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ARCHLM: Stata module to calculate LM test for ARCH effects

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

  • Vince Wiggins

    ()
    (Stata Corporation)

Abstract

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.

Download Info

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File URL: http://fmwww.bc.edu/repec/bocode/a/archlm.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/a/archlm.hlp
File Function: help file
Download Restriction: no

Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S388001.

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Programming language: Stata
Requires: Stata version 6.0
Date of creation: 24 Aug 1999
Date of revision:
Handle: RePEc:boc:bocode:s388001

Note: This module may be installed from within Stata by typing "ssc install archlm". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: time-series data; ARCH; volatility;

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