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multivariate-timeseries

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q-learning-trader
q-learning-trader commented May 21, 2021

Hi, nice project.
Thanks for sharing.
I am looking around and testing.
It seems get_loaders function does not fit run_reconstruction.
In particular the following line:

X_train, X_test, y_train, y_test = self.preprocess_data()

it is not correct for reconstruction. For reconstruction we do not need y values.

good first issue invalid

An econometrics vector autoregression model (VAR) for analysis of multivariate time series of macroeconomics phenomena. Python Jupyter notebook based model is presented here although other packages like R statistical programming language with R Studio could also be used.

  • Updated Jul 2, 2021
  • Jupyter Notebook

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