Models

Available models

Model API

To define a new model, you need to create a struct MyModel <: EventStudies.Models.AbstractModel, whose contents can be arbitrary.

Then, you have to implement StatsBase.fit!(model::MyModel, data::TSFrame)::MyModel, which should mutate the model to store the coefficients (you can do this in an immutable struct by making one of the fields a mutable type like a Vector).

Finally, you have to implement StatsBase.predict(model::MyModel, data::TSFrame)::TSFrame which runs the model and returns the result as a TSFrame. Column names should not be changed and data should not be mutated.

Optionally, you can also implement Models.check_window(model::MyModel, window)::Bool, which checks whether the given window exists in your model.