nowcast-midas 0.0.1__tar.gz

nowcast_midas-0.0.1/LICENSE

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+MIT License
+
+Copyright (c) 2026 Bank of England
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

nowcast_midas-0.0.1/PKG-INFO

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+Metadata-Version: 2.4
+Name: nowcast-midas
+Version: 0.0.1
+Summary: Staggered-Combination MIDAS model
+Author-email: James Kensett <James.Kensett@bankofengland.co.uk>, Paul Labonne <Paul.Labonne@bankofengland.co.uk>, Andre Moreira <Andre.Moreira@bankofengland.co.uk>
+Maintainer-email: James Kensett <James.Kensett@bankofengland.co.uk>, Paul Labonne <Paul.Labonne@bankofengland.co.uk>
+License: MIT
+Requires-Python: >=3.10
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: numpy
+Requires-Dist: jax
+Requires-Dist: scipy
+Requires-Dist: matplotlib
+Requires-Dist: pandas
+Requires-Dist: tqdm
+Provides-Extra: dev
+Requires-Dist: pre-commit; extra == "dev"
+Requires-Dist: pydoclint; extra == "dev"
+Requires-Dist: ruff; extra == "dev"
+Requires-Dist: pyarrow; extra == "dev"
+Requires-Dist: pyfame; extra == "dev"
+Requires-Dist: pytest; extra == "dev"
+Requires-Dist: syrupy; extra == "dev"
+Provides-Extra: docs
+Requires-Dist: zensical; extra == "docs"
+Requires-Dist: mkdocstrings[python]; extra == "docs"
+Provides-Extra: realtime
+Requires-Dist: forecast-realtime>=0.5.3; extra == "realtime"
+Requires-Dist: news_decomp>=0.0.7; extra == "realtime"
+Dynamic: license-file
+
+# Staggered-Combination MIDAS
+Mixed-frequency nowcasting and short-horizon forecasting of quarterly targets (e.g. GDP) from monthly indicators, with forecast combination.
+
+Experimental Python implementation of [Moreira (2025)](https://www.bankofengland.co.uk/macro-technical-paper/2025/nowcasting-gdp-at-the-bank-of-england-a-staggered-combination-midas-approach)
+
+Read the [user manual](docs/index.md) for the full guide.
+
+## Features
+* MIDAS regression with Almon, exponential-Almon, Beta and unrestricted lag polynomials.
+* Quarterly OLS counterpart (`OLS` / `OLSSpec`) for hard quarterly
+  indicators, sharing the same forecasting and dummy interface.
+* Direct multi-horizon forecasting: one model per horizon `h`, fit and stored together.
+* Outlier dummies on the target (`dummy_periods`) absorbed at the target frequency.
+* End-to-end combination pipeline `MidasCombo`:
+    * Average, inverse-error (`mae`, `mse`, `rmse`) and regression
+      weights across indicators.
+    * Rolling-window and discounted-error variants.
+    * Combinations of combinations (a `ComboSpec` can reference other `ComboSpec`s as sources).
+* NLS estimation of non-linear weight schemes (Almon-exp, Beta).
+
+## Project Structure
+
+    ├── src/nowcast_midas/    # Source code
+    ├── docs/            # Zensical documentation site
+    ├── examples/        # Example scripts
+    ├── tests/midas/     # Unit tests
+    └── ...
+
+## Installation
+```bash
+pip install -e .                   # runtime
+pip install -e ".[dev]"            # + test / lint tooling
+pip install -e ".[docs]"           # + Zensical docs build
+```
+
+Python ≥ 3.10.
+
+## Quick start
+```python
+from nowcast_midas import MidasCombo, MidasSpec, OLSSpec, ComboSpec
+from nowcast_midas.utils import sample_combo_data
+
+# Simulated data: three monthly series, one quarterly regressor, and a quarterly target.
+target, regressors, info = sample_combo_data(n_quarters=60, seed=42)
+outlier = info["outlier_date"]
+
+# Two monthly MIDAS indicators and one quarterly OLS indicator.
+midas_monthly_1 = MidasSpec(
+    "monthly_1", method="almon", n_lags=6, dummy_periods=[outlier]
+)
+midas_monthly_2 = MidasSpec(
+    "monthly_2", method="almon", n_lags=6, dummy_periods=[outlier]
+)
+ols_quarterly_1 = OLSSpec("quarterly_1", n_lags=1, dummy_periods=[outlier])
+
+# Two MIDAS models combined via inverse-MSE weights ...
+soft_combo = ComboSpec(
+    name="soft_combo",
+    sources=[midas_monthly_1, midas_monthly_2],
+    method="mse",
+    window=8,
+    discount_rate=0.95,
+)
+
+# ... then merged with a quarterly OLS model via constrained regression.
+final_combo = ComboSpec(
+    name="final_combo",
+    sources=[soft_combo, ols_quarterly_1],
+    method="regression",
+)
+
+model = MidasCombo(combo_specs=final_combo, horizons=3)
+
+model.fit(target=target, regressors=regressors)
+oos = model.forecast()  # wide table: one column per (variable, horizon)
+print(model.summary(horizon=0))
+```
+
+## Selected documentation
+* [SC-MIDAS framework](docs/methods/sc_midas_framework.md)
+* [Weighting schemes](docs/methods/combo.md)
+* [MIDAS model](docs/guide/midas_model.md)
+* [SC-MIDAS pipeline](docs/guide/sc_midas.md)
+* [Real-time analysis](docs/guide/realtime.md)
+
+## Selected examples
+* [MIDAS, MultiMIDAS, and SC-MIDAS](examples/midas.py)
+* [SC-MIDAS with forecast-realtime](examples/realtime_midas.py)
+
+## Contributing
+* See [CONTRIBUTING.md](CONTRIBUTING.md) for details on how to contribute to the code.
+* Open an issue with questions or ideas.
+
+## Main references
+* [Moreira (2025)](https://www.bankofengland.co.uk/macro-technical-paper/2025/nowcasting-gdp-at-the-bank-of-england-a-staggered-combination-midas-approach)
+* [Ghysels, Santa-Clara and Valkanov (2004)](https://escholarship.org/uc/item/9mf223rs)
+* [Ghysels, Sinko and Valkanov (2007)](https://doi.org/10.1080/07474930600972186)
+
+## Data Classification
+Bank of England Data Classification: OFFICIAL BLUE

