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ARCHQQ: Stata module to generate Q-Q plot and distribution tests for ARCH models

Listed author(s):
  • Sune Karlsson


    (Örebro University, Sweden)

archqq is primarily for use after {cmd:arch} but can also be applied to an arbitrary variable. It displays Q-Q plots of the standardized residuals from an ARCH model against a standard normal, t-distribution normalized to variance 1 or the GED distribution. The distribution (and degrees of freedom for a t-distribution or shape parameter for the GED) is the one used with arch if not specified explicitly. Additionally, the data and assumed moments, mean, variance, skewness and kurtosis and the Kolmogorov-Smirnov test for distribution are reported. In addition the Jarque-Bera test for normality is reported if the assumed distribution is normal. Optionally, a Jarque-Bera type test generalized to allow other null hypothesis than a normal distribution can be reported. Note that the properties of the generalized test are unknown. In particular, the test appears to have very low power when the alternative is a distribution with thinner tails than the null.

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456922.

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Programming language: Stata
Requires: Stata version 9
Date of creation: 07 Apr 2008
Handle: RePEc:boc:bocode:s456922
Note: This module should be installed from within Stata by typing "ssc install archqq". Windows users should not attempt to download these files with a web browser.
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