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: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
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