QuantEcon/QuantEcon.jl

Feature request: standard econ filters/smoothers

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#131 opened on Jul 19, 2016

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 (15 comments) (0 reactions) (0 assignees)Julia (495 stars) (300 forks)batch import
enhancementhelp wanted

Description

I don't think there are any packages in Julia that implement nice versions of the standard filters used in econ, like the HP filter. See, e.g., time series filters here:

http://statsmodels.sourceforge.net/stable/tsa.html#time-series-filters

This is another important filter, for seasonal adjustment:

https://www.census.gov/srd/www/x13as/x13down_unix.html

In Python and R there are wrappers:

https://github.com/christophsax/seasonal http://statsmodels.sourceforge.net/devel/_modules/statsmodels/tsa/x13.html

but not Julia, as far as I know.

Contributor guide

Tech stack
None
Domain
data
Issue type
feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
4
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
1-2 days
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
stale
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
needs investigation
Prerequisites
Julia programmingunderstanding of time series filtersfamiliarity with statsmodels
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
20
Research direction
The issue requests implementation of standard economic filters such as HP filter and seasonal adjustment (X13 ARIMA) in Julia. Review the references to statsmodels time series filters and the seasonal package for Python/R. Investigate existing Julia packages like TimeSeries.jl or Econometrics.jl for potential integration. The discussion in comments may clarify desired scope and API.