DismalPy

A collection of resources for quantitative economics in Python. Includes:

• a Python wrapper for state space models along with a fast (compiled) Kalman filter, Kalman smoother, and simulation smoother.
• integration with the Statsmodels module to allow maximum likelihood estimation of parameters in state space models, summary tables, diagnostic tests and plots, and post-estimation results.
• parameter estimation using Bayesian posterior simulation methods (either Metropolis-Hastings or Gibbs sampling - see the user guide for details, below), including integration with the PyMC module.
• built-in time series models: SARIMAX, unobserved components, VARMAX, and dynamic factor models.
• high test coverage

Documentation

• User guide
• Reference guide.

Installation

See http://dismalpy.github.io/installation.html for details on installation.

• The up-to-date source code is available on GitHub: http://github.com/dismalpy/dismalpy
• Source distributions and some wheels are available on PyPi: https://pypi.python.org/pypi/dismalpy/

This package has the following dependencies:

• NumPy
• SciPy >= 0.14.0
• Pandas >= 0.16.0
• Cython >= 0.20.0
• Statsmodels >= 0.8.0; note that this has not yet been released, so for the time being the development version must be installed prior to installing DismalPy.

License

Simplified-BSD License

Bug reports

Please submit bug reports to http://github.com/dismalpy/dismalpy/issues