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Dear Chad,
Thanks for your work on statsmodels! it's a great and flexible tool.
But there's some calc bug or mistake in dynamic factor model large example? pls see below
In your example anti-transform of GDP are done like it's described here: https://www.bea.gov/help/faq/122
But it doesn't correspond to the function 'transform' that actually transforms gdp variable (with code '5') to stationary according to FRED's defs.
Regards
The text was updated successfully, but these errors were encountered:
Thanks for pointing this out. Yes, I use the approximate percent change formula (log difference * 400) to transform GDP, as in the FREDQD appendix file, and then I use the exact percent change formula to reverse the transformation. I should use the approximate formula again instead.
Dear Chad,
Thanks for your work on statsmodels! it's a great and flexible tool.
But there's some calc bug or mistake in dynamic factor model large example? pls see below
In your example anti-transform of GDP are done like it's described here: https://www.bea.gov/help/faq/122
But it doesn't correspond to the function 'transform' that actually transforms gdp variable (with code '5') to stationary according to FRED's defs.
Regards
The text was updated successfully, but these errors were encountered: