dfm-python 0.4.0__tar.gz → 0.4.2__tar.gz

{dfm_python-0.4.0 → dfm_python-0.4.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: dfm-python
-Version: 0.4.0
+Version: 0.4.2
 Summary: Dynamic Factor Model (DFM) estimation and nowcasting in Python
 Project-URL: Homepage, https://github.com/yourusername/dfm-python
 Project-URL: Documentation, https://github.com/yourusername/dfm-python#readme
@@ -23,12 +23,17 @@ Requires-Dist: hydra-core>=1.3.2
 Requires-Dist: matplotlib>=3.5.0
 Requires-Dist: numpy>=1.24.0
 Requires-Dist: polars>=0.20.0
+Requires-Dist: pyarrow>=22.0.0
+Requires-Dist: pytorch-lightning>=2.0.0
+Requires-Dist: scikit-learn>=1.7.2
 Requires-Dist: scipy>=1.10.0
+Requires-Dist: sktime>=0.40.1
 Requires-Dist: torch>=2.0.0
 Requires-Dist: twine>=6.2.0
 Provides-Extra: all
 Requires-Dist: hydra-core>=1.3.0; extra == 'all'
 Requires-Dist: omegaconf>=2.3.0; extra == 'all'
+Requires-Dist: pytest-cov>=4.0.0; extra == 'all'
 Requires-Dist: pytest>=7.0.0; extra == 'all'
 Requires-Dist: scikit-learn>=1.0.0; extra == 'all'
 Requires-Dist: sktime>=0.27.0; extra == 'all'
@@ -37,6 +42,7 @@ Provides-Extra: db
 Requires-Dist: sqlalchemy>=2.0.0; extra == 'db'
 Provides-Extra: deep
 Provides-Extra: dev
+Requires-Dist: pytest-cov>=4.0.0; extra == 'dev'
 Requires-Dist: pytest>=7.0.0; extra == 'dev'
 Requires-Dist: scikit-learn>=1.0.0; extra == 'dev'
 Provides-Extra: hydra

dfm_python-0.4.2/config/experiment/base.yaml

@@ -0,0 +1,15 @@
+defaults:
+- 'model: dfm'
+- _self_
+data:
+  path: data/sample_data.csv
+  sample_start: null
+  sample_end: null
+output:
+  path: outputs/${experiment.name}
+  save_model: true
+  save_plots: true
+  save_results: true
+description: Base experiment template
+name: base_experiment
+target: null

dfm_python-0.4.2/config/experiment/investment_ddfm.yaml

@@ -0,0 +1,79 @@
+# @package _global_
+defaults:
+  - override /model: ddfm
+  - _self_
+data:
+  path: data/sample_data.csv
+  sample_start: '2000-01-01'
+  sample_end: '2023-12-31'
+description: DDFM model for investment indicators
+name: investment_ddfm
+output:
+  path: outputs/investment_ddfm
+  save_model: true
+  save_plots: true
+  save_results: true
+series:
+- KO3YEARC
+- KOBFDSAAF
+- KOBFINAAF
+- KOBFXSAAF
+- KOBSESI.R
+- KOBSIBCEQ
+- KOBSIBCOQ
+- KOBSIIMER
+- KOBSIIMPR
+- KOBSIXMER
+- KOBUSINVR
+- KOCALL.
+- KOCNFBUSR
+- KOCNFCONR
+- KOCNGOV.D
+- KOCOBUSIR
+- KOCONPMTH
+- KOCONSTRP
+- KOCSEMEMR
+- KOCYLEADR
+- KODBLNEQA
+- KOEMPCONF
+- KOEMPMANF
+- KOEQUIMAE
+- KOEQUIPTE
+- KOEQUITTE
+- KOEXCHINA
+- KOEXNGS.D
+- KOEXPGDSA
+- KOEXPPRCF
+- KOGCFCNSD
+- KOGCFFNVD
+- KOGDP...D
+- KOGFCF..D
+- KOIMNGS.D
+- KOIMPGDDA
+- KOIMPGDSA
+- KOIMPPRCF
+- KOIPALL.G
+- KOIPMIMAG
+- KOLRLTCO
+- KOMPCAPGG
+- KOMPCONDG
+- KOMPRI30G
+- KOMSCAPGG
+- KONETTRDF
+- KONEWCONA
+- KOPICAPGG
+- KOPIMANUG
+- KOPPSRM.F
+- KOPROPRCF
+- KOPSMANUG
+- KORCNST
+- KORELEC
+- KORMACH
+- KORMCMP
+- KOROCOINF
+- KOSHRPRCF
+- KOSIARRLE
+- KOSSBFMBE
+- KOUS$...
+- KOVALCONA
+target: KOGFCF..D

