Lagged variables in formula
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Assessment
- Difficulty
- 5/5
- Estimated time
- Over a week
- Newbie friendliness
- 20/100
Research direction
The issue does not name files or tests. Start by reviewing Patsy's existing formula support and the requested EViews-style syntax; done would mean a documented, tested approach for lagged variables and weights without relying on external developments.
Written by the indexing model from the issue text.
Description
Could it be possible that patsy support for lagged variables and weights be added? For an econometrician like me it would be of great help not to depend on external developments for working formulas like:
varalpha varalpha(-1) (((varbac*2.1)+(varbac(-1)*1.4)+(varbac(-2)*0.2)+(varbac(-3)0.3))/4) (((varac0.1)+(varac(-1)*3.5)+(varac(-2)*0.1)+(varac(-3)0.3))/4) (((varep2.4)+(varep(-1)*0.1)+(varep(-2)0.5))/3) (((varrl2.2)+(varrl(-2)*0.7)+(varrl(-3)0.1))/3) (((varrs0.8)+(varrs(-1)1.2))/2) (((vartc0.9)+(vartc(-1)*1.8)+(vartc(-2)*0.1)+(vartc(-3)1.2))/4) varaah (((vargs1.1)+(vargs(-1)*1.9)+(vargs(-2)*0.7)+(vargs(-3)0.3))/4) (((vargc0.1)+(vargc(-1)*3.6)+(vargc(-2)*0.1)+(vargc(-3)*0.2))/4)
that I used to work on EViews?
Python with Statsmodel, Pandas and Patsy is a very powerful working environment, but without this developing it is not of big use to econometricians.
Thanks
- Dominant language
- Python
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