Tests / eigenvalue_early_warning_stress

Eigenvalue Early Warning Stress

AMBIGUOUSDynamics & CrisesLOW confidence

Description

Figures

Eigenvalue Concentration vs Financial Stress (NFCI)Eigenvalue Concentration vs Financial Stress (NFCI)

Statistics

n eff17
n obs612
p naive2.507e-5
p value0.1270
boot 95ci[-0.1190, 0.4150]
statistic0.1695
spearman rho0.1690
p block bootstrap0.1270

Script

thesis-tests/tests/potential/test_eigenvalue_early_warning.py

Reproduction Steps

cd thesis-tests && source ../.venv/bin/activate
python download_data.py --source all
python run_all.py --test test_eigenvalue_early_warning

Data Sources

  • Chicago Fed NFCI