Add `.fit_MAP` method to the compiled `statsmodels.tsa.statespace` object

jessegrabowski / gEconpy

A collection of tools for working with DSGE models in python, inspired by the R package gEcon

https://geconpy.readthedocs.io/en/latest/index.html

GNU General Public License v3.0

21 stars 4 forks source link

Add `.fit_MAP` method to the compiled `statsmodels.tsa.statespace` object #19

Open jessegrabowski opened 1 year ago

jessegrabowski commented 1 year ago

Currently, MAP estimation via maximum likelihood using priors defined in the GCN is possible by passing a fit_map=True flag in the .fit method. It would be clearer if there was instead a separate .fit_MAP method on the statespace object with the same function signature as fit.