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Published March 27, 2019 | Version 4.8.0
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bashtage/arch: Release 4.8

  • 1. New Economic School
  • 2. @volatility
  • 3. Bonjournal
  • 4. @lgtmhq
  • 5. MPI for Innovation and Competition

Description

This is a feature and bug release. Highlights include:

  • Added Zivot-Andrews unit root test.
  • Added data dependent lag length selection to the KPSS test.
  • Added IndependentSamplesBootstrap to bootstrap inference on statistics from independent samples that may have uneven length.
  • Added arch_lm_test to ARCH-LM tests on model residuals or standardized residuals.
  • Fixed a bug in ADF when applying to very short time series.
  • Added ability to set the random_state when initializing a bootstrap.

Files

bashtage/arch-4.8.0.zip

Files (1.8 MB)

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md5:7a497e9b2e24f01b67d6e94086e347bc
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Additional details

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