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thomaspinder
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Mar 9, 2026
thomaspinder
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- docs: add Tier 1 extensions design for Impulso
- docs: add Tier 1 extensions implementation plan
- test: add tests for VARData.with_dummy_observations()
- feat: implement VARData.with_dummy_observations()
- fix: add exog test coverage and n_lags docstring for dummy obs
- test: add tests for ConjugateVAR
- feat: add ConjugateVAR with direct NIW posterior sampling
- refactor: extract shared NIW param computation, use conftest fixture
- test: add tests for GLP hierarchical prior selection
- test: add tests for long-run Blanchard-Quah identification
- feat: add Blanchard-Quah long-run identification
- test: add ForecastCondition and conditional forecast tests
- feat: add conditional forecasting on FittedVAR
- feat: add conditional forecasting on IdentifiedVAR
- fix: add input validation to LongRunRestriction.identify()
- fix: add type annotations and exog_future guard for conditional forecast
- fix: address final review findings
- docs: add Tier 1 documentation design
- docs: add Tier 1 documentation implementation plan
Design for integrating 5 foundation features: Conjugate Gibbs Sampler (ConjugateVAR), Dummy Observation Priors, Hierarchical Prior Selection (GLP), Long-Run Restrictions, and Conditional Forecasting. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
TDD implementation plan for 11 tasks across 5 layers: dummy observation priors, ConjugateVAR with NIW sampling, GLP hierarchical prior selection, Blanchard-Quah long-run restrictions, and conditional forecasting. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
13 tests covering sum-of-coefficients and single-unit-root dummy observation priors, including shape checks, value correctness, immutability, and input validation. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Add sum-of-coefficients (mu) and single-unit-root (delta) dummy observation priors following Doan, Litterman & Sims (1984) and Sims (1993). Returns a new VARData with dummy rows appended. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Addresses code review: missing test for exog zero-padding and clarifies that n_lags is validated for API consistency but not used in the dummy value computation. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- Extract _build_niw_params() to eliminate duplication between fit() and _log_marginal_likelihood() (addresses code review I1/I4) - Replace stable_var_data fixture with var_data_2v from conftest (I2) - Add reference to Kadiyala & Karlsson (1997) in docstring (I3) Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Implements Waggoner & Zha (1999) hard constraint algorithm for conditional forecasts on the reduced-form posterior. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Extends conditional forecasting to structural VARs with optional shock path constraints alongside observable variable constraints. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- Guard for missing 'B' in posterior (raises ValueError) - Validate ordering contains only known variable names Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- Add list[ForecastCondition] type annotations to method signatures in fitted.py and identified.py (TYPE_CHECKING imports) - Raise NotImplementedError when exog_future provided with shock_conditions in IdentifiedVAR (I2 - silent data loss) - Keep bare list for Pydantic field in ConditionalForecastResult to avoid model_rebuild issues Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- Remove dead optimize_dummy parameter from ConjugateVAR.optimize_prior() - Add ordering length validation to LongRunRestriction.identify() - Add error-path tests for LongRunRestriction (missing B, unknown vars, wrong length) Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Codecov Report❌ Patch coverage is Additional details and impacted files@@ Coverage Diff @@
## main #33 +/- ##
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+ Coverage 88.2% 90.3% +2.0%
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Files 17 19 +2
Lines 657 1035 +378
Branches 68 127 +59
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+ Hits 580 935 +355
- Misses 58 72 +14
- Partials 19 28 +9 ☔ View full report in Codecov by Sentry. 🚀 New features to boost your workflow:
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Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
…my obs theory Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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