Econometrics

The Econometrics.jl package contains functionalities for (financial) econometric research. It comprises:

• general utilities to handle prices / returns
• new distributions (t-location-scale)
• univariate and multivariate models

Models

Econometric models are represented by the following super types:

• AbstrModel
• AbstrUnivarModel <: AbstrModel
• AbstrMultivarModel <: AbstrModel

For each fully specified model, the following functions should be implemented:

• display
• description: more detailed information on a fully specified model
• simulate
• resimulate

In addition, if coefficients have not been specified yet, the model type can be used to estimate / fit the model to data:

• estimate: estimate the model and return the fully specified model
• fit: estimate the model and return a fully specified model together with additional information on:
  • data: data used
  • nllh: negative log-likelihood value
  • additional information: for example, estimated sigma series for GARCH models

More precisely, the following concrete models are implemented:

• NormIID <: AbstrUnivarModel
  • constant univariate normal distribution
• TlsIID <: AbstrUnivarModel
  • constant t-location-scale distribution
• GARCH_1_1{Normal} <: AbstrUnivarModel
  • GARCH(1,1) with normally distributed returns
• GARCH_1_1{t} <: AbstrUnivarModel
  • GARCH(1,1) with t-distributed returns

Distributions

The implementation of new distributions should resemble the structure of the Distributions.jl package. They should be included into the Distributions.jl type hierarchy as well as provide the following common interface:

• pdf
• cdf
• quantile
• rand
• names
• logpdf
• loglikelihood
• std
• dof
• fit: in contrast to Model types but in line with Distributions.jl function fit returns a fitted distribution of respective type but without additional information like data,...
• Note: instead of params I usually use getParams

The following concrete distributions are implemented:

• TLSDist: t-location-scale distribution
• NChiSq: noncentral chi-squared distribution