I am taking a time series analysis class that uses EViews. What packages in python do equivalent work?


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The gold standard for time series analysis in Python is pandas. Pandas was originally developed at AQR to support their in-house research and has since been open-sourced. It has very high-performance implementations for data structures such as Series, DataFrame, and Panel.

Pandas itself is very rich. Not only does it let you create time series representations effortless, it has built-in utilities for merging time series, plotting data (requires matplotlib), handling missing data, resampling time series into different frequencies, calculating rolling/expanding-window statistics, etc.

Because it's the gold standard, many Python numerical packages work seamlessly with pandas to provide even more capabilities. For example, statsmodels is a statistical package that lets you run everything from a simple linear regression to a complicated dynamic factor model.

  • $\begingroup$ Can it estimate ARMA, GARCH, etc? $\endgroup$
    – Schmidt
    Commented Jan 7, 2017 at 5:32
  • $\begingroup$ @Schmidt Take a look at arch.readthedocs.io/en/latest. It's very easy to use and fairly comprehensive. $\endgroup$
    – Helin
    Commented Jan 7, 2017 at 5:58

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