Statsmodels: Time Series Models using State Space Methods

by cfulton for Python Software Foundation

This project would extend time series analysis in Statsmodels by making use of the new Statespace module, which currently allows creation and estimation of arbitrary models by end-users but only SARIMAX as a built-in class. It would add: Unobserved components, Vector autoregression, Dynamic factors, and either the Fractionally integrated autoregressive moving average or Minnesota / Litterman priors for VARs. It will improve standard errors and add diagnostic statistics and linear constraints.