econometrics
Runs econometric tests on price/return series to identify stationarity, cointegration, causality, and other properties, supporting pairs trading and time-series modeling.
Instructions
Statistical/econometric tests on price or return series (unit root: ADF/KPSS/Phillips-Perron/Zivot-Andrews, cointegration: Engle-Granger/Johansen, Granger causality, ARCH-LM, Jarque-Bera, Ljung-Box, Variance Ratio, CUSUM, Diebold-Mariano forecast comparison). Use for pairs-trading/spread-modeling foundations or diagnosing return-series properties. Requires tickers='AAPL' — use comma-separated values for multiple tickers.
Available indicators: get_arch_lm_test, get_arima_forecast, get_augmented_dickey_fuller, get_breusch_pagan_test, get_chow_test, get_cusum_test, get_diebold_mariano_test, get_difference_in_differences, get_durbin_watson_test, get_engle_granger_cointegration, get_event_study, get_f_test, get_fama_macbeth_regression, get_fixed_effects, get_gls, get_granger_causality, get_hausman_test, get_hausman_wu_test, get_impulse_response_function, get_iv_2sls, get_jarque_bera_test, get_johansen_cointegration, get_kpss_test, get_likelihood_ratio_test, get_ljung_box_test, get_logistic_regression, get_mae, get_ols, get_out_of_sample_validation, get_phillips_perron_test, get_probit_regression, get_propensity_score_matching, get_quantile_regression, get_ramsey_reset_test, get_random_effects, get_regression_discontinuity, get_rmse, get_synthetic_control, get_two_sample_t_test, get_var_forecast, get_variance_decomposition, get_variance_ratio_test, get_vecm_forecast, get_vif, get_wald_test, get_white_test, get_wls, get_zivot_andrews_test.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| d | No | Value for d. | |
| p | No | Value for p. | |
| q | No | Value for q. Leave unset to use the default of the indicator you selected. Defaults are 1 for get_arima_forecast, get_out_of_sample_validation; 2 for get_variance_ratio_test. | |
| tau | No | Value for tau. | |
| lags | No | Value for lags. Leave unset to use the default of the indicator you selected. Defaults are 1 for get_impulse_response_function, get_out_of_sample_validation, get_var_forecast, get_variance_decomposition; None for get_kpss_test, get_phillips_perron_test; 10 for get_ljung_box_test; 5 for get_arch_lm_test. | |
| loss | No | Value for loss. | squared |
| trim | No | Value for trim. | |
| model | No | Value for model. | arima |
| omega | No | Value for omega. Leave unset to use the default of the indicator you selected. Required by: get_gls. | |
| power | No | Value for power. | |
| column | No | Value for column. Leave unset to use the default of the indicator you selected. Defaults differ between indicators. | |
| cutoff | No | Value for cutoff. Leave unset to use the default of the indicator you selected. Required by: get_regression_discontinuity. | |
| kernel | No | Value for kernel. | uniform |
| period | No | Observation frequency, e.g. 'monthly', 'quarterly', or 'annual'. | |
| caliper | No | Value for caliper. | |
| lambda_ | No | Value for lambda_. | |
| max_lag | No | Value for max_lag. Leave unset to use the default of the indicator you selected. Defaults are None for get_augmented_dickey_fuller, get_engle_granger_cointegration, get_zivot_andrews_test; 5 for get_granger_causality. | |
| maxlags | No | Value for maxlags. | |
| periods | No | Value for periods. | |
| tickers | No | Comma-separated ticker symbols, e.g. 'AAPL,MSFT,GOOGL'. | |
| weights | No | Value for weights. Leave unset to use the default of the indicator you selected. Required by: get_wls. | |
| clusters | No | Value for clusters. | |
| cov_type | No | Value for cov_type. | nonrobust |
| end_date | No | End of the date range in YYYY-MM-DD format. | 2026-08-19 |
| gap_days | No | Value for gap_days. | |
| method_a | No | Value for method_a. | ewma |
| method_b | No | Value for method_b. | rolling |
| bandwidth | No | Value for bandwidth. | |
| det_order | No | Value for det_order. | |
| indicator | Yes | Name of the specific metric to calculate, e.g. 'get_asset_turnover_ratio'. Required — omitting it returns the list of available indicators. | |
| k_ar_diff | No | Value for k_ar_diff. | |
| quarterly | No | Return quarterly data instead of annual when True. | |
| break_date | No | Value for break_date. Leave unset to use the default of the indicator you selected. Required by: get_chow_test. | |
| event_date | No | Value for event_date. Leave unset to use the default of the indicator you selected. Required by: get_event_study. | |
| regression | No | Value for regression. | c |
| start_date | No | Start of the date range in YYYY-MM-DD format. | 2021-08-20 |
| n_bootstrap | No | Value for n_bootstrap. | |
| window_size | No | Value for window_size. | |
