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[ENH] VAR and VECM models

See original GitHub issue

@fkiraly update: almost done, all that is missing is predict_interval for VECM.

@fkiraly’s summary of the discussion:

We should interface VAR and VECM from statsmodels.

VAR #1083, #1491
VECM #1141, #2829

Have you considered porting Vector Autoregressions (VAR) and Vector Error Correction Models (VECM) from statsmodels? This would be a great addition. Thank you

Issue Analytics

State:
Created 2 years ago
Reactions:2
Comments:17 (2 by maintainers)

Top GitHub Comments

5reactions

fkiralycommented, Jun 29, 2021

As discussed in the latest mentoring meeting @thayeylolu will be working on this.

The interface will assume pd.DataFrame as input to _fit, and as return from _predict, no other types for the moment.

This means it should eventually be compatible irrespective of whichever of the two proposed designs #980 and #1074 we go with.

FYI, @mloning.

2reactions

fkiralycommented, Jun 29, 2021

Other implementation notes

we should start by writing a short user journey design
the statsmodels adapter may be a good way to go, but needs investigating
tests may also need looking at, e.g., multivariate input generation

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