bashtage/arch — pull request #21 by bashtage (2014-11-24 02:57:07+00:00)
Title: ENH: Unit Root Tests

Introduces 5 unit root tests, all class-based

The four new tests are:
- Augmented Dickey Fuller.
- PhillipsPerron
- KPSS
- Variance Ratio
- DF-GLS

These have all been included in unitroot.

Critical value and p-value lookup information for DFGLS
and KPSS is not readily available in published form, and so simulations
were performed to generate these using 100,000,000 replications using a
methodology similar to MacKinnon (2010). All critical value data has
been consolidated into critical_values.

A cov_nw function was added which computes Newey-West
covariance.