English, Article edition: ARCHLM: Stata module to calculate LM test for ARCH effects Christopher F Baum; Vince Wiggins

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Bookmark: http://trove.nla.gov.au/version/103197
Physical Description
  • code
Language
  • English

Edition details

Title
  • ARCHLM: Stata module to calculate LM test for ARCH effects
Author
  • Christopher F Baum
  • Vince Wiggins
Physical Description
  • code
Notes
  • archlm computes Engle's LM test for ARCH (autoregressive conditional heteroskedasticity) effects in a regression residual series for a specified number of lags p. A list of lag orders may be given; if none are given, one lag is presumed. For each specified order, the squared residual series is regressed on p of its own lags. The test statistic, a T R^2 measure, is distributed Chi-squared(p) under the null hypothesis of no ARCH effects. See STB-54 for details. The test is built in to Stata 7 as "archlm"; also see "archlm2" which will work on a single timeseries of a panel.
  • time-series data, ARCH, volatility
  • RePEc:boc:bocode:s388001
Language
  • English
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