Grocer Function
NAME
archz - ARCH test
CALLING SEQUENCE
[rarch]=archz(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
-
rarch= a typed list with :
- rarch('meth') = 'arch'
- rarch('r1st') = results of the first step regression (allows the traceability" of the results)
- rarch('chistat') = the value of the chi2 statistics
- rarch('chi_pvalue') = the corresponding p-value
- rarch('chi_df') = the corresponding degrees of freedom
- rarch('fstat') = the value of the Fisher statistics
- rarch('pfstat') = the corresponding p-value
- rarch('dfnum') = degrees of freedom of the numerator
- rarch('dfden') = degrees of freedom of the denominator
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