Metadata-Version: 2.1
Name: mixvecm
Version: 1.0.2
Summary: Vector Error Correction Models with Mixed I(0) and I(1) Variables
Author-email: Dr Merwan Roudane <merwanroudane920@gmail.com>
Maintainer-email: Dr Merwan Roudane <merwanroudane920@gmail.com>
License: MIT
Project-URL: Homepage, https://github.com/merwanroudane/mixvecm
Project-URL: Documentation, https://github.com/merwanroudane/mixvecm#readme
Project-URL: Repository, https://github.com/merwanroudane/mixvecm.git
Project-URL: Issues, https://github.com/merwanroudane/mixvecm/issues
Project-URL: Changelog, https://github.com/merwanroudane/mixvecm/blob/main/CHANGELOG.md
Keywords: vecm,vector error correction,cointegration,time series,econometrics,mixed integration,I(0),I(1),johansen test,impulse response,macroeconometrics
Classifier: Development Status :: 4 - Beta
Classifier: Intended Audience :: Science/Research
Classifier: Intended Audience :: Education
Classifier: Operating System :: OS Independent
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.8
Classifier: Programming Language :: Python :: 3.9
Classifier: Programming Language :: Python :: 3.10
Classifier: Programming Language :: Python :: 3.11
Classifier: Programming Language :: Python :: 3.12
Classifier: Topic :: Scientific/Engineering :: Mathematics
Classifier: Topic :: Scientific/Engineering :: Information Analysis
Classifier: Topic :: Office/Business :: Financial :: Investment
Requires-Python: >=3.8
Description-Content-Type: text/markdown
Requires-Dist: numpy>=1.20.0
Requires-Dist: scipy>=1.7.0
Requires-Dist: pandas>=1.3.0
Requires-Dist: statsmodels>=0.13.0
Requires-Dist: matplotlib>=3.4.0
Provides-Extra: dev
Requires-Dist: pytest>=7.0.0; extra == "dev"
Requires-Dist: pytest-cov>=4.0.0; extra == "dev"
Requires-Dist: black>=23.0.0; extra == "dev"
Requires-Dist: isort>=5.12.0; extra == "dev"
Requires-Dist: flake8>=6.0.0; extra == "dev"
Requires-Dist: mypy>=1.0.0; extra == "dev"
Provides-Extra: docs
Requires-Dist: sphinx>=5.0.0; extra == "docs"
Requires-Dist: sphinx-rtd-theme>=1.2.0; extra == "docs"
Requires-Dist: numpydoc>=1.5.0; extra == "docs"

# MixVECM

Vector Error Correction Models with Mixed I(0) and I(1) Variables

A Python implementation of the methodology presented in Chen (2022) "Vector Error Correction Models with Stationary and Nonstationary Variables" (SSRN Working Paper 4239531).

## Installation

```bash
pip install mixvecm
```

## Quick Start

```python
from mixvecm import MixedVECM, example_dgp_1

# Generate example data
data = example_dgp_1(T=200)

# Fit model
model = MixedVECM(data.Y, k_ar_diff=2)
results = model.fit()
print(results.summary())
```

## License

MIT License
