{"action":"created","issue":{"url":"https://api.github.com/repos/statsmodels/statsmodels/issues/2563","labels_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/2563/labels{/name}","comments_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/2563/comments","events_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/2563/events","html_url":"https://github.com/statsmodels/statsmodels/pull/2563","id":97826993,"number":2563,"title":"ENH: Statespace: Add multivariate models (VARMAX, Dynamic Factors)","user":{"login":"ChadFulton","id":280864,"avatar_url":"https://avatars.githubusercontent.com/u/280864?v=3","gravatar_id":"","url":"https://api.github.com/users/ChadFulton","html_url":"https://github.com/ChadFulton","followers_url":"https://api.github.com/users/ChadFulton/followers","following_url":"https://api.github.com/users/ChadFulton/following{/other_user}","gists_url":"https://api.github.com/users/ChadFulton/gists{/gist_id}","starred_url":"https://api.github.com/users/ChadFulton/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/ChadFulton/subscriptions","organizations_url":"https://api.github.com/users/ChadFulton/orgs","repos_url":"https://api.github.com/users/ChadFulton/repos","events_url":"https://api.github.com/users/ChadFulton/events{/privacy}","received_events_url":"https://api.github.com/users/ChadFulton/received_events","type":"User","site_admin":false},"labels":[],"state":"open","locked":false,"assignee":null,"milestone":null,"comments":11,"created_at":"2015-07-29T00:05:33Z","updated_at":"2015-08-16T07:48:57Z","closed_at":null,"pull_request":{"url":"https://api.github.com/repos/statsmodels/statsmodels/pulls/2563","html_url":"https://github.com/statsmodels/statsmodels/pull/2563","diff_url":"https://github.com/statsmodels/statsmodels/pull/2563.diff","patch_url":"https://github.com/statsmodels/statsmodels/pull/2563.patch"},"body":"Right now this is a first draft. It needs at least:\r\n\r\n- [x] Example notebooks\r\n- [x] Unit tests\r\n- [x] Specialized results classes?"},"comment":{"url":"https://api.github.com/repos/statsmodels/statsmodels/issues/comments/131497693","html_url":"https://github.com/statsmodels/statsmodels/pull/2563#issuecomment-131497693","issue_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/2563","id":131497693,"user":{"login":"ChadFulton","id":280864,"avatar_url":"https://avatars.githubusercontent.com/u/280864?v=3","gravatar_id":"","url":"https://api.github.com/users/ChadFulton","html_url":"https://github.com/ChadFulton","followers_url":"https://api.github.com/users/ChadFulton/followers","following_url":"https://api.github.com/users/ChadFulton/following{/other_user}","gists_url":"https://api.github.com/users/ChadFulton/gists{/gist_id}","starred_url":"https://api.github.com/users/ChadFulton/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/ChadFulton/subscriptions","organizations_url":"https://api.github.com/users/ChadFulton/orgs","repos_url":"https://api.github.com/users/ChadFulton/repos","events_url":"https://api.github.com/users/ChadFulton/events{/privacy}","received_events_url":"https://api.github.com/users/ChadFulton/received_events","type":"User","site_admin":false},"created_at":"2015-08-16T07:48:57Z","updated_at":"2015-08-16T07:48:57Z","body":"Recent PRs include much-improved dynamic factor model which supports:\r\n\r\n- Dynamic factors\r\n- Static factors\r\n- Seemingly unrelated regression\r\n\r\nAll of these optionally with (vector or not) autoregressive errors and the first two can also accommodate exogenous regressors.\r\n\r\nAlso I have added two example notebooks:\r\n\r\n- Dynamic factor models - goes through an example of using DFM to construct a coincident index\r\n- VARMAX - stub notebook that just goes through syntax and shows three short examples. I will wait to do a more involved notebook here until we have more post-estimation results, in particular impulse response functions.\r\n\r\nI don't have anything more planned to do in this PR, except for responding to anything that comes up."}}