Release 4.14

This is a feature and bug release.

New Features

Major

• There are two major new features: long-run covariance estimation and cointegration analysis
  • Added Kernel-based long-run variance estimation in arch.covariance.kernel. Examples include the
    arch.covariance.kernel.Bartlett and the arch.covariance.kernel.Parzen kernels. All estimators support
    automatic bandwidth selection.
  • Added Engle-Granger (arch.unitroot.cointegration.engle_granger) and Phillips-Ouliaris arch.unitroot.cointegration.phillips_ouliaris) cointegration tests
  • Added three methods to estimate cointegrating vectors: arch.unitroot.cointegration.CanonicalCointegratingReg, arch.unitroot.cointegration.DynamicOLS, and arch.unitroot.cointegration.FullyModifiedOLS.

Minor

• Issue warnings when unit root tests are mutated. Will raise after 5.0 is released.
• Improved exceptions in arch.unitroot.ADF, arch.unitroot.KPSS, arch.unitroot.PhillipsPerron, arch.unitroot.VarianceRatio, and arch.unitroot.ZivotAndrews when test specification is infeasible to the time series being too short or the required regression model having reduced rank.

Bugs Fixed

• Fixed a bug when using "bca" confidence intervals with extra_kwargs.
• Fixed a bug in arch.univariate.SkewStudent which did not use the user-provided RandomState when one was provided. This prevented reproducing simulated values.