Kevin Sheppard

MAINT: Update black and fix bugbear

1

Update black Fix nested exceptions - [ ] closes #xxxx - [ ] tests added / passed - [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`...

ENH: Allow in- and out-of-sample parameters to be set

1

Separate setting of in- and out-of-sample parameters in forecast [skip ci]

ENH: Add variance targetting GARCH model

2

Add a VT GARCH model Note that inference isn't correct

ROADMAP: Future plans

2

Some planned additions. No specific time for completion. - [x] Patton-Politis-White Bandwidth Selection for Time-Series Bootstraps - [x] Engle-Granger Cointegration Testing - [x] Phillips-Ouliaris Cointegration Testing - [x] Dynamic OLS...

Multivariate ARCH Tracking

1

Long-term plan to implement some multivariate GARCH models: First Stage: - [ ] Base classes - [ ] Constant Covariance volatility - [ ] Multivariate Normal distribution - [ ]...

Add a univariate MA model

2

Add a pure moving average model for the mean.

MAINT: Deprecate some links

2

Deprecate lower case links in favor of upper case links - [ ] closes #xxxx - [ ] tests added / passed. - [ ] code/documentation is well formatted. -...

Check performance of PanelOLS and AbsorbingLS in large models

2

Check performance and defer expensive operations