makystats

Econometrics toolkit for Python — ARMA, ARMA–GARCH (MLE), VAR, VECM / Johansen, ARDL (bounds test, ECM), and unit-root / stationarity tests.

v0.1.5 Python ≥ 3.9 MIT pip install makystats

Modules

ARMA

Homoskedastic AR / ARMA / ARIMA / SARIMA. Order selection, diagnostics, level forecasts with index preservation.

ARMA–GARCH

Joint MLE: mean + GARCH / GJR / EGARCH / APARCH / FIGARCH. VaR & ES, seasonal mean.

VAR

Native OLS VAR, IRF, FEVD, Granger causality, order selection.

VECM

Johansen cointegration, MHM p-values, eight deterministic cases, forecasts.

ARDL

Bounds test, UECM, restricted ECM, long-run coefficients, CUSUM stability.

Stationarity

ADF, sequential ADF, KPSS, Phillips–Perron, DF-GLS, Zivot–Andrews, Engle–Granger.

Installation

pip install makystats
pip install "makystats[numba]"
pip install "makystats[plot]"

See the Install page.

This site is the user-oriented overview (EN/FR). Full technical guides also ship inside the installed package and on GitHub: makystats/arma, armagarch, var_model, vecm, ardl (README.md / DOCUMENTATION.md). Formula images stay in the repository docs/ folder (not the Pages root).