dfm_python-0.4.2/config/experiment/production_dfm.yaml

@@ -0,0 +1,61 @@
+# @package _global_
+defaults:
+  - override /model: dfm
+  - _self_
+data:
+  path: data/sample_data.csv
+  sample_start: '2000-01-01'
+  sample_end: '2023-12-31'
+description: DFM model for production indicators
+name: production_dfm
+output:
+  path: outputs/production_dfm
+  save_model: true
+  save_plots: true
+  save_results: true
+series:
+- KOBFDSAAF
+- KOBFXSAAF
+- KOBSESI.R
+- KOBSIBCEQ
+- KOBSIBCOQ
+- KOBSIHAPR
+- KOBSIXMER
+- KOCALL.
+- KOCNFBUSR
+- KOCNFCONR
+- KOCNGOV.D
+- KOCOBUSIR
+- KOCONPRCF
+- KOCSECEMR
+- KOCSEMEMR
+- KOCSPHIMR
+- KOCYLEADR
+- KOEMPTOTO
+- KOEQUIPTE
+- KOEXCHINA
+- KOEXNGS.D
+- KOEXPGDSA
+- KOEXPPRCF
+- KOGDP...D
+- KOHWRWEMP
+- KOIMNGS.D
+- KOIMPGDSA
+- KOIMPPRCF
+- KOIPALL.G
+- KONETTRDF
+- KONEWCONA
+- KOPIMANUG
+- KOPOPACTE
+- KOPPSRM.F
+- KOPROPRCF
+- KOPSMANUG
+- KORELEC
+- KORMCMP
+- KOROCOINF
+- KOSIAI..E
+- KOUN%TOTQ
+- KOUS$...
+- KOVALCONA
+- KOWRCCNSE
+target: KOGDP...D

dfm_python-0.4.2/config/experiment/production_dfm_high_factors.yaml

@@ -0,0 +1,61 @@
+# @package _global_
+defaults:
+  - override /model: dfm_high_factors
+  - _self_
+data:
+  path: data/sample_data.csv
+  sample_start: '2000-01-01'
+  sample_end: '2023-12-31'
+description: DFM model with high factors for production indicators
+name: production_dfm_high_factors
+output:
+  path: outputs/production_dfm_high_factors
+  save_model: true
+  save_plots: true
+  save_results: true
+series:
+- KOBFDSAAF
+- KOBFXSAAF
+- KOBSESI.R
+- KOBSIBCEQ
+- KOBSIBCOQ
+- KOBSIHAPR
+- KOBSIXMER
+- KOCALL.
+- KOCNFBUSR
+- KOCNFCONR
+- KOCNGOV.D
+- KOCOBUSIR
+- KOCONPRCF
+- KOCSECEMR
+- KOCSEMEMR
+- KOCSPHIMR
+- KOCYLEADR
+- KOEMPTOTO
+- KOEQUIPTE
+- KOEXCHINA
+- KOEXNGS.D
+- KOEXPGDSA
+- KOEXPPRCF
+- KOGDP...D
+- KOHWRWEMP
+- KOIMNGS.D
+- KOIMPGDSA
+- KOIMPPRCF
+- KOIPALL.G
+- KONETTRDF
+- KONEWCONA
+- KOPIMANUG
+- KOPOPACTE
+- KOPPSRM.F
+- KOPROPRCF
+- KOPSMANUG
+- KORELEC
+- KORMCMP
+- KOROCOINF
+- KOSIAI..E
+- KOUN%TOTQ
+- KOUS$...
+- KOVALCONA
+- KOWRCCNSE
+target: KOGDP...D

dfm_python-0.4.2/config/experiment/test_ddfm.yaml

@@ -0,0 +1,26 @@
+# @package _global_
+defaults:
+  - override /model: ddfm
+  - _self_
+data:
+  path: data/sample_data.csv
+  sample_start: '2000-01-01'
+  sample_end: '2023-12-31'
+description: Test DDFM model configuration for unit tests
+name: test_ddfm
+output:
+  path: outputs/test_ddfm
+  save_model: false
+  save_plots: false
+  save_results: false
+series:
+  - KO3YEARC
+  - KOGDP...D
+  - KOEMPTOTO
+  - KOEXPGDSA
+  - KOIMPGDSA
+  - KOCONPRCF
+  - KOPOPACTE
+  - KOHWRWEMP
+target: KOGDP...D
+

