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archz

ARCH test

CALLING SEQUENCE

[rarch]=archz(results,p,np)

PARAMETERS

Input

* results = results tlist from a first stage estimation

* p = # of lag of squared residuals in the second stage estimation

* np = 'noprint' if the user does not want to print the results

 

Output

* rarch = a typed list with :

  - rarch('meth') = 'arch'

  - rarch('r1st') = results of the first step regression (allows the traceability" of the results)

  - rarch('chistat') = the value of the chi2 statistics

  - rarch('chi_pvalue') = the corresponding p-value

  - rarch('chi_df') = the corresponding degrees of freedom

  - rarch('fstat') = the value of the Fisher statistics

  - rarch('pfstat') = the corresponding p-value

  - rarch('dfnum') = degrees of freedom of the numerator

  - rarch('dfden') = degrees of freedom of the denominator

DESCRIPTION

Computes a test for AutoRegressive Conditional Heteroskedasticty (ARCH) of order p. Results are stored in a tlist and displayed on screen.

EXAMPLE

load(GROCERDIR+'/data/bdhenderic.dat');
bounds('1964q3','1989q2');
rols=ols('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet', 'lagts(1,lm1-lp-ly)', 'const');
//performs ols for Hendry and Ericsson (1991) equation 6
rarch=archz(rols,4)
// Example taken from function hendryericsson.
// Provides the ARCH test of order 4 for Hendry and Ericsson equation 6,
// whose estimation result has been saved in tlist rols.

AUTHOR

Eric Dubois 2002

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