Example: Statespace ARMA(3,3)

statespace_arma33.ipynb

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   "cells": [
    {
     "cell_type": "code",
     "collapsed": false,
     "input": [
      "import numpy as np\n",
      "import pandas as pd\n",
      "import pykf\n",
      "import statsmodels.api as sm"
     ],
     "language": "python",
     "metadata": {},
     "outputs": [],
     "prompt_number": 1
    },
    {
     "cell_type": "code",
     "collapsed": false,
     "input": [
      "# GDP and Unemployment, Quarterly, 1948.1 - 1995.3\n",
      "data = pd.read_csv('GDPC1.csv')\n",
      "dlgdp = np.log(data['VALUE']).diff()[1:]"
     ],
     "language": "python",
     "metadata": {},
     "outputs": [],
     "prompt_number": 2
    },
    {
     "cell_type": "code",
     "collapsed": false,
     "input": [
      "# Start params, taken from Stata\n",
      "start_params = np.r_[\n",
      "    -1.903853, 1.36063, -.4482415,\n",
      "    2.241022, -1.872193, .6310465,\n",
      "    .0088197**2\n",
      "]"
     ],
     "language": "python",
     "metadata": {},
     "outputs": [],
     "prompt_number": 3
    },
    {
     "cell_type": "code",
     "collapsed": false,
     "input": [
      "# Statsmodels\n",
      "mod = sm.tsa.ARMA(np.array(dlgdp), order=(3,3))\n",
      "res = mod.fit(trend='nc', maxiter=0)\n",
      "mod.method = 'mle'\n",
      "sm_start_params = np.r_[start_params[3:6], start_params[:3]]\n",
      "print mod.loglike(sm_start_params)\n",
      "%timeit mod.loglike(sm_start_params)"
     ],
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": [
        "886.154615571\n",
        "1000 loops, best of 3: 792 \u00b5s per loop"
       ]
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": [
        "\n"
       ]
      }
     ],
     "prompt_number": 7
    },
    {
     "cell_type": "code",
     "collapsed": false,
     "input": [
      "# PyKF\n",
      "mod = pykf.ARMA(dlgdp, order=(3,3))\n",
      "print mod.loglike(start_params, True)\n",
      "%timeit mod.loglike(start_params, True)"
     ],
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": [
        "886.154615569\n",
        "1000 loops, best of 3: 566 \u00b5s per loop"
       ]
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": [
        "\n"
       ]
      }
     ],
     "prompt_number": 5
    }
   ],
   "metadata": {}
  }
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}