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Bugfix Fork of statsmodels

Project description

[statsmodels]( is an excellent
project and important part of the python scientific stack. But due to resource
constraints, they cannot push out bugfixes often enough for my needs. sm2
is a fork focused on bugfixes and addressing technical debt.

Ideally sm2 will be a drop-in replacement for statsmodels. In places where
this fails, feel free to open an issue.

With luck, fixes made here will eventually be ported upstream.

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Changes vs Statsmodels
- sm2 contains a subset of the functionality of statsmodels. The first big
difference is that statsmodels is more feature-complete.

- Test coverage statistics reported for sm2 are meaningful (:issue:`4331`)

- An enormous amount of code-cleanup has been done in sm2. Thousands of lines
of unused, untested, or deprecated code have been removed. _Many_ thousands
of flake8 formatting issues have been cleaned up.

- `MultinomialResults.params` and `predict` will have correct column and row
labels (:issue:`4541`)

- `VARResults.cov_params` will correctly return a `DataFrame` instead
of raising `ValueError`.

- `VARResults.acf` will return correct results (:issue:`4572`)

- The `ArmaProcess` class does not have a `nobs` attribute.

- `tsa.stattools.acf` will always return `(acf, confint, qstat, pvalue)` here
instead of a different subset of these depending on the inputs.

- stats.diagnostic.acorr_ljungbox will always return
`(qljungbox, pval, qboxpierce, pvalbp)` here instead of a different subset
of these depending on the inputs.

- `summary2` methods have not been ported from upstream, will
raise `NotImplementedError`.

- `VARResults.test_whiteness` has been superceeded upstream by
`test_whiteness_new` as the older method was not an actual statistical
test (:issue:`4036`). `sm2` replaces the older version entirely and keeps
only the name `test_whiteness`.

- `` incorrectly sets `model.df_resid` upstream. That has been
fixed here.

- `GenericLikelihoodModelResults.__init__` incorrectly sets `model.df_resid`
and `model.df_model`. That has been fixed here.

- `` incorrect sets `` and `self.scale`.
This has been fixed here. (:issue:`4032`)

- `LikelihoodModelResults._get_robustcov_results` incorrectly ignores
`use_self` argument. This has been fixed here. (:issue:`4401`)

Issues and Pull Requests are welcome. If you are looking a place to start,
here are some suggestions:

- Search for comments starting with `# TODO:` or `# FIXME:`
- Some comments are copied from upstream and _should_ have these labels
but are missing them. If you find a comment that should have one of
these labels (or is just unclear), add the label.

- Many tests from upstream are marked with `pytest.mark.not_vetted` to reflect
the fact that they haven't been reviewed since being ported from statsmodels.
To "vet" a test, try to determine:
- Is this a "smoke test"? If so, it should be marked with
- Is this a test for a specific bug? Can an Issue reference
(e.g. `# GH#1234`) be included?
- Is there something specific being tested? If so, the test name should
be made informative and often a comment should be added
(e.g. `# test function in case where baz argument is
- Is this testing results produced by statsmodels/sm2 against results
produced by another package? If so, it should be clear how those results
were produced. The original authors put a lot of effort into producing
these comparisons; they should be reproducible.

- There are some spots where tests are meager and could use some attention:
- `tsa.vector_ar.irf`
- `regression._prediction`
- `stats.sandwich_covariance`

- As of 2018-03-19 there are still 390 flake8 warnings/errors. For many of
these, fixing them requires figuring out what the writer's attention was

- As of 2018-03-19 about 20% of statsmodels has been ported to sm2 (though a
much larger percentage of the usable, non-redundant, non-deprecated code).
If there are portions of statsmodels that you want or need, don't be shy.

- If there is a change you parrticularly like, make a Pull Request upstream
to get it implemented directly in statsmodels.

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