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Bug Found - Lecture 18 (Residual Analysis)
Nathan Ramos
edited

Lecture 18 - Residual Analysis

Towards the bottom in the part called "Example: Market Beta Calculation" in the sub-section called "Breusch-Pagan Heteroscedasticity Test", there is a typo in the code. This line: 

bp_test = smd.het_breushpagan(residuals, model.model.exog)

Should actually be:

bp_test = smd.het_breuschpagan(residuals, model.model.exog)

If you spell breuschpagan wrong without the "c", you'll get:

AttributeError: module 'statsmodels.stats.diagnostic' has no attribute 'het_breushpagan'
2 responses
Dan Whitnable

The method het_breushpagan is correct for statsmodels version 0.6.1 (which is the current Quantopian version). The notebook runs correctly online. However, in subsequent versions, that method was renamed het_breuschpagan (note the added 'c') and in version 0.9 het_breushpagan was removed.

You must be trying to run the notebooks offline with a more recent version of Statsmodels?

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Nathan Ramos

Ahh, ok, makes sense. Yup, was running the lecture in Jupyter lab. I guess if anyone is running the lecture code locally, keep this in mind.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.