statsmodels/statsmodels — pull request #815 by jseabold (2013-05-06 03:02:33+00:00)
Title: Clean up VAR

Still a work in progress. Likely take another week or two given I have other obligations this week.

Renames/deprecations
---------------------------------
sigma_u -> cov_resid
sigma_u_mle -> cov_resid_mle
endog -> Y
endog_lagged -> X
detomega -> det_cov_resid
_chol_sigma_u -> _chol_cov_resid
_zz -> _XTX
_cov_alpha -> _cov_params_ex_trend
_cov_sigma -> _cov_cov_resid
intercept -> trend_coefs

Only in call signatures and internally
omega -> cov_resid (or cov_resid_mle depending on context)

For VARX:
X <- contains RHS variables
exog <- contains all exogenous variables

signature for VARX
VAR(Y, ..., exog)

Improves the documentation a bit, though there's still some work to do. Added the VAR notebook. Cleaned up some plotting. Add some functions to the statsmodels.tsa.var namespace through var.api.

Closed Issues
-------------
#99 - Added conf_int with wrappers.
#380 - Fix IRF plotting settings.
#769 - Stale model issue. Issue exists but behavior raises a warning and is deprecated. Added select_order_fit, deprecated maxlags and lag order selection in methods except for select_order, which is now a class method of VAR.
#757 - Legend in forecast plots.
#756 - Initial values in forecasting, addressed. Use of y is deprecated forecast function is not imported into var namespace, if someone needs it.
#234 - cov_params with wrapper.

TODO
----
#142 - Forecasts for trend != 'c' and tests.
#379 - Causality tests (also normality and whiteness)
#671 - In progress. t_test, f_test
#136 - Set verbose to false.
#435 - VAR Predict method

Turn all the smoke tests into real tests.
Clean up the var.rst for refactor.