makystats 0.1.0__py3-none-any.whl
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- makystats/__init__.py +77 -0
- makystats/armagarch/DOCUMENTATION.md +649 -0
- makystats/armagarch/README.md +187 -0
- makystats/armagarch/__init__.py +40 -0
- makystats/armagarch/core.py +4644 -0
- makystats/logo_makystats.png +0 -0
- makystats/py.typed +0 -0
- makystats/vecm/DOCUMENTATION.md +618 -0
- makystats/vecm/README.md +107 -0
- makystats/vecm/__init__.py +68 -0
- makystats/vecm/core.py +268 -0
- makystats/vecm/mhm_tables.npz +0 -0
- makystats/vecm/vecm_model.py +1970 -0
- makystats-0.1.0.dist-info/LICENSE +21 -0
- makystats-0.1.0.dist-info/METADATA +539 -0
- makystats-0.1.0.dist-info/RECORD +18 -0
- makystats-0.1.0.dist-info/WHEEL +5 -0
- makystats-0.1.0.dist-info/top_level.txt +1 -0
makystats/__init__.py
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"""
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makystats
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=========
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Bibliothèque d'économétrie appliquée :
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- ``makystats.armagarch`` : ARMA + GARCH / GJR / EGARCH / APARCH / FIGARCH (MLE)
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- ``makystats.vecm`` : VECM et cointégration de Johansen
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Installation
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------------
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pip install makystats
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pip install "makystats[numba]"
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pip install "makystats[plot]"
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Quick start — volatilité
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------------------------
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from makystats import arma_garch, select_order
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res = arma_garch(y, mean='ARMA', ar=1, ma=1, vol='GARCH').fit()
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print(res.coef_table)
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res.plot_diagnostics()
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res.var(alpha=0.05) # ou aggregation="cumulative", h=10
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Quick start — VECM
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------------------
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from makystats import VECM, select_coint_rank
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# ou : from makystats.vecm import VECMModel, JohansenTest, vecm, ...
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rank = select_coint_rank(data, k_ar_diff=1, test_case='3')
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model = VECM(data, k_ar_diff=1, coint_rank=rank.rank, det_case='3a').fit()
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model.summary()
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print(model.forecast(steps=5))
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Sous-packages
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-------------
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from makystats.armagarch import arma_garch, ARMAGarch, select_order
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from makystats.vecm import (
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VECMModel, JohansenTest, select_coint_rank, vecm, VECM,
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summarize_johansen, information_criteria_table,
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mhm_pvalue, mhm_critical,
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)
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"""
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from . import armagarch
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from . import vecm # sous-package (ne pas écraser ce nom)
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from .armagarch import ARMAGarch, arma_garch, select_order
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from .vecm import (
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VECMModel,
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JohansenTest,
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select_coint_rank,
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summarize_johansen,
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information_criteria_table,
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mhm_pvalue,
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mhm_critical,
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)
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# Constructeur fluide au niveau racine sous le nom VECM uniquement.
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# La fonction ``vecm`` reste accessible via ``makystats.vecm.vecm``
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# pour ne pas masquer le sous-package ``makystats.vecm``.
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from .vecm.core import vecm as VECM
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__all__ = [
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"ARMAGarch",
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"arma_garch",
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"select_order",
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"VECM",
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"VECMModel",
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"JohansenTest",
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"select_coint_rank",
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"summarize_johansen",
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"information_criteria_table",
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"mhm_pvalue",
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"mhm_critical",
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"armagarch",
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"vecm", # le sous-package
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]
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__version__ = "0.1.0"
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