forecastpanel 0.1.1__tar.gz

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  1. forecastpanel-0.1.1/.gitignore +10 -0
  2. forecastpanel-0.1.1/CHANGELOG.md +33 -0
  3. forecastpanel-0.1.1/CITATION.cff +28 -0
  4. forecastpanel-0.1.1/LICENSE +21 -0
  5. forecastpanel-0.1.1/PKG-INFO +623 -0
  6. forecastpanel-0.1.1/README.md +580 -0
  7. forecastpanel-0.1.1/examples/house_prices_replication.py +75 -0
  8. forecastpanel-0.1.1/examples/monte_carlo_table1.py +39 -0
  9. forecastpanel-0.1.1/examples/small_panel_scenarios.py +67 -0
  10. forecastpanel-0.1.1/pyproject.toml +51 -0
  11. forecastpanel-0.1.1/pytest.ini +7 -0
  12. forecastpanel-0.1.1/src/forecastpanel/__init__.py +55 -0
  13. forecastpanel-0.1.1/src/forecastpanel/_colors.py +148 -0
  14. forecastpanel-0.1.1/src/forecastpanel/_core.py +639 -0
  15. forecastpanel-0.1.1/src/forecastpanel/_dm.py +172 -0
  16. forecastpanel-0.1.1/src/forecastpanel/_engine.py +217 -0
  17. forecastpanel-0.1.1/src/forecastpanel/_evaluation.py +301 -0
  18. forecastpanel-0.1.1/src/forecastpanel/_forecaster.py +409 -0
  19. forecastpanel-0.1.1/src/forecastpanel/_panel.py +318 -0
  20. forecastpanel-0.1.1/src/forecastpanel/_pca.py +57 -0
  21. forecastpanel-0.1.1/src/forecastpanel/_plots.py +240 -0
  22. forecastpanel-0.1.1/src/forecastpanel/_simulate.py +210 -0
  23. forecastpanel-0.1.1/src/forecastpanel/_tables.py +233 -0
  24. forecastpanel-0.1.1/src/forecastpanel/_version.py +1 -0
  25. forecastpanel-0.1.1/src/forecastpanel/datasets/SOURCES.md +16 -0
  26. forecastpanel-0.1.1/src/forecastpanel/datasets/__init__.py +92 -0
  27. forecastpanel-0.1.1/src/forecastpanel/datasets/cpi_subindices.csv.gz +0 -0
  28. forecastpanel-0.1.1/src/forecastpanel/datasets/house_prices.csv.gz +0 -0
  29. forecastpanel-0.1.1/src/forecastpanel/datasets/house_weights.csv.gz +0 -0
  30. forecastpanel-0.1.1/src/forecastpanel/datasets/macro_predictors.csv.gz +0 -0
  31. forecastpanel-0.1.1/tests/conftest.py +33 -0
  32. forecastpanel-0.1.1/tests/fixtures/xc_a_dims.txt +1 -0
  33. forecastpanel-0.1.1/tests/fixtures/xc_a_matlab_forecasts.csv +40 -0
  34. forecastpanel-0.1.1/tests/fixtures/xc_a_y.csv +840 -0
  35. forecastpanel-0.1.1/tests/fixtures/xc_a_z.csv +840 -0
  36. forecastpanel-0.1.1/tests/fixtures/xc_a_zf.csv +40 -0
  37. forecastpanel-0.1.1/tests/fixtures/xc_b_dims.txt +1 -0
  38. forecastpanel-0.1.1/tests/fixtures/xc_b_matlab_forecasts.csv +25 -0
  39. forecastpanel-0.1.1/tests/fixtures/xc_b_y.csv +750 -0
  40. forecastpanel-0.1.1/tests/fixtures/xc_b_z.csv +750 -0
  41. forecastpanel-0.1.1/tests/fixtures/xc_b_zf.csv +25 -0
  42. forecastpanel-0.1.1/tests/fixtures/xc_c_dims.txt +1 -0
  43. forecastpanel-0.1.1/tests/fixtures/xc_c_matlab_forecasts.csv +60 -0
  44. forecastpanel-0.1.1/tests/fixtures/xc_c_y.csv +720 -0
  45. forecastpanel-0.1.1/tests/fixtures/xc_c_z.csv +720 -0
  46. forecastpanel-0.1.1/tests/fixtures/xc_c_zf.csv +60 -0
  47. forecastpanel-0.1.1/tests/test_api.py +125 -0
  48. forecastpanel-0.1.1/tests/test_core.py +129 -0
  49. forecastpanel-0.1.1/tests/test_dm.py +40 -0
  50. forecastpanel-0.1.1/tests/test_reference.py +77 -0
  51. forecastpanel-0.1.1/tests/test_simulate.py +44 -0
forecastpanel-0.1.1/.gitignore ADDED
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+ __pycache__/
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+ *.py[cod]
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+ build/
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+ dist/
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+ *.egg-info/
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+ .pytest_cache/
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+ .venv/
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+ .ipynb_checkpoints/
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+ .coverage
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+ *.mat
forecastpanel-0.1.1/CHANGELOG.md ADDED
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+ # Changelog
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+
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+ ## [0.1.1] - 2026-10-30
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+
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+ ### Fixed
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+ - `ForecastResults.summary()` no longer requires the optional `jinja2` package: the
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+ coefficient table is rendered in LaTeX by the package's own booktabs builder.
