ChadFulton
ChadFulton
/ setar_model.py
Created
July 10, 2013 01:41
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| """ | |
| Self-Exciting Threshold Autoregression | |
| References | |
| ---------- | |
| Hansen, Bruce. 1999. | |
| "Testing for Linearity." | |
| Journal of Economic Surveys 13 (5): 551-576. | |
| """ |
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| diff --git a/statsmodels/regression/linear_model.py b/statsmodels/regression/linear_model.py | |
| index e4be23e..d7cf538 100644 | |
| --- a/statsmodels/regression/linear_model.py | |
| +++ b/statsmodels/regression/linear_model.py | |
| @@ -90,7 +90,7 @@ class RegressionModel(base.LikelihoodModel): | |
| self.df_resid = self.nobs - self.rank | |
| self.df_model = float(rank(self.exog) - self.k_constant) | |
| - def fit(self, method="pinv", **kwargs): | |
| + def _fit(self, method="pinv", **kwargs): |
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| { | |
| "metadata": { | |
| "name": "SETAR Example - Sunspots" | |
| }, | |
| "nbformat": 3, | |
| "nbformat_minor": 0, | |
| "worksheets": [ | |
| { | |
| "cells": [ | |
| { |
ChadFulton
/ structural_change.py
Created
September 3, 2013 16:35
SupF test for structural breaks, allowing multiple structural breaks, from Bai and Perron.
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| """ | |
| Structural Change | |
| References | |
| ---------- | |
| Bai, Jushan, and Pierre Perron. 1998. | |
| "Estimating and Testing Linear Models with Multiple Structural Changes." | |
| Econometrica 66 (1) (January 1): 47-78. |
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| """ | |
| Smooth Transition Autoregression | |
| References | |
| ---------- | |
| Dijk, Dick van, Timo Terasvirta, and Philip Hans Franses. 2002. | |
| "Smooth Transition Autoregressive Models - a Survey of Recent Developments." | |
| Econometric Reviews 21 (1): 1-47. |
ChadFulton
/ hamilton_filter.pyx
Created
September 15, 2013 12:08
Markov Switching Models - first pass at the Filter / Maximum Likelihood Estimation.
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| import numpy as np | |
| cimport numpy as np | |
| cimport cython | |
| DTYPE = np.float64 | |
| ctypedef np.float64_t dtype_t | |
| @cython.boundscheck(False) | |
| @cython.wraparound(False) | |
| def hamilton_filter(int nobs, | |
| int nstates, |
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| { | |
| "metadata": { | |
| "name": "" | |
| }, | |
| "nbformat": 3, | |
| "nbformat_minor": 0, | |
| "worksheets": [ | |
| { | |
| "cells": [ | |
| { |
ChadFulton
/ blas_fused.pyx
Created
June 4, 2014 16:31
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| # Typical imports | |
| from cpython cimport PyCObject_AsVoidPtr | |
| import numpy as np | |
| cimport numpy as np | |
| cimport cython | |
| # BLAS / LAPACK functions | |
| from blas_lapack cimport * | |
| from scipy.linalg import blas, lapack |
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ChadFulton
/ _dStatespace.html
Last active
August 29, 2015 14:03
Literate Programming Output: _statespace
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| <!DOCTYPE html> | |
| <html> | |
| <head> | |
| <meta http-equiv="content-type" content="text/html;charset=utf-8"> | |
| <title>_statespace.pyx</title> | |
| <style> | |
| /*--------------------- Layout and Typography ----------------------------*/ | |
| body { | |
| font-family: 'Palatino Linotype', 'Book Antiqua', Palatino, FreeSerif, serif; | |
| font-size: 16px; |
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