MV-ARCH: GAUSS module to implement the multivariate ARCH test
AbstractThis GAUSS module implements the multivariate ARCH test developed by Hacker and Hatemi-J (Applied Economics Letters, 2005). It provides p-values based on asymptotic as well as bootstrap distributions.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number G00009.
Programming language: GAUSS
Date of creation: 21 Nov 2009
Date of revision:
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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