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ARCH: MATLAB function to compute ARCH test

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Christopher F. Baum () (Boston College)

Additional information is available for the following registered author(s):

Abstract

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.

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File URL: http://fmwww.bc.edu/repec/bocode/a/arch.m
File Format: text/plain
File Function: program file
Download Restriction: no
File URL: http://fmwww.bc.edu/repec/bocode/a/arch_d.m
File Format: text/plain
File Function: demo file
Download Restriction: no

Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number T961402.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
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Programming language: MATLAB
Requires: MATLAB Release 5
Date of creation: 15 Jun 1999
Date of revision:
Handle: RePEc:boc:bocode:t961402

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/
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For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

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This page was last updated on 2008-7-24.

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