"""
Name : c8_36_Durbin_WatSon_.py
Book : Python for Finance (2nd ed.)
Publisher: Packt Publishing Ltd.
Author : Yuxing Yan
Date : 6/6/2017
email : yany@canisius.edu
paulyxy@hotmail.com
"""
import pandas as pd
from scipy import stats
import statsmodels.formula.api as sm
import statsmodels.stats.stattools as tools
from matplotlib.finance import quotes_historical_yahoo_ochl as getData
#
begdate=(2012,1,1)
enddate=(2016,12,31)
#
def dailyRet(ticker,begdate,enddate):
p =getData(ticker, begdate, enddate,asobject=True,adjusted=True)
return p.aclose[1:]/p.aclose[:-1]-1
retIBM=dailyRet('IBM',begdate,enddate)
retMkt=dailyRet('^GSPC',begdate,enddate)
df = pd.DataFrame({"Y":retIBM, "X": retMkt})
result = sm.ols(formula="Y ~X", data=df).fit()
print(result.params)
residuals=result.resid
print("Durbin Watson")
print(tools.durbin_watson(residuals))
