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incorrect "anti-transform" #18

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vks2 opened this issue Oct 6, 2020 · 1 comment
Open

incorrect "anti-transform" #18

vks2 opened this issue Oct 6, 2020 · 1 comment

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@vks2
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vks2 commented Oct 6, 2020

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

@ChadFulton
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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.

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