| add_constant | No | Value for add_constant. | |
| show_columns | No | Comma-separated names to filter the output. For historical data use the key names visible in any response record (e.g. 'Close,Volume,Return'). For financial statements use the 'metric' field values from the response (e.g. 'Revenue,Net Income,EBITDA'). Call the tool once without this parameter to see all available names, then repeat with show_columns to reduce response size and token usage. | |
| significance | No | Value for significance. | |
| time_effects | No | Value for time_effects. | |
| asset_tickers | No | Value for asset_tickers. | |
| donor_tickers | No | Value for donor_tickers. | |
| other_tickers | No | Value for other_tickers. | |
| within_period | No | Value for within_period. | |
| entity_effects | No | Value for entity_effects. | |
| equal_variance | No | Value for equal_variance. | |
| factor_tickers | No | Value for factor_tickers. | |
| forecast_steps | No | Value for forecast_steps. | |
| orthogonalized | No | Value for orthogonalized. | |
| pre_event_days | No | Value for pre_event_days. | |
| suspect_ticker | No | Value for suspect_ticker. Leave unset to use the default of the indicator you selected. Required by: get_hausman_wu_test. | |
| train_fraction | No | Value for train_fraction. | |
| treated_ticker | No | Value for treated_ticker. Leave unset to use the default of the indicator you selected. Required by: get_synthetic_control. | |
| treatment_date | No | Value for treatment_date. Leave unset to use the default of the indicator you selected. Required by: get_difference_in_differences. | |
| control_tickers | No | Value for control_tickers. | |
| post_event_days | No | Value for post_event_days. | |
| treated_tickers | No | Value for treated_tickers. Leave unset to use the default of the indicator you selected. Required by: get_difference_in_differences. | |
| benchmark_ticker | No | Ticker used as the market benchmark, e.g. 'SPY' or '^GSPC'. | SPY |
| dependent_ticker | No | Value for dependent_ticker. Leave unset to use the default of the indicator you selected. Required by: get_f_test, get_hausman_wu_test, get_iv_2sls, get_likelihood_ratio_test, get_propensity_score_matching, get_regression_discontinuity. Defaults are None for get_breusch_pagan_test, get_chow_test, get_durbin_watson_test, get_event_study, get_gls, get_logistic_regression, get_ols, get_probit_regression, get_quantile_regression, get_ramsey_reset_test, get_wald_test, get_white_test, get_wls. | |
| include_constant | No | Value for include_constant. | |
| treatment_period | No | Value for treatment_period. Leave unset to use the default of the indicator you selected. Required by: get_synthetic_control. | |
| treatment_ticker | No | Value for treatment_ticker. Leave unset to use the default of the indicator you selected. Required by: get_propensity_score_matching. | |
| covariate_tickers | No | Value for covariate_tickers. Leave unset to use the default of the indicator you selected. Required by: get_propensity_score_matching. | |
| dependent_tickers | No | Value for dependent_tickers. | |
| endogenous_ticker | No | Value for endogenous_ticker. Leave unset to use the default of the indicator you selected. Required by: get_iv_2sls. | |
| estimation_window | No | Value for estimation_window. | |
| exogenous_tickers | No | Value for exogenous_tickers. | |
| include_benchmark | No | Value for include_benchmark. | |
| independent_column | No | Value for independent_column. | |
| instrument_tickers | No | Value for instrument_tickers. Leave unset to use the default of the indicator you selected. Required by: get_hausman_wu_test, get_iv_2sls. | |
| restriction_matrix | No | Value for restriction_matrix. Leave unset to use the default of the indicator you selected. Required by: get_wald_test. | |
| restriction_values | No | Value for restriction_values. | |
| independent_tickers | No | Value for independent_tickers. | |
| treatment_threshold | No | Value for treatment_threshold. | |
| running_variable_ticker | No | Value for running_variable_ticker. Leave unset to use the default of the indicator you selected. Required by: get_regression_discontinuity. | |
| other_independent_tickers | No | Value for other_independent_tickers. | |
| restricted_independent_tickers | No | Value for restricted_independent_tickers. Leave unset to use the default of the indicator you selected. Required by: get_f_test, get_likelihood_ratio_test. | |
| unrestricted_independent_tickers | No | Value for unrestricted_independent_tickers. Leave unset to use the default of the indicator you selected. Required by: get_f_test, get_likelihood_ratio_test. |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |