ARCHQQ: Stata module to generate Q-Q plot and distribution tests for ARCH models

Sune Karlsson ()

Statistical Software Components from Boston College Department of Economics

Abstract: archqq is primarily for use after {cmd:arch} but can also be applied to an arbitrary variable. It displays Q-Q plots of the standardized residuals from an ARCH model against a standard normal, t-distribution normalized to variance 1 or the GED distribution. The distribution (and degrees of freedom for a t-distribution or shape parameter for the GED) is the one used with arch if not specified explicitly. Additionally, the data and assumed moments, mean, variance, skewness and kurtosis and the Kolmogorov-Smirnov test for distribution are reported. In addition the Jarque-Bera test for normality is reported if the assumed distribution is normal. Optionally, a Jarque-Bera type test generalized to allow other null hypothesis than a normal distribution can be reported. Note that the properties of the generalized test are unknown. In particular, the test appears to have very low power when the alternative is a distribution with thinner tails than the null.

Language: Stata
Requires: Stata version 9
Keywords: ARCH; Q-Q plot; t distribution; GED; Kolmogorov-Smirnov test; Jarque-Bera test (search for similar items in EconPapers)
Date: 2008-04-07
Note: This module should be installed from within Stata by typing "ssc install archqq". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/archqq.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/archqq.hlp help file (text/plain)

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