ARCH: MATLAB function to compute ARCH test
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number T961402.
Programming language: MATLAB
Requires: MATLAB Release 5
Date of creation: 15 Jun 1999
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/
More information through EDIRC
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
If references are entirely missing, you can add them using this form.