Merge 072e415 into 979a62c

bashtage · Jun 12, 2019 · 28ae751 · 28ae751
2 parents 979a62c + 072e415
commit 28ae751
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Showing 3 changed files with 4 additions and 2 deletions.
diff --git a/arch/bootstrap/base.py b/arch/bootstrap/base.py
@@ -487,7 +487,7 @@ def conf_int(self, func, reps=1000, method='basic', size=0.95, tail='two',
                     nobs = self._num_items
                     jk_params = _loo_jackknife(func, nobs, self._args,
                                                self._kwargs)
-                    u = (nobs - 1) * (jk_params - base)
+                    u = (nobs - 1) * (jk_params - jk_params.mean())
                     numer = np.sum(u ** 3, 0)
                     denom = 6 * (np.sum(u ** 2, 0) ** (3.0 / 2.0))
                     small = denom < (np.abs(numer) * np.finfo(np.float64).eps)

diff --git a/arch/tests/bootstrap/test_bootstrap.py b/arch/tests/bootstrap/test_bootstrap.py
@@ -563,7 +563,7 @@ def test_bca(self):
         base = self.func(self.x)
         nobs = self.x.shape[0]
         jk = _loo_jackknife(self.func, nobs, [self.x], {})
-        u = (nobs - 1) * (jk - base)
+        u = (nobs - 1) * (jk - jk.mean())
         u2 = np.sum(u * u, 0)
         u3 = np.sum(u * u * u, 0)
         a = u3 / (6.0 * (u2 ** 1.5))

diff --git a/doc/source/changes/4.0.txt b/doc/source/changes/4.0.txt
@@ -1,5 +1,7 @@
 Changes since 4.8.1
 ===================
+- Fixed a bug when using the BCA bootstrap method where the leave-one-out
+  jackknife used the wrong centering variable (:issue:`288`).
 - Added :func:`~arch.univariate.base.ARCHModelResult.optimization_result` to
   simplify checking for convergence of the numerical optimizer (:issue:`292`).
 - Added `random_state` argument to :func:`~arch.univariate.HARX.forecast`