Grocer Function

NAME

archz - ARCH test

CALLING SEQUENCE

[rarch]=archz(results,p,np)

PARAMETERS

Input

Output

DESCRIPTION

Computes a test for AutoRegressive Conditional Heteroskedasticty (ARCH) of order p. Results are stored in a tlist and displayed on screen.

EXAMPLE

rarch=archz(rols,4)

This example is taken from hendryericsson. It provides the ARCH test of order 4 for Hendry and Ericsson equation #6, whose estimation result has been saved in tlist rols.

AUTHOR

Eric Dubois 2002