v0.1.0

Highlights

Impulso 0.1.0 makes a VAR embeddable in a PyMC model you already own, alongside the standalone VAR.fit workflow.

• VAR.build_in_model: registers a VAR into the active PyMC model and returns handles to its variables. fit and prior_predictive now go through the same code path. Namespacing works through a nested named pm.Model.
• Symbolic data: the observed block can be a PyTensor tensor, e.g. pm.Data. Its likelihood is then a pm.Potential.
• Latent endogenous series: latent_names generates unobserved series inside the model from standard-normal innovations (non-centred). The observed likelihood is conditional on the innovations, and a stationarity constraint on the latent block keeps sampling stable.
• MinnesotaPrior(own_lag_mean=...): the textbook per-variable own-lag mean. Use 0 for stationary series.
• FittedVAR.from_posterior: validated construction of a FittedVAR from a posterior you produced elsewhere.
• VAR specs round-trip through model_dump and model_validate, in python and JSON mode.

The design and its evidence are recorded in ADR-0016.

Upgrading from 0.0.14

There are no breaking changes to released APIs. The breaking changes of this development cycle (Minnesota cross-lag scaling in ADR-0015, the required sigma argument to Prior.build_priors, ErrorDistribution.logp, and rejection of constant endogenous columns) shipped in 0.0.14.

Known limits:

• Latent series support Gaussian errors only.
• A ConjugateVolatility subclass (e.g. PandemicBreak) does not round-trip through model_dump.
• The latent stationarity constraint's eig is untested on the JAX backend.

What's Changed

🚀 Features

• feat: accept a symbolic observed endog in build_in_model by @thomaspinder in #342
• feat: generate latent series non-centred in build_in_model by @thomaspinder in #344
• feat: latent own-lag mean, stationary init and stationarity constraint by @thomaspinder in #346
• feat: reject embedded-path options build_in_model can't support by @thomaspinder in #348

🐛 Bug Fixes

• fix: name the actual source in endog_scales validation errors by @thomaspinder in #340
• fix: make VAR specs round-trip through model_dump/model_validate by @thomaspinder in #354

💥 Breaking Changes

• feat!: move the own-lag prior mean onto MinnesotaPrior by @thomaspinder in #352

📖 Documentation

• docs: add ADR-0016 for the embeddable VAR path by @thomaspinder in #349
• docs: remove internal issue references from docstrings and comments by @thomaspinder in #355

Full Changelog: v0.0.14...v0.1.0