2.8438679591836733}, 15.971188911270618)
```

ADF test in statsmodels in Python

Solution

Problem