Dates in timeseries models
==========================


.. _tsa_dates_notebook:

`Link to Notebook GitHub <https://github.com/statsmodels/statsmodels/blob/master/examples/notebooks/tsa_dates.ipynb>`_

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   <div class="highlight"><pre><span class="kn">from</span> <span class="nn">__future__</span> <span class="kn">import</span> <span class="n">print_function</span>
   <span class="kn">import</span> <span class="nn">statsmodels.api</span> <span class="kn">as</span> <span class="nn">sm</span>
   <span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
   <span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
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   <h2 id="getting-started">Getting started</h2>
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   <div class="highlight"><pre><span class="n">data</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">datasets</span><span class="o">.</span><span class="n">sunspots</span><span class="o">.</span><span class="n">load</span><span class="p">()</span>
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   <p>Right now an annual date series must be datetimes at the end of the year.</p>
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   <div class="highlight"><pre><span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
   <span class="n">dates</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">tsa</span><span class="o">.</span><span class="n">datetools</span><span class="o">.</span><span class="n">dates_from_range</span><span class="p">(</span><span class="s">&#39;1700&#39;</span><span class="p">,</span> <span class="n">length</span><span class="o">=</span><span class="nb">len</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">endog</span><span class="p">))</span>
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   <h2 id="using-pandas">Using Pandas</h2>
   <p>Make a pandas TimeSeries or DataFrame</p>
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   <div class="highlight"><pre><span class="n">endog</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">TimeSeries</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">endog</span><span class="p">,</span> <span class="n">index</span><span class="o">=</span><span class="n">dates</span><span class="p">)</span>
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   <p>Instantiate the model</p>
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   <div class="highlight"><pre><span class="n">ar_model</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">tsa</span><span class="o">.</span><span class="n">AR</span><span class="p">(</span><span class="n">endog</span><span class="p">,</span> <span class="n">freq</span><span class="o">=</span><span class="s">&#39;A&#39;</span><span class="p">)</span>
   <span class="n">pandas_ar_res</span> <span class="o">=</span> <span class="n">ar_model</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">maxlag</span><span class="o">=</span><span class="mi">9</span><span class="p">,</span> <span class="n">method</span><span class="o">=</span><span class="s">&#39;mle&#39;</span><span class="p">,</span> <span class="n">disp</span><span class="o">=-</span><span class="mi">1</span><span class="p">)</span>
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   <p>Out-of-sample prediction</p>
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   <div class="highlight"><pre><span class="n">pred</span> <span class="o">=</span> <span class="n">pandas_ar_res</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">start</span><span class="o">=</span><span class="s">&#39;2005&#39;</span><span class="p">,</span> <span class="n">end</span><span class="o">=</span><span class="s">&#39;2015&#39;</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="n">pred</span><span class="p">)</span>
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   2005-12-31    20.003317
   2006-12-31    24.703996
   2007-12-31    20.026162
   2008-12-31    23.473657
   2009-12-31    30.858580
   2010-12-31    61.335455
   2011-12-31    87.024666
   2012-12-31    91.321198
   2013-12-31    79.921537
   2014-12-31    60.799428
   2015-12-31    40.374790
   Freq: A-DEC, dtype: float64
   
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   <h2 id="using-explicit-dates">Using explicit dates</h2>
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   <div class="highlight"><pre><span class="n">ar_model</span> <span class="o">=</span> <span class="n">sm</span><span class="o">.</span><span class="n">tsa</span><span class="o">.</span><span class="n">AR</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">endog</span><span class="p">,</span> <span class="n">dates</span><span class="o">=</span><span class="n">dates</span><span class="p">,</span> <span class="n">freq</span><span class="o">=</span><span class="s">&#39;A&#39;</span><span class="p">)</span>
   <span class="n">ar_res</span> <span class="o">=</span> <span class="n">ar_model</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">maxlag</span><span class="o">=</span><span class="mi">9</span><span class="p">,</span> <span class="n">method</span><span class="o">=</span><span class="s">&#39;mle&#39;</span><span class="p">,</span> <span class="n">disp</span><span class="o">=-</span><span class="mi">1</span><span class="p">)</span>
   <span class="n">pred</span> <span class="o">=</span> <span class="n">ar_res</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">start</span><span class="o">=</span><span class="s">&#39;2005&#39;</span><span class="p">,</span> <span class="n">end</span><span class="o">=</span><span class="s">&#39;2015&#39;</span><span class="p">)</span>
   <span class="k">print</span><span class="p">(</span><span class="n">pred</span><span class="p">)</span>
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   [ 20.00331735  24.7039965   20.02616213  23.47365699  30.85857999
     61.33545506  87.024666    91.32119762  79.92153712  60.79942803
     40.37479024]
   
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   <p>This just returns a regular array, but since the model has date information attached, you can get the prediction dates in a roundabout way.</p>
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   <div class="highlight"><pre><span class="k">print</span><span class="p">(</span><span class="n">ar_res</span><span class="o">.</span><span class="n">data</span><span class="o">.</span><span class="n">predict_dates</span><span class="p">)</span>
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   &lt;class &apos;pandas.tseries.index.DatetimeIndex&apos;&gt;
   [2005-12-31, ..., 2015-12-31]
   Length: 11, Freq: A-DEC, Timezone: None
   
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   <p>Note: This attribute only exists if predict has been called. It holds the dates associated with the last call to predict.</p>
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