# Which python packages would you recommend for time series analysis?

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

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.

• Can it estimate ARMA, GARCH, etc? – Schmidt Jan 7 '17 at 5:32
• @Schmidt Take a look at arch.readthedocs.io/en/latest. It's very easy to use and fairly comprehensive. – Helin Jan 7 '17 at 5:58