De-duplicate exogenous dim between DFM and SARIMAX

Author: jessegrabowski

pymc_extras/statespace/models/SARIMAX.py

@@ -17,7 +17,7 @@
     ALL_STATE_AUX_DIM,
     ALL_STATE_DIM,
     AR_PARAM_DIM,
-    EXOGENOUS_DIM,
+    EXOG_STATE_DIM,
     MA_PARAM_DIM,
     OBS_STATE_DIM,
     SARIMAX_STATE_STRUCTURES,
@@ -315,7 +315,7 @@ def param_names(self):
     def data_info(self) -> dict[str, dict[str, Any]]:
         info = {
             "exogenous_data": {
-                "dims": (TIME_DIM, EXOGENOUS_DIM),
+                "dims": (TIME_DIM, EXOG_STATE_DIM),
                 "shape": (None, self.k_exog),
             }
         }
@@ -403,7 +403,7 @@ def param_dims(self):
             "ma_params": (MA_PARAM_DIM,),
             "seasonal_ar_params": (SEASONAL_AR_PARAM_DIM,),
             "seasonal_ma_params": (SEASONAL_MA_PARAM_DIM,),
-            "beta_exog": (EXOGENOUS_DIM,),
+            "beta_exog": (EXOG_STATE_DIM,),
         }
         if self.k_endog == 1:
             coord_map["sigma_state"] = None
@@ -438,7 +438,7 @@ def coords(self) -> dict[str, Sequence]:
         if self.Q > 0:
             coords.update({SEASONAL_MA_PARAM_DIM: list(range(1, self.Q + 1))})
         if self.k_exog > 0:
-            coords.update({EXOGENOUS_DIM: self.exog_state_names})
+            coords.update({EXOG_STATE_DIM: self.exog_state_names})
         return coords
 
     def _stationary_initialization(self):

pymc_extras/statespace/utils/constants.py

@@ -14,8 +14,7 @@
 ETS_SEASONAL_DIM = "seasonal_lag"
 FACTOR_DIM = "factor"
 ERROR_AR_PARAM_DIM = "error_lag_ar"
-EXOG_STATE_DIM = "exogenous_state"
-EXOGENOUS_DIM = "exogenous"
+EXOG_STATE_DIM = "exogenous"
 
 NEVER_TIME_VARYING = ["initial_state", "initial_state_cov", "a0", "P0"]
 VECTOR_VALUED = ["initial_state", "state_intercept", "obs_intercept", "a0", "c", "d"]