Perform a LM test for autoregressive conditional heteroskedasticity (ARCH) --------------------------------------------------------------------------
^archlm^ [^if^ exp] [^in^ range] [, ^l^ags(laglist)]
^archlm^ is for use after ^regress^; see help @regress@.
^archlm^ is for use with time-series data. You must ^tsset^ your data before using ^archlm^; see help @tsset@.
Description -----------
^archtest^ computes a Lagrange multiplier test for autoregressive conditional heteroskedasticity (ARCH) effects in a regression residual series for a specified number of lags p, as proposed by Engle (1982). 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.
The command displays the test statistic, degrees of freedom and P-value for each specified lag order and places values in the return array. Type ^return list^ to see such values.
Examples --------
. ^regress csales isales^ . ^archlm^ . ^archlm^, lags(4 8 12)^
References ----------
Engle, Robert, "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, 50, 1982, 987-1007
Authors -------
Christopher F Baum, Boston College, USA baum@@bc.edu
Vince Wiggins, Stata Corