Saturday, April 23, 2011

Statsmodels: GSoC Prelim

This is my first entry in my Statsmodels Project Summer 2011 blog. I will update this blog weekly as the summer goes by with information regarding progress on my work for the scikits.statsmodels Python library.

In order to complete the preparation process for the statsmodels Google Summer of Code sponsorship, I wrote a quick patch that included a cointegration test. As of now, the test can only be run on a bivariate system with a simple Dickey-Fuller test on the residuals, using the Mackinnon [1] critical values. I would like to expand the functionality of this test to allow for Augmented Dickey-Fuller tests of the residuals and also tests of multivariate cointegrated systems. This patch served as a nice way to dive into what time series methods scikits.statsmodels currently includes in its toolbox and where to go from here.