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Allow forecasting with exogenous variables #372

Merged
merged 14 commits into from
Nov 12, 2024
Merged

Allow forecasting with exogenous variables #372

merged 14 commits into from
Nov 12, 2024

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jessegrabowski
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@jessegrabowski jessegrabowski commented Aug 11, 2024 •
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Enable scenario-based forcasting in VARMAX, SARIMAX, and structural models with regressions.

Couple to-dos before its ready for review:

  • 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 jessegrabowski changed the title Allow forcasting with exogenous variables Allow forecasting with exogenous variables Aug 11, 2024
@jessegrabowski jessegrabowski marked this pull request as ready for review October 13, 2024 11:29
ricardoV94
ricardoV94 approved these changes Oct 14, 2024
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Perhaps show the use of the functionality in one of the NBs?

@jessegrabowski
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I agree that this needs some notebooks to show the new usage, but I will do them in a follow up PR

@jessegrabowski jessegrabowski merged commit 9ec521d into pymc-devs:main Nov 12, 2024
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@jessegrabowski jessegrabowski deleted the exog-forecast branch November 12, 2024 08:24
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@ricardoV94 ricardoV94 ricardoV94 approved these changes

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@jessegrabowski @ricardoV94