Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2024-11-03
Number: 24-060/III
Author-Name: Mingxuan Song
Author-Workplace-Name: Vrije Universiteit Amsterdam
Author-Name: Bernhard van der Sluis
Author-Workplace-Name: Erasmus University Rotterdam
Author-Name: Yicong Lin
Author-Workplace-Name: Vrije Universiteit Amsterdam and Tinbergen Institute
Title: PyTimeVar: A Python Package for Trending Time-Varying Time Series Models
Abstract: Time-varying regression models with trends are commonly used to analyze long-term tendencies and evolving relationships in data. However, statistical inference for parameter paths is challenging, and recent literature has proposed various bootstrap methods to address this issue. Despite this, no software package in any language has yet offered the recently developed tools for conducting inference in time-varying regression models. We propose PyTimeVar, a Python package that implements nonparametric estimation along with multiple new bootstrap-assisted inference methods. It provides a range of bootstrap techniques for constructing pointwise confidence intervals and simultaneous bands for parameter curves. Additionally, the package includes four widely used methods for modeling trends and time-varying relationships. This allows users to compare different approaches within a unified environment.
Classification-JEL: C14, C22, C87
Keywords: time-varying, bootstrap, nonparametric estimation, boosted Hodrick-Prescott filter, power-law trend, score-driven, state-space
File-URL: https://papers.tinbergen.nl/24060.pdf
File-Format: application/pdf
File-Size: 1.603.527 bytes
Handle: RePEc:tin:wpaper:20240060