Fernando da Silva

icon indicating a website link https://fortietwo.com/ icon indicating an email [email protected]

icon company @analisemacropro icon location Brazil icon location I’m a data scientist specialized in economics and finance. I try to solve real world problems with simple models.

Results 2 issues of Fernando da Silva

Adding -1 does not remove the constant from a VAR model

Hello, In trying to estimate a VAR model **without constant** and I noticed that the model is returned with constant even including -1 in the formula specification. The documentation says...

In-sample predictions are not back transformed in ForecasterAutoreg()

2 comment

## The problem In order to generate in-sample predictions (aka fitted values), you need to create training matrices with `.create_train_X_y()` and use it with `.predict()` in the internal regressor, as...

documentation
enhancement