Use grep or download a tool like grin to search the code for TODO notes:
grin -i -I "*.py*" todo
This shows almost 700 TODOs in the code base right now. Feel free to inquire on the mailing list about any of these.
We currently have a large amount code in the Sandbox. The medium term goal is to move much of this to feature branches as it gets worked on and remove the sandbox folder. Many of these models and functions are close to done, however, and we welcome any and all contributions to complete them, including refactoring, documentation, and tests. These models include generalized additive models (GAM), information theoretic models such as maximum entropy, survival models, systems of equation models, restricted least squares, panel data models, and time series models such as (G)ARCH.
Work on any of the big picture ideas is very welcome. Implementing these ideas requires some thought and changes will likely affect all the codebase.