TST: fama macbeth tests

Author: wesm

pandas/stats/fama_macbeth.py

@@ -76,11 +76,6 @@ def std_beta(self):
     def t_stat(self):
         return self._make_result(self._t_stat_raw)
 
-    @cache_readonly
-    def _result_index(self):
-        mask = self._ols_result._rolling_ols_call[1]
-        return self._index[mask]
-
     @cache_readonly
     def _results(self):
         return {
@@ -195,8 +190,9 @@ def _make_result(self, result):
 
     @cache_readonly
     def _result_index(self):
-        mask = self._ols_result._rolling_ols_call[1]
-        return self._index[mask]
+        mask = self._ols_result._rolling_ols_call[2]
+        # HACK XXX
+        return self._index[mask.cumsum() >= self._window]
 
     @cache_readonly
     def _results(self):

pandas/stats/tests/test_fama_macbeth.py

@@ -1,15 +1,27 @@
+from pandas import DataFrame, Panel
 from pandas.stats.api import fama_macbeth
 from common import assert_almost_equal, BaseTest
 
+import numpy as np
+
 class TestFamaMacBeth(BaseTest):
     def testFamaMacBethRolling(self):
-        self.checkFamaMacBethExtended('rolling', self.panel_x, self.panel_y)
+        # self.checkFamaMacBethExtended('rolling', self.panel_x, self.panel_y,
+        #                               nw_lags_beta=2)
+
+        df = DataFrame(np.random.randn(50, 10))
+        x = dict((k, df) for k in 'abcdefg')
+        x = Panel.from_dict(x)
+        y = df + DataFrame(0.01 * np.random.randn(50, 10))
+        self.checkFamaMacBethExtended('rolling', x, y, nw_lags_beta=2)
+        self.checkFamaMacBethExtended('expanding', x, y, nw_lags_beta=2)
 
     def checkFamaMacBethExtended(self, window_type, x, y, **kwds):
         window = 25
 
         result = fama_macbeth(y=y, x=x, window_type=window_type, window=window,
                               **kwds)
+        self._check_stuff_works(result)
 
         index =  result._index
         time = len(index)
@@ -31,6 +43,18 @@ def checkFamaMacBethExtended(self, window_type, x, y, **kwds):
 
             assert_almost_equal(reference._stats, result._stats[:, i])
 
+        static = fama_macbeth(y=y2, x=x2, **kwds)
+        self._check_stuff_works(static)
+
+    def _check_stuff_works(self, result):
+        # does it work?
+        attrs = ['mean_beta', 'std_beta', 't_stat']
+        for attr in attrs:
+            getattr(result, attr)
+
+        # does it work?
+        result.summary
+
 if __name__ == '__main__':
     import nose
     nose.runmodule(argv=[__file__,'-vvs','-x','--pdb', '--pdb-failure'],