ARCH: MATLAB function to compute ARCH test

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: This MATLAB function computes a standard LM test for autoregressive conditional heteroskedasticity (ARCH) for one or more lag lengths. It returns one or more test statistics and associated p-values. Various utility routines from Jim LeSage's Econometrics Toolbox (q.v.) are required. Also see Kanzler's ARCHTEST on this archive.

Language: MATLAB
Requires: MATLAB Release 5
Date: 1999-06-15

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/arch.m program file (text/plain)
http://fmwww.bc.edu/repec/bocode/a/arch_d.m demo file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:t961402

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