MV-ARCH: GAUSS module to implement the multivariate ARCH test
This 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.
|Date of creation:||21 Nov 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
When requesting a correction, please mention this item's handle: RePEc:boc:bocode:g00009. See general information about how to correct material in RePEc.
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.