NotImplementedError: AR has been removed from statsmodels

[nrcjea001]

In the heterogeneity function, "AR" function is being used but this has now been replaced with statsmodels.tsa.ar_model.AutoReg. Thanks to update

I'm no expert but I have suggested fix as follows:

from statsmodels.tsa.ar_model import AutoReg
...
    try:
        x_whitened = AutoReg(x, lags=order_ar, trend='c').fit().resid
    except:
        try:
            x_whitened = AutoReg(x, lags=order_ar, trend='n').fit().resid
        except:
            output = {
                'arch_acf': np.nan,
                'garch_acf': np.nan,
                'arch_r2': np.nan,
                'garch_r2': np.nan
            }

            return output