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MV-ARCH: GAUSS module to implement the multivariate ARCH test

Author

Listed:
  • Scott Hacker

    (Jonkoping University, Sweden)

  • Abdulnasser Hatemi-J

    (UAE University)

Programming Language

GAUSS

Abstract

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.

Suggested Citation

  • Scott Hacker & Abdulnasser Hatemi-J, 2009. "MV-ARCH: GAUSS module to implement the multivariate ARCH test," Statistical Software Components G00009, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:g00009
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/m/MV-ARCH.prg
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/MV-ARCH.txt
    File Function: documentation
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    Citations

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    Cited by:

    1. Mohamed Arouri & Gazi Salah Uddin & Phouphet Kyophilavong & Frédéric Teulon & Aviral Kumar Tiwari, 2014. "Energy Utilization and Economic Growth in France: Evidence from Asymmetric Causality Test," Working Papers 2014-102, Department of Research, Ipag Business School.
    2. Abdulnasser Hatemi-J, 2012. "Asymmetric causality tests with an application," Empirical Economics, Springer, vol. 43(1), pages 447-456, August.
    3. Abdulnasser Hatemi-J & Youssef El-Khatib, 2016. "An extension of the asymmetric causality tests for dealing with deterministic trend components," Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 4033-4041, September.
    4. Abdulnasser Hatemi-J & Mrittika Shamsuddin, 2016. "The causal interaction between financial development and human development in Bangladesh," Applied Economics Letters, Taylor & Francis Journals, vol. 23(14), pages 995-998, September.
    5. Al Shayeb, Abdulrahman & Hatemi-J , Abdulnasser, 2013. "An Empirical Investigation of the Potential Asymmetric Relationship between the Stock Market and the Exchange Rates in the UAE - Un esame empirico della potenziale relazione asimmetrica tra mercato az," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 66(4), pages 425-438.

    More about this item

    Keywords

    ARCH; multivariate ARCH; GAUSS;
    All these keywords.

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