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Questions tagged [varmax]

10 questions
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VARMAX Results extend causes ValueError: array must not contain infs or NaNs

I'm trying to extend a VARMAX model with new observations in order to do forward-walking validation. However, my VARMAXResults.extend() is throwing a ValueError. Reproducible example: #---- This returns: ValueError: array must not contain infs or…
C8H10N4O2
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running VARMAX in Python with a different and separate regressor for the equations

I would like to assign a specific exogenous variable to a specific regression. In specific, consider the code below. How can I restrict beta.exog_only_for_inc_equation coefficient to be zero for equation dln_inv and restrict…
tolga akcura
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Statsmodels VARMAX: confidence / predication intervals with more than one endogenous variable

I am trying to recover confidence/prediction intervals in Python Statsmodels (Version 0.12.1) with two or more endogenous (y) variables, as is common in VARMAX. The following example correctly predicts the in-sample and out-sample means for two…
Kent Smetters
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Best method to impute time series with missing values in early years when time series will be differenced

I am building a VARMAX model with endogenous and exogenous time series variables. The dataset consists of years 1950-2019 for all time series variables except one exogenous variable which was not available until 1982. The time series are not…
KateBon
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VARMAX model in r | Fit VARMA model including exogenous variable

Working on VARX model and I want to include MA term here but I have not found any package in R to build VARMAX model. MTS package can be used to fit VARMA model but I want to include exogenous variables while fitting the model. is there any R…
Aditya Malani
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Multiple errors in running statsmodels VARMAX with exogenous variables

I'm trying to estimate a statsmodel VARMAX with one endogenous variable (the one i'm intersted in, the 'ker_rf') and a serie of exogenous variables. The setting is roughly this: from statsmodels.tsa.statespace.varmax import VARMAX from…
applebar
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SIGNALS in matlab /ARMAX METHOD

Hello guys this is my first time in stackoverflow and i am new as a matlab user(2019b). I have a problem with armax model.First of all i want you to describe you my exercise so i have a signal with input x and output y with 10000 value each and i…
Γιώργος Γεωργίου
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While implementing VARMAX model in python, the error comes that leading minor is not positive definite

I am working on time series VARMAX model in python with 18000 rows of data and 6 parameters. Repeatedly while fitting the VARMAX model, it says " leading minor is not positive definite" or "matrix is not positive definite". Can somebody help in…
sonakshi garg
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VARMAX modelling in SAS

I want to know what the difference is when inserting variables in proc reg and then forecast the residuals with VARMAX and inserting the significant variables from proc reg to the VARMAX modelling. In code: Proc reg data=x…
Forecaster
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ValueError while using fittedvalues function in python

I'm trying to fit a multivariate timeseries data which has been predicted using the VARMAX model but when I try to convert the data to panda series it gives me the following error. ValueError: The truth value of a DataFrame is ambiguous. Use…
Shaikh Abuzar
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