Kevin Sheppard

I haven't really through about it. I could imagine that formulas could be nested. For example ``` y ~ 1 + x + [w ~ z] ``` could be something...

`patsy` has an input called [`NA_action` ](https://patsy.readthedocs.io/en/latest/API-reference.html) that lets you tell it what to do with NAs. I was trying to use formulas in [linearmodels](https://github.com/bashtage/linearmodels.git) but noticed that I am...

That sounds like an excellent solution. As a _wish list_ item, it would be great if `impute` could have an interface so that it would be possible for end users...

A couple of things. 1. DFGLS is a waste in large dataset. The reason DFGLS was created was low power in small samples. With 1000+ point datasets, there is no...

I just did a quick check and the big problem with large datasets is the autolag. It does a search across 0, 1, 2, ... max_lags lags in the model...

Here is a comparrison with 10,000,000 obs ``` In [5]: %timeit DFGLS(y, lags=10).stat 7.77 s ± 119 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)...

You are welcome. I am going to reopen this since it would be good to have some sort of warning in this case. Pretty sure this has come up before...

I think you could do something like: ``` from arch import arch_model sim = arch_model(None) actual = sim.simulate([0, 0.1, 0.1, 0.8],nobs=1000) bootstrap = sim.simulate([0, 0.1, 0.1, 0.8],nobs=1000) bs_mod = arch_model(bootstrap.data)...

The bootstrap method uses random numbers so you need to make sure you reset the seed of the numpy random singleton generator. These only matter for horizon 2 or larger....

I think we should make criterion flexible. Specifically, it should accept either a string or a function with the signature `Callable[[ndarray, ndarray], ndarray]` where the inputs would be `y`, and...