English, Article edition: ARCH: MATLAB function to compute ARCH test Christopher F. Baum

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Bookmark: http://trove.nla.gov.au/version/102669
Physical Description
  • code
Language
  • English

Edition details

Title
  • ARCH: MATLAB function to compute ARCH test
Author
  • Christopher F. Baum
Physical Description
  • code
Notes
  • This MATLAB function computes a standard LM test for autoregressive conditional heteroskedasticity (ARCH) for one or more lag lengths. It returns one or more test statistics and associated p-values. Various utility routines from Jim LeSage's Econometrics Toolbox (q.v.) are required. Also see Kanzler's ARCHTEST on this archive.
  • RePEc:boc:bocode:t961402
Language
  • English
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