software . 2018

Bashtage/Arch: Release 4.3

Sheppard, Kevin; Khrapov, Stanislav; Lipták, Gábor; Mikedeltalima; Capellini, Rob; Hugle; Esvhd; Fortin, Alex; JPN; Adams, Austin; ...
Open Access
  • Published: 01 Jan 2018
  • Publisher: Zenodo
Abstract
<p>This is a feature and bug release:</p> New Features Major <ul> <li>There are two major new features: long-run covariance estimation and cointegration analysis<ul> <li>Added Kernel-based long-run variance estimation in <code>arch.covariance.kernel</code>. Examples include the <code>arch.covariance.kernel.Bartlett</code> and the <code>arch.covariance.kernel.Parzen</code> kernels. All estimators support automatic bandwidth selection.</li> <li>Added Engle-Granger (<code>arch.unitroot.cointegration.engle_granger</code>) and Phillips-Ouliaris <code>arch.unitroot.cointegration.phillips_ouliaris</code>) cointegration tests </li> <li>Added three methods to estimate co...
Zenodo
Software . 2017
Provider: Datacite
Zenodo
Software . 2018
Provider: Datacite
Zenodo
Software . 2017
Provider: Datacite
Zenodo
Software . 2020
Provider: Datacite
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software . 2018

Bashtage/Arch: Release 4.3

Sheppard, Kevin; Khrapov, Stanislav; Lipták, Gábor; Mikedeltalima; Capellini, Rob; Hugle; Esvhd; Fortin, Alex; JPN; Adams, Austin; ...