This is a feature and bug release. Removed support for Python 2.7. Added auto_bandwidth to compute optimized bandwidth for a number of common kernel covariance estimators. This code was written by Michael Rabba. Added a parameter rescale to arch_model that allows the estimator to rescale data if it may help parameter estimation. If rescale=True, then the data will be rescaled by a power of 10 (e.g., 10, 100, or 1000) to produce a series with a residual variance between 1 and 1000. The model is then estimated on the rescaled data. The scale is reported ARCHModelResult.scale. If rescale=None, a warning is produced if the data appear to be poorly scaled, but no change of scale is applied. If rescale=False, no scale change is applied and no wa...
This is a performance and bug-fix release. Improved performance of AbsorbingLS.fit by deferring som...
We construct efficient estimators of the identifiable parameters in a regression model when the erro...
Release 5.0 contains new features and backward-incompatible changes. Unit Root All unit root tests ...
This is a feature and bug release: New Features Major There are two major new features: long-run co...
This release fixes a bug that affects forecasting when: using an AR model or other model with lagge...
This is a minor release containing mostly bug fixes. Changes include: Added named parameters to Dic...
Fixed a bug that prevented 1-step forecasts with exogenous regressors Added the Generalized Error Di...
This is a feature and bug release. Highlights include: Added Zivot-Andrews unit root test. Added d...
This is a feature and bug release. Added Zivot-Andrews unit root test Added data dependent lag leng...
This is a feature and bug release. Added ARCHModelResult.std_resid Error in bootstraps if inputs ar...
This release fixes two issues: Removes an accidental requirement on Python 3.7 Improves performance...
This is a feature and bug fix release. The two key new features are: The reduction in the size of ...
Release containing all changes since 4.1 including: Fixed a bug that prevented fix from being used ...
This is a feature and big-fix release: Added APARCH volatilty process. Added support for Python 3.9...
This is a bug-fix release that fixes a bug that affects the fitted conditional variance from EWMAVar...
This is a performance and bug-fix release. Improved performance of AbsorbingLS.fit by deferring som...
We construct efficient estimators of the identifiable parameters in a regression model when the erro...
Release 5.0 contains new features and backward-incompatible changes. Unit Root All unit root tests ...
This is a feature and bug release: New Features Major There are two major new features: long-run co...
This release fixes a bug that affects forecasting when: using an AR model or other model with lagge...
This is a minor release containing mostly bug fixes. Changes include: Added named parameters to Dic...
Fixed a bug that prevented 1-step forecasts with exogenous regressors Added the Generalized Error Di...
This is a feature and bug release. Highlights include: Added Zivot-Andrews unit root test. Added d...
This is a feature and bug release. Added Zivot-Andrews unit root test Added data dependent lag leng...
This is a feature and bug release. Added ARCHModelResult.std_resid Error in bootstraps if inputs ar...
This release fixes two issues: Removes an accidental requirement on Python 3.7 Improves performance...
This is a feature and bug fix release. The two key new features are: The reduction in the size of ...
Release containing all changes since 4.1 including: Fixed a bug that prevented fix from being used ...
This is a feature and big-fix release: Added APARCH volatilty process. Added support for Python 3.9...
This is a bug-fix release that fixes a bug that affects the fitted conditional variance from EWMAVar...
This is a performance and bug-fix release. Improved performance of AbsorbingLS.fit by deferring som...
We construct efficient estimators of the identifiable parameters in a regression model when the erro...
Release 5.0 contains new features and backward-incompatible changes. Unit Root All unit root tests ...