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ARCHLM: Stata module to calculate LM test for ARCH effects

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Vince Wiggins

    (Stata Corporation)

Programming Language

Stata

Abstract

archlm computes Engle's LM test for ARCH (autoregressive conditional heteroskedasticity) effects in a regression residual series for a specified number of lags p. A list of lag orders may be given; if none are given, one lag is presumed. For each specified order, the squared residual series is regressed on p of its own lags. The test statistic, a T R^2 measure, is distributed Chi-squared(p) under the null hypothesis of no ARCH effects. See STB-54 for details. The test is built in to Stata 7 as "archlm"; also see "archlm2" which will work on a single timeseries of a panel.

Suggested Citation

  • Christopher F Baum & Vince Wiggins, 1999. "ARCHLM: Stata module to calculate LM test for ARCH effects," Statistical Software Components S388001, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s388001
    Note: This module may be installed from within Stata by typing "ssc install archlm". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/a/archlm.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/archlm.hlp
    File Function: help file
    Download Restriction: no
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