MVARCHTEST: RATS procedure to perform Multivariate test for ARCH

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Performs a multivariate LM test for ARCH effects in a set of series by regressing the crossproducts of the series (that is u(i,t) x u(j,t) for all combinations of i and j) on a constant and its lag(s) and testing the coefficients on the lags.

Language: RATS
Requires: RATS 7.30
Keywords: Multivariate; ARCH; test (search for similar items in EconPapers)
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https://www.estima.com/procs_perl/mvarchtest.src (text/plain)

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