%load_ext autoreload
%autoreload 2
%matplotlib inline
%config InlineBackend.figure_format='retina'
from __future__ import absolute_import, division, print_function
# http://www.lfd.uci.edu/~gohlke/pythonlibs/#xgboost
import sys
import os
import pandas as pd
import numpy as np
# # Remote Data Access
# import pandas_datareader.data as web
# import datetime
# # reference: https://pandas-datareader.readthedocs.io/en/latest/remote_data.html
# TSA from Statsmodels
import statsmodels.api as sm
import statsmodels.formula.api as smf
import statsmodels.tsa.api as smt
# Display and Plotting
import matplotlib.pylab as plt
import seaborn as sns
pd.set_option('display.float_format', lambda x: '%.5f' % x) # pandas
np.set_printoptions(precision=5, suppress=True) # numpy
pd.set_option('display.max_columns', 100)
pd.set_option('display.max_rows', 100)
# seaborn plotting style
sns.set(style='ticks', context='poster')
#Read the data
#美国消费者信心指数
Sentiment = 'data/sentiment.csv'
Sentiment = pd.read_csv(Sentiment, index_col=0, parse_dates=[0])
sentiment_short = Sentiment.loc['2005':'2016']
sentiment_short.plot(figsize=(12,8))
plt.legend(bbox_to_anchor=(1.25, 0.5))
plt.title("Consumer Sentiment")
sns.despine()
从图中可看出,时间序列波动较大,因此对此进行差分
#一阶差分
sentiment_short['diff_1'] = sentiment_short['UMCSENT'].diff(1)
#二阶差分
sentiment_short['diff_2'] = sentiment_short['diff_1'].diff(1)
sentiment_short.plot(subplots=True, figsize=(18, 12))
通过ACF PACF确定p q
fig = plt.figure(figsize=(12,8))
ax1 = fig.add_subplot(211)
fig = sm.graphics.tsa.plot_acf(sentiment_short, lags=20,ax=ax1)
ax1.xaxis.set_ticks_position('bottom')
fig.tight_layout();
ax2 = fig.add_subplot(212)
fig = sm.graphics.tsa.plot_pacf(sentiment_short, lags=20, ax=ax2)
ax2.xaxis.set_ticks_position('bottom')
fig.tight_layout();