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s-broda / ARCHModels.jl

A Julia package for estimating ARMA-GARCH models.
https://juliaeconometrics.wordpress.com/
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Add Hansen's Standardized Skewed T Distribution #86

Closed chm-von-tla closed 3 years ago

chm-von-tla commented 3 years ago

The first commit is a minor style fix The motivation for the second commit is discussed in #87

chm-von-tla commented 3 years ago

I incorporated the changes you requested, added tests (by basically imitating the tests for the other distributions), I added a mention of the distribution in the docs (I'm not familiar with the process so I may have made mistakes) and optimized the performance (see my last post on #87, and/or commit message for 49e7858)

s-broda commented 3 years ago

This is starting to look good. There's just a doctest that's still failing: https://travis-ci.org/github/s-broda/ARCHModels.jl/jobs/762500760

Do you know how to address this? You basically need to update the output in src/usage.md, lines 331-362. If not, I can merge it as is and fix it myself.

Cheers Simon

chm-von-tla commented 3 years ago

No, I am not familiar with what's going on in the lines you mentioned. However I also spotted a different thing on those logs: after the error on line 990 it is complaining that the evaluated output differs from what is expected (there is a space missing in the function call)

chm-von-tla commented 3 years ago

It would be better if you fixed it, I haven't used julia's documentation system before

s-broda commented 3 years ago

OK, I'll merge and fix it myself.

Thanks for your contribution!

chm-von-tla commented 3 years ago

Thank you for the advice along the way!