nowcast_midas-0.0.1/README.md

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+# Staggered-Combination MIDAS
+Mixed-frequency nowcasting and short-horizon forecasting of quarterly targets (e.g. GDP) from monthly indicators, with forecast combination.
+
+Experimental Python implementation of [Moreira (2025)](https://www.bankofengland.co.uk/macro-technical-paper/2025/nowcasting-gdp-at-the-bank-of-england-a-staggered-combination-midas-approach)
+
+Read the [user manual](docs/index.md) for the full guide.
+
+## Features
+* MIDAS regression with Almon, exponential-Almon, Beta and unrestricted lag polynomials.
+* Quarterly OLS counterpart (`OLS` / `OLSSpec`) for hard quarterly
+  indicators, sharing the same forecasting and dummy interface.
+* Direct multi-horizon forecasting: one model per horizon `h`, fit and stored together.
+* Outlier dummies on the target (`dummy_periods`) absorbed at the target frequency.
+* End-to-end combination pipeline `MidasCombo`:
+    * Average, inverse-error (`mae`, `mse`, `rmse`) and regression
+      weights across indicators.
+    * Rolling-window and discounted-error variants.
+    * Combinations of combinations (a `ComboSpec` can reference other `ComboSpec`s as sources).
+* NLS estimation of non-linear weight schemes (Almon-exp, Beta).
+
+## Project Structure
+
+    ├── src/nowcast_midas/    # Source code
+    ├── docs/            # Zensical documentation site
+    ├── examples/        # Example scripts
+    ├── tests/midas/     # Unit tests
+    └── ...
+
+## Installation
+```bash
+pip install -e .                   # runtime
+pip install -e ".[dev]"            # + test / lint tooling
+pip install -e ".[docs]"           # + Zensical docs build
+```
+
+Python ≥ 3.10.
+
+## Quick start
+```python
+from nowcast_midas import MidasCombo, MidasSpec, OLSSpec, ComboSpec
+from nowcast_midas.utils import sample_combo_data
+
+# Simulated data: three monthly series, one quarterly regressor, and a quarterly target.
+target, regressors, info = sample_combo_data(n_quarters=60, seed=42)
+outlier = info["outlier_date"]
+
+# Two monthly MIDAS indicators and one quarterly OLS indicator.
+midas_monthly_1 = MidasSpec(
+    "monthly_1", method="almon", n_lags=6, dummy_periods=[outlier]
+)
+midas_monthly_2 = MidasSpec(
+    "monthly_2", method="almon", n_lags=6, dummy_periods=[outlier]
+)
+ols_quarterly_1 = OLSSpec("quarterly_1", n_lags=1, dummy_periods=[outlier])
+
+# Two MIDAS models combined via inverse-MSE weights ...
+soft_combo = ComboSpec(
+    name="soft_combo",
+    sources=[midas_monthly_1, midas_monthly_2],
+    method="mse",
+    window=8,
+    discount_rate=0.95,
+)
+
+# ... then merged with a quarterly OLS model via constrained regression.
+final_combo = ComboSpec(
+    name="final_combo",
+    sources=[soft_combo, ols_quarterly_1],
+    method="regression",
+)
+
+model = MidasCombo(combo_specs=final_combo, horizons=3)
+
+model.fit(target=target, regressors=regressors)
+oos = model.forecast()  # wide table: one column per (variable, horizon)
+print(model.summary(horizon=0))
+```
+
+## Selected documentation
+* [SC-MIDAS framework](docs/methods/sc_midas_framework.md)
+* [Weighting schemes](docs/methods/combo.md)
+* [MIDAS model](docs/guide/midas_model.md)
+* [SC-MIDAS pipeline](docs/guide/sc_midas.md)
+* [Real-time analysis](docs/guide/realtime.md)
+
+## Selected examples
+* [MIDAS, MultiMIDAS, and SC-MIDAS](examples/midas.py)
+* [SC-MIDAS with forecast-realtime](examples/realtime_midas.py)
+
+## Contributing
+* See [CONTRIBUTING.md](CONTRIBUTING.md) for details on how to contribute to the code.
+* Open an issue with questions or ideas.
+
+## Main references
+* [Moreira (2025)](https://www.bankofengland.co.uk/macro-technical-paper/2025/nowcasting-gdp-at-the-bank-of-england-a-staggered-combination-midas-approach)
+* [Ghysels, Santa-Clara and Valkanov (2004)](https://escholarship.org/uc/item/9mf223rs)
+* [Ghysels, Sinko and Valkanov (2007)](https://doi.org/10.1080/07474930600972186)
+
+## Data Classification
+Bank of England Data Classification: OFFICIAL BLUE

