User guide#

The user guide explains how to do econometrics with cultivars, one family of models or one task at a time. Each page gives the model in its standard notation, runs a verified example, lists the specification choices that matter, and ends with the nuances that are easy to get wrong. The API reference has the exhaustive argument lists; the guide is where to learn which class to reach for and how its parts fit together.

New to the library? Read Quickstart first, then Architecture and Conventions. Those two pages explain the object model and the shape and index rules that every other page assumes.

Find the right page#

Question

Page

How are models, results, schemes and evaluators related?

Architecture

What shape do inputs take? How are returned arrays indexed?

Conventions

Which model fits my data and question?

Choosing a model

What behaves differently from what I would expect?

Nuances and known issues

Is my series stationary, cointegrated, nonlinear, broken?

Diagnostics and specification testing

AR, ARIMA, seasonal ARIMA, ARFIMA, unobserved components

Univariate linear models

GARCH, GJR, EGARCH, FIGARCH, stochastic volatility

Volatility models

Threshold, smooth-transition, Markov-switching, neural AR

Nonlinear and regime-switching univariate models

VAR and VARX: estimation, inference, IRFs, forecasts

Vector autoregressions

VECM, VARMA, panel, global, mixed-frequency, functional, yield curve

Beyond the basic VAR

Recursive, long-run, sign, narrative, proxy and other identification

Structural identification

Bayesian VARs and their priors

Bayesian VARs

Factor models, FAVAR, sparse and network VARs, spillovers

Large and high-dimensional systems

Threshold, smooth-transition, time-varying and switching VARs

Nonlinear, time-varying and regime-switching VARs

Kalman, particle and regime-switching filters

State-space models and filtering

Spectra, band-pass and trend filters, wavelets

Spectral analysis and filtering

Backtests, scoring rules, forecast comparison tests

Forecasting and forecast evaluation

Convergence, predictive checks, marginal likelihood, model averaging

The Bayesian workflow