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Seasonality and VAR
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burakb  
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 More options Aug 28 2012, 5:11 am
From: burakb <burakbayra...@gmail.com>
Date: Tue, 28 Aug 2012 02:11:20 -0700 (PDT)
Local: Tues, Aug 28 2012 5:11 am
Subject: Seasonality and VAR
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Hi all,

What is the standard way of including seasonality in a VAR model? I saw a
"freq" option for VAR, but wasnt sure how to use it. This page

http://statsmodels.sourceforge.net/devel/tsa.html

also talks about sandbox.tsa.fftarma. I have seasonality in a 7 day period
(week), it'd be better of course this is detected by the fitting procedure,
as well as other periods, if they exists in the data.

Thanks,


 
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Skipper Seabold  
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 More options Aug 28 2012, 9:30 am
From: Skipper Seabold <jsseab...@gmail.com>
Date: Tue, 28 Aug 2012 09:29:56 -0400
Local: Tues, Aug 28 2012 9:29 am
Subject: Re: [pystatsmodels] Seasonality and VAR
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On Tue, Aug 28, 2012 at 5:11 AM, burakb <burakbayra...@gmail.com> wrote:
> Hi all,

> What is the standard way of including seasonality in a VAR model? I saw a
> "freq" option for VAR, but wasnt sure how to use it. This page

> http://statsmodels.sourceforge.net/devel/tsa.html

> also talks about sandbox.tsa.fftarma. I have seasonality in a 7 day period
> (week), it'd be better of course this is detected by the fitting procedure,
> as well as other periods, if they exists in the data.

We don't currently have much on seasonality and almost nothing for the
VARs. The frequency option is just with respect to the dates of the
series.

This is an area I hope to improve this fall for the next release after
0.5, time permitting. Any pull requests or discussions of what you
need or want would be useful.

Skipper


 
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