nowcast_midas-0.0.1/pyproject.toml

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+[project]
+name = "nowcast-midas"
+version = "0.0.1"
+
+description = "Staggered-Combination MIDAS model"
+
+authors = [
+    {name="James Kensett", email="James.Kensett@bankofengland.co.uk"},
+    {name="Paul Labonne", email="Paul.Labonne@bankofengland.co.uk"},
+    {name="Andre Moreira", email="Andre.Moreira@bankofengland.co.uk"},
+]
+
+maintainers = [
+    {name="James Kensett", email="James.Kensett@bankofengland.co.uk"},
+    {name="Paul Labonne", email="Paul.Labonne@bankofengland.co.uk"},
+]
+
+license = {text = "MIT"}
+
+readme = "README.md"
+
+requires-python = ">=3.10"
+
+dependencies = [
+    "numpy",
+    "jax",
+    "scipy",
+    "matplotlib",
+    "pandas",
+    "tqdm",
+]
+
+[project.optional-dependencies]
+dev = [
+    "pre-commit",
+    "pydoclint",
+    "ruff",
+    "pyarrow",
+    "pyfame",
+    "pytest",
+    "syrupy",
+]
+
+docs = [
+    "zensical",
+    "mkdocstrings[python]",
+]
+
+realtime = [
+    "forecast-realtime >= 0.5.3",
+    "news_decomp >= 0.0.7",
+]
+
+[build-system]
+requires = ["setuptools"]
+build-backend = "setuptools.build_meta"
+
+[tool.ruff.lint]
+# Exclude files and directories
+exclude = [
+    ".git",
+    ".ruff_cache",
+    "__pycache__",
+    "build",
+    "dist",
+]
+
+[tool.ruff.lint.per-file-ignores]
+"__init__.py" = ["F401"]  # Ignore unused imports in __init__.py files
+
+[tool.pytest.ini_options]
+testpaths = ["tests"]

nowcast_midas-0.0.1/setup.cfg

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+[egg_info]
+tag_build = 
+tag_date = 0
+

nowcast_midas-0.0.1/src/nowcast_midas/__init__.py

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+from .midas import MIDAS, FittedMidas
+from .midas_combo import MidasCombo
+from .multi_midas import FittedMultiMidas, MultiMIDAS, VariableFit
+from .ols import OLS, FittedOLS
+from .specs import ComboSpec, MidasSpec, MultiMidasSpec, OLSSpec, VariableSpec
+
+__all__ = [
+    "MIDAS",
+    "OLS",
+    "ComboSpec",
+    "FittedMidas",
+    "FittedMultiMidas",
+    "FittedOLS",
+    "MidasCombo",
+    "MidasSpec",
+    "MultiMIDAS",
+    "MultiMidasSpec",
+    "OLSSpec",
+    "VariableFit",
+    "VariableSpec",
+]