dfm_python-0.4.2/config/experiment/test_dfm.yaml

@@ -0,0 +1,26 @@
+# @package _global_
+defaults:
+  - override /model: dfm
+  - _self_
+data:
+  path: data/sample_data.csv
+  sample_start: '2000-01-01'
+  sample_end: '2023-12-31'
+description: Test DFM model configuration for unit tests
+name: test_dfm
+output:
+  path: outputs/test_dfm
+  save_model: false
+  save_plots: false
+  save_results: false
+series:
+  - KO3YEARC
+  - KOGDP...D
+  - KOEMPTOTO
+  - KOEXPGDSA
+  - KOIMPGDSA
+  - KOCONPRCF
+  - KOPOPACTE
+  - KOHWRWEMP
+target: KOGDP...D
+

dfm_python-0.4.2/config/model/ddfm.yaml

@@ -0,0 +1,30 @@
+# DDFM Configuration
+# Note: DDFM does not use block structure - blocks are only for DFM
+# num_factors specifies the total number of factors directly
+
+clock: m
+nan_k: 3
+nan_method: 2
+
+# Neural network architecture
+encoder_layers:
+- 64
+- 32
+num_factors: 2
+activation: tanh
+use_batch_norm: true
+
+# Training parameters
+learning_rate: 0.001
+batch_size: 32
+epochs: 100
+factor_order: 1
+
+# MCMC parameters
+max_iter: 200
+tolerance: 0.0005
+disp: 10
+
+# Idiosyncratic components
+use_idiosyncratic: true
+min_obs_idio: 5

dfm_python-0.4.2/config/model/dfm.yaml

@@ -0,0 +1,42 @@
+ar_clip_max: 0.99
+ar_clip_min: -0.99
+ar_lag: 1
+augment_idio: true
+augment_idio_slow: true
+# Block configurations: define all blocks and their properties
+# Series configs specify which blocks they belong to (optional - defaults to first block)
+blocks:
+  Block_Global:
+    factors: 3
+    ar_lag: 1
+    clock: m
+  Block_Consumption:
+    factors: 1
+    ar_lag: 1
+    clock: m
+  Block_Investment:
+    factors: 1
+    ar_lag: 1
+    clock: m
+  Block_Export:
+    factors: 1
+    ar_lag: 1
+    clock: m
+  Block_Nominal:
+    factors: 1
+    ar_lag: 1
+    clock: m
+  Block_Labor:
+    factors: 1
+    ar_lag: 1
+    clock: m
+clip_ar_coefficients: true
+clock: m
+idio_min_var: 1.0e-08
+idio_rho0: 0.1
+max_iter: 5000
+nan_k: 3
+nan_method: 2
+regularization_scale: 1.0e-05
+threshold: 1.0e-05
+use_regularization: true

dfm_python-0.4.2/config/series/KO3YEARC.yaml

@@ -0,0 +1,12 @@
+series_id: KO3YEARC
+series_name: Corporate 3YR, AA-, Spread
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Investment
+nan_method: 2
+standardization: true
+units: Percent, Annual
+category: Finance
+release: 1

dfm_python-0.4.2/config/series/KOBFDSAAF.yaml

@@ -0,0 +1,11 @@
+series_id: KOBFDSAAF
+series_name: FKI, Domestic Demand, All Industries, Actual
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -5

dfm_python-0.4.2/config/series/KOBFINAAF.yaml

@@ -0,0 +1,12 @@
+series_id: KOBFINAAF
+series_name: FKI, Investment, All Industries, Actual
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Investment
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -5

dfm_python-0.4.2/config/series/KOBFXSAAF.yaml

@@ -0,0 +1,12 @@
+series_id: KOBFXSAAF
+series_name: FKI, Export, All Industries, Actual
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Export
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -5

dfm_python-0.4.2/config/series/KOBSESI_R.yaml

@@ -0,0 +1,11 @@
+series_id: KOBSESI.R
+series_name: BoK, BSI, Economic Sentiment Index
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -5

dfm_python-0.4.2/config/series/KOBSIBCEQ.yaml

@@ -0,0 +1,11 @@
+series_id: KOBSIBCEQ
+series_name: FKI, Business Conditions, All Industries, Prospects, SA
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -35

dfm_python-0.4.2/config/series/KOBSIBCOQ.yaml

@@ -0,0 +1,11 @@
+series_id: KOBSIBCOQ
+series_name: FKI, Business Conditions, All Industries, Actual, SA
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -5

