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@Dekermanjian Dekermanjian commented Oct 19, 2025

This PR is related to #589 and aims to remove redundant parameters k_endog and k_exog from SSM models. The following models will be updated:

  • ETS Model
  • SARIMAX Model
  • VARMAX Model
  • DFM Model
  • Structural SSM API

In addition, this PR will also address

Closes #587
Closes #589

…exogenous variables and updated tests accordingly
…dog_names required and exog_state_names required for exogenous variables and updated tests accordingly
…quired and exog_names required if exogenous variables are requested and updated tests accordingly
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Dekermanjian commented Oct 25, 2025

Hey @jessegrabowski, after updating all the models and the regression component in the structural api the complexity of the validation code dropped quite a bit. I am looking at pulling out that VARMAX validation utility to use across all the other models (SARIMAX, ETS, DFM) but the only commonality between them is how the endog_names are handled. I can pull out the validation for endog_names and wrap that up in a utility but that is only 4 lines of code. Do you think it is worth it? Never mind, I am going to do it. Once we have more models it will be worth it.

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I was going to say yes anyway :D

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jessegrabowski commented Oct 27, 2025

I am looking at pulling out that VARMAX validation utility to use across all the other models

Mark that this PR will close both #589 and #587 as a result

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Jesse, I marked the two open issues for closer upon merging this PR.

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Remove k_endog argument from statespace model constructors VARMAX input validation functionality should be moved out to a helper

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