ARCH test
[f,f_pvalue,r2]=archz0(results,p,np)
* 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
* f = value of the Goldfeld-Quandt F test
* f_pvalue = its p-value
* r2 = R² of the auxilliary regression
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 [f,f_pvalue,r2]=archz0(rols,4) // Useful mainly for programming purpose (since archz does much more). | ![]() | ![]() |