VECM about scalecast HOT 3 CLOSED

If you have missing values in the data, it is most likely a statsmodels native issue: statsmodels/statsmodels#3534

Just in case, I will change how the freq argument is specified in the vecm model to see if that fixes the issue and that will be implemented in 0.14.4, planned for implementation on 9/23/22.

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Please test the model from 0.14.4 to see if you have the same issue. Thanks, as always, for raising the issue!

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I happened to run an example recently where I was able to reproduce this error. I'm seeing that it is most likely from using business-day data. Sometimes business days from various data sources don't line up with the business day definition used by pandas. To fix that, you can use df = df.asfreq('B', method='ffill'). Replace 'ffill' with the na-fill method of your choice in case nulls are introduced in this process. Make sure the dataframe's index is the datetime column. Here is an example where this would work:

import pandas_datareader as pdr
from scalecast.Forecaster import Forecaster
from scalecast.MVForecaster import MVForecaster

FANG = [
    'META',
    'AMZN',
    'NFLX',
    'GOOG',
]

fs = []
for sym in FANG:
    df = pdr.get_data_yahoo(sym)
    df = df.asfreq('B', method='ffill') # fixes the issue
    f = Forecaster(
        y=df['Close'],
        current_dates = df.index,
        future_dates = 65,
        end = '2022-09-30',
    )
    fs.append(f)
    
mvf = MVForecaster(*fs,names=FANG)

I think this is something that users will have to do in pandas before loading to a scalecast object, as I don't know how this could be implemented into the package.

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