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+
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+ ### Changed
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+ - Minimum Python version is 3.10 (tested on 3.10-3.13, Linux and Windows).
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+
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+ ## [0.1.0] - 2026-10-30
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+
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+ ### Added
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+ - Individual, pooled, fixed-effects, random-effects (Goldberger BLUP) and empirical Bayes
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+ panel forecasts, and the combination forecasts of Pesaran, Pick and Timmermann (2026):
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+ common individual/pooled weight (eq. 32), individual/FE weight (eq. 39), unit-specific
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+ weights (eq. 36/46) and equal weights.
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+ - Extensions: bias-adjusted unit weights, mean group, iterative Bayes and Stein-rule shrinkage
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+ (Maddala et al., 1997), Mallows pooling averaging (Wang, Zhang and Paap, 2019), RE BLUP with
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+ AR(1) errors (Baltagi and Li, 1992), hierarchical Bayes (Gibbs sampler), ridge/diagonal
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+ regularisation of Omega for small N.
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+ - `PanelData` with automatic lags, contemporaneous scenario variables and trends; iterated
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+ multi-step forecasts, scenario paths, additive offsets and bootstrap predictive intervals.
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+ - Rolling/expanding pseudo out-of-sample evaluation reproducing Table 2, Table 3 and Figure 1;
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+ panel Diebold-Mariano test (Pesaran, Pick and Pranovich, 2013) and unit DM/HLN tests.
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+ - Monte Carlo design of Section 5.1, pooled R-squared (Table S.1), oracle weights (Table S.4).
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+ - House-price and CPI datasets of the paper's applications.
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+ - Journal-style text/LaTeX tables and figures with the MATLAB Parula colour map.
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+
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+ ### Verified
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+ - Forecasts agree with the authors' MATLAB replication code to 1e-10 and the published Tables 2
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+ and 3 (house prices) are reproduced exactly.
forecastpanel-0.1.1/CITATION.cff ADDED
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+ cff-version: 1.2.0
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+ title: "forecastpanel: Forecasting with panel data in Python"
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+ message: "If you use this software, please cite it and the original paper."
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+ authors:
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+ - family-names: Roudane
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+ given-names: Merwan
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+ email: merwanroudane920@gmail.com
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+ version: 0.1.1
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+ date-released: "2026-10-30"
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+ url: "https://github.com/merwanroudane/forecastpanel"
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+ license: MIT
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+ references:
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+ - type: article
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+ authors:
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+ - family-names: Pesaran
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+ given-names: M. Hashem
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+ - family-names: Pick
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+ given-names: Andreas
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+ - family-names: Timmermann
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+ given-names: Allan
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+ title: "Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity"
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+ journal: "Quantitative Economics"
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+ volume: 17
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+ issue: 2
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+ start: 342
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+ end: 393
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+ year: 2026
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+ doi: "10.3982/QE2589"
forecastpanel-0.1.1/LICENSE ADDED
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+ MIT License
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+
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+ Copyright (c) 2026 Merwan Roudane
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+
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+ Permission is hereby granted, free of charge, to any person obtaining a copy
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+ of this software and associated documentation files (the "Software"), to deal
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+ in the Software without restriction, including without limitation the rights
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+ to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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+ copies of the Software, and to permit persons to whom the Software is
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+ furnished to do so, subject to the following conditions:
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+
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+ The above copyright notice and this permission notice shall be included in all
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+ copies or substantial portions of the Software.
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+
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+ THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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+ IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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+ FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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+ AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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+ LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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+ OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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+ SOFTWARE.