statsmodels.tsa.statespace.news.NewsResults.details_by_update

property NewsResults.details_by_update

Details of forecast revisions from news, organized by updates first

Returns
detailspd.DataFrame

Index is as MultiIndex consisting of:

  • update date: the date of the data update, that results in news that impacts the forecast of variables of interest

  • updated variable: the variable being updated, that results in news that impacts the forecast of variables of interest

  • forecast (prev): the previous forecast of the new entry, based on the information available in the previous dataset

  • observed: the value of the new entry, as it is observed in the new dataset

  • impact date: the date of the impact on the variable of interest

  • impacted variable: the variable that is being impacted

The columns are:

  • news: the news associated with the update (this is just the forecast error: observed - forecast (prev))

  • weight: the weight describing how the news affects the forecast of the variable of interest

  • impact: the impact of the news on the forecast of the variable of interest

Notes

This table decomposes updated forecasts of variables of interest from the news associated with each updated datapoint from the new data release.

This table does not summarize the impacts or show the effect of revisions. That information can be found in the impacts table.

This form of the details table is organized so that the updated dates / variables are first in the index, and in this table the index also contains the forecasts and observed values of the updates. This is convenient for displaying the entire table of detailed updates because it allows sparsifying duplicate entries.

However, since it includes forecasts and observed values in the index of the table, it is not convenient for subsetting by the variable of interest. Instead, the details_by_impact property is organized to make slicing by impacted variables / dates easy. This allows, for example, viewing the details of data updates on a particular variable or date of interest.