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Allow forecasting with exogenous variables

Open jessegrabowski opened this issue 6 months ago • 0 comments

Enable scenario-based forcasting in VARMAX, SARIMAX, and structural models with regressions.

Couple to-dos before its ready for review:

  • [x] Carefully check the timing on the forecasting. Things seem to be shifted forward by 1 or 2 periods.
  • [ ] Recycle the exogenous forecasting code to allow in-sample counterfactual scenarios using sample_conditional_posterior or sample_conditional_prior.
  • [ ] Update relevant example notebooks to show how to use the scenario tools

Otherwise things seem to be working

jessegrabowski avatar Aug 11 '24 14:08 jessegrabowski