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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)

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
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    Keywords

    ARCH; multivariate ARCH;

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