ARCH test
[rarch]=archz(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
* 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
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. | ![]() | ![]() |