QuantEcon/QuantEcon.jl

Feature request: standard econ filters/smoothers

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#131 opened on Jul 19, 2016

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 (15 comments) (0 reactions) (0 assignees)Julia (300 forks)batch import
enhancementhelp wanted

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Description

I don't think there are any packages in Julia that implement nice versions of the standard filters used in econ, like the HP filter. See, e.g., time series filters here:

http://statsmodels.sourceforge.net/stable/tsa.html#time-series-filters

This is another important filter, for seasonal adjustment:

https://www.census.gov/srd/www/x13as/x13down_unix.html

In Python and R there are wrappers:

https://github.com/christophsax/seasonal http://statsmodels.sourceforge.net/devel/_modules/statsmodels/tsa/x13.html

but not Julia, as far as I know.

Contributor guide

Research direction
Research existing Julia packages for time series filters (e.g., TimeSeries.jl) and implement wrappers for HP filter and X13 ARIMA seasonal adjustment. Use Python/R implementations as reference.
Tech stack
julia
Domain
data
Issue type
Feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
Half day
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
Stale
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
Clear
Prerequisites
Juliatime series analysis
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
45