Tests / keff_credit_spreads_threshold

Keff Credit Spreads Threshold

AMBIGUOUSCES PotentialLOW confidence

Description

Figures

K_eff Threshold Test: Piecewise RegressionK_eff Threshold Test: Piecewise Regression

Statistics

r20.0651
n low509
n high127
p value0.5847
statistic-0.0105
interaction p0.5847
interaction t-0.5468
beta base slope0.0357
beta interaction-0.0105
nfci 80pct threshold0.2997
beta high total slope0.0252

Script

thesis-tests/tests/potential/test_keff_credit_spreads.py

Reproduction Steps

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

Data Sources

  • Chicago Fed NFCI