Grocer Function
NAME
archz0 - ARCH test
CALLING SEQUENCE
[f,f_pvalue,r2]=archz0(results,p,np)
PARAMETERS
Input
-
results = results tlist from a first stage estimation
-
p = # of lag of squared residuals in the second stage estimation
-
np = 'noprint' if the user does not want to print the results
Output
- f = value of the Goldfeld-Quandt F test
- f_pvalue = its p-value
-
r2 = Rē of the auxilliary regression
DESCRIPTION
Computes a test for ARCH(p). Results are saved as numbers and not displayed on screen.
EXAMPLE
[f,f_pvalue,r2]=archz0(results,p)
This example is taken from archz. Useful mainly for programming purpose (since archz does much more).
AUTHOR
Eric Dubois 2002