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I'm trying to run a rolling ols regression and the few mentions I've found used pd.stats.ols.MovingOLS but there doesn't seem to be any official documentation of that function. Is it reliable/stable? Is it depreciated? Example of a mention of this function from 2015

AVL
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That module has indeed been deprecated. I can't find the release notes exactly, but there was a deprecation warning in March 2016 that read:

FutureWarning: The pandas.stats.ols module is deprecated and will be removed in a future version. We refer to external packages like statsmodels, see some examples here: http://statsmodels.sourceforge.net/stable/regression.html

Here is the statsmodels module they're referring to.

wpercy
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  • I've searched the documentation of that module and couldn't find any mention of rolling regressions – AVL Aug 29 '18 at 02:51