Layer 2: Preprocessing

Layer 2 owns the canonical McCracken-Ng preprocessing pipeline plus mixed-frequency alignment for combined panels. Five sub-layers run in order: mixed-frequency alignment → transform → outlier handling → imputation → frame edge. Feature-engineering choices (lags / factors / rotations / selection) live in Layer 3, not Layer 2.

Decision order (5 sub-layers, 15 axes)

Sub-layer

Axes

L2.A — Mixed frequency alignment

mixed_frequency_representation, sd_series_frequency_filter, quarterly_to_monthly_rule, monthly_to_quarterly_rule

L2.B — Transform

transform_policy, transform_scope, sd_tcode_policy

L2.C — Outlier handling

outlier_policy, outlier_action, outlier_scope

L2.D — Imputation

imputation_policy, imputation_temporal_rule, imputation_scope

L2.E — Frame edge

frame_edge_policy, frame_edge_scope

mixed_frequency_representation (v0.8.5+) is general — applies to any mixed-frequency panel, not just FRED-SD. sd_tcode_policy (v0.8.5+) is orthogonal to transform_policy: the official transform_policy controls FRED’s published t-codes, while sd_tcode_policy selects the SD-specific inferred / empirical policy when working with FRED-SD.

For per-axis options + when-to-use guidance see the L2 encyclopedia page and per-axis pages such as mixed_frequency_representation and sd_tcode_policy.

Custom hook

L2 supports a user-supplied callable in two positions:

  • leaf_config.custom_preprocessor (since v0.8.6) — runs before the canonical transform → outlier → impute → frame_edge pipeline.

  • leaf_config.custom_postprocessor (since v0.2.5) — runs after the canonical pipeline; output replaces the L2 clean panel.

The simple-API method is Experiment.use_preprocessor("name", applied_at="l2"|"l3"). See docs/for_recipe_authors/custom_hooks.md for the callable signature + I/O contract.

Layer contract

Input:

  • Layer 1 source frame, target y, and candidate predictor x contract.

Output:

  • layer2_representation_v1;

  • feature matrices and representation metadata consumed by Layer 3;

  • auxiliary payloads for narrow advanced routes.

See encyclopedia

For the full per-axis × per-option catalogue (every value with its OptionDoc summary, when-to-use / when-NOT, references), see encyclopedia/l2/.