dfm_python-0.4.2/config/series/KOBSIBNER.yaml

@@ -0,0 +1,11 @@
+series_id: KOBSIBNER
+series_name: BoK, BSI, Business Conditions, Non-Manufacturing, Forecast
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -35

dfm_python-0.4.2/config/series/KOBSIBNMR.yaml

@@ -0,0 +1,11 @@
+series_id: KOBSIBNMR
+series_name: FKI, Business Conditions, Non-Manufacturing, Actual
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -5

dfm_python-0.4.2/config/series/KOBSIEMAR.yaml

@@ -0,0 +1,12 @@
+series_id: KOBSIEMAR
+series_name: FKI, Employment, All Industries, Actual
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Labor
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -5

dfm_python-0.4.2/config/series/KOBSIHAPR.yaml

@@ -0,0 +1,12 @@
+series_id: KOBSIHAPR
+series_name: BoK, BSI, Employment Conditions, All Industries, Actual
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Labor
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -5

dfm_python-0.4.2/config/series/KOBSIIMER.yaml

@@ -0,0 +1,12 @@
+series_id: KOBSIIMER
+series_name: BoK, BSI, Facility Investment, Manufacturing, Forecast
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Investment
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -35

dfm_python-0.4.2/config/series/KOBSIIMPR.yaml

@@ -0,0 +1,12 @@
+series_id: KOBSIIMPR
+series_name: BoK, BSI, Facility Investment, Manufacturing, Actual
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Investment
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -5

dfm_python-0.4.2/config/series/KOBSIXMER.yaml

@@ -0,0 +1,12 @@
+series_id: KOBSIXMER
+series_name: BoK, BSI, Export Sales Growth, Manufacturing, Forecast
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Export
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -35

dfm_python-0.4.2/config/series/KOBUSINVR.yaml

@@ -0,0 +1,12 @@
+series_id: KOBUSINVR
+series_name: FKI, Investment, All Industries, Prospects
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Investment
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -35

dfm_python-0.4.2/config/series/KOCALL_.yaml

@@ -0,0 +1,11 @@
+series_id: KOCALL.
+series_name: Bank of Korea Base Rate
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+nan_method: 2
+standardization: true
+units: Percent, Annual
+category: Finance
+release: 1

dfm_python-0.4.2/config/series/KOCNFBUSR.yaml

@@ -0,0 +1,11 @@
+series_id: KOCNFBUSR
+series_name: BoK, BSI, Business Conditions, All Industries, Forecast
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -35

dfm_python-0.4.2/config/series/KOCNFCONR.yaml

@@ -0,0 +1,12 @@
+series_id: KOCNFCONR
+series_name: CSI, Composite Consumer Sentiment Index, Total
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Consumption
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Cnsmr
+release: -5

dfm_python-0.4.2/config/series/KOCNGOV_D.yaml

@@ -0,0 +1,11 @@
+series_id: KOCNGOV.D
+series_name: Consumption, General Government
+frequency: q
+transformation: cha
+blocks:
+- Block_Global
+nan_method: 2
+standardization: true
+units: Chained W, Billions
+category: Macro
+release: 25

dfm_python-0.4.2/config/series/KOCNPER_D.yaml

@@ -0,0 +1,12 @@
+series_id: KOCNPER.D
+series_name: Consumption, Private
+frequency: q
+transformation: cha
+blocks:
+- Block_Global
+- Block_Consumption
+nan_method: 2
+standardization: true
+units: Chained W, Billions
+category: Macro
+release: 25

dfm_python-0.4.2/config/series/KOCOBUSIR.yaml

@@ -0,0 +1,11 @@
+series_id: KOCOBUSIR
+series_name: BoK, BSI, Business Conditions, Composite Business Sentiment Index, KRW
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+nan_method: 2
+standardization: true
+units: Index
+category: Survey, Bsnss
+release: -5

dfm_python-0.4.2/config/series/KOCONPMTH.yaml

@@ -0,0 +1,12 @@
+series_id: KOCONPMTH
+series_name: Building Permits, Floor Area
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Investment
+nan_method: 2
+standardization: true
+units: Index
+category: Investment
+release: 31

dfm_python-0.4.2/config/series/KOCONPRCF.yaml

@@ -0,0 +1,12 @@
+series_id: KOCONPRCF
+series_name: Consumer Prices, Total
+frequency: m
+transformation: chg
+blocks:
+- Block_Global
+- Block_Nominal
+nan_method: 2
+standardization: true
+units: Index
+category: Price
+release: 3