ARCHLM: Stata module to calculate LM test for ARCH effects

Christopher Baum () and Vince Wiggins ()
Additional contact information
Vince Wiggins: Stata Corporation

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 6.0
Keywords: time-series data; ARCH; volatility (search for similar items in EconPapers)
Date: Written 1999-08-24
Note: This module may be installed from within Stata by typing "ssc install archlm". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/archlm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/archlm.hlp help file (text/plain)

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