structural break test for SARIMAX and statespace models

ChadFulton / statsmodels

Statsmodels: statistical modeling and econometrics in Python

http://statsmodels.sourceforge.net/devel/

BSD 3-Clause "New" or "Revised" License

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structural break test for SARIMAX and statespace models #6

Open wqp89324 opened 7 years ago

wqp89324 commented 7 years ago

Do you have any plan to implement a structural break test for SARIMAX and statespace models?

Thanks!

ChadFulton commented 7 years ago

There have been discussions about this, but nothing formalized yet. You might be interested in the comments in #3497 as well as the example notebook I posted there.