QuantEcon/QuantEcon.jl

Feature request: standard econ filters/smoothers

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#131 建立於 2016年7月19日

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 (15 留言) (0 反應) (0 負責人)Julia (495 star) (300 fork)batch import
enhancementhelp wanted

描述

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.

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議題類型
feature
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needs investigation
前置要求
Julia programmingunderstanding of time series filtersfamiliarity with statsmodels
新手友善度1-100 的估計分數，表示該議題對首次貢獻者的友善程度。
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研究方向
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.