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archz0

ARCH test

CALLING SEQUENCE

[f,f_pvalue,r2]=archz0(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

* f = value of the Goldfeld-Quandt F test

* f_pvalue = its p-value

* r2 = R² of the auxilliary regression

DESCRIPTION

Computes a test for ARCH(p). Results are saved as numbers and not 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
[f,f_pvalue,r2]=archz0(rols,4)
// Useful mainly for programming purpose (since archz does much more).

AUTHOR

Eric Dubois 2002

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