Does pandas support piecewise/multi-period regression?

[triplechess]

Hi,

I need to do piecewise or multi-period regression where the breakpoint is determined automatically by the algorithm itself. Does pandas support that? Thanks a lot.
-alex

[wesm]

It doesn't-- you're welcome to contribute it to either pandas or scikits.statsmodels. The only supported statistical models at the moment are full-sample and dynamic linear / panel regressions. It's probably available in an R package for testing

[triplechess]

What is the "dynamic" in the dynamic linear regressions? Can you point me to some relevant description (url) if you have them? Sorry to have asked this question in case this is trivial. Thanks.

[wesm]

i haven't written a lot of docs, but it should be clear what's going on from the docstrings:

https://github.com/wesm/pandas/blob/master/pandas/stats/interface.py#L6