ARCHLM: Stata module to calculate LM test for ARCH effects
Abstractarchlm 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.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S388001.
Programming language: Stata
Requires: Stata version 6.0
Date of creation: 24 Aug 1999
Date of revision:
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
Web page: http://fmwww.bc.edu/EC/
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