MV-ARCH: GAUSS module to implement the multivariate ARCH test

R Scott Hacker and Abdulnasser Hatemi-J

Statistical Software Components from Boston College Department of Economics

Abstract: This GAUSS module implements the multivariate ARCH test developed by Hacker and Hatemi-J (Applied Economics Letters, 2005). It provides p-values based on asymptotic as well as bootstrap distributions.

Language: GAUSS
Requires: GAUSS
Keywords: ARCH; multivariate ARCH (search for similar items in EconPapers)
Date: 2009-11-21
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Citations: View citations in EconPapers (5)

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http://fmwww.bc.edu/repec/bocode/m/MV-ARCH.prg program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/MV-ARCH.txt documentation (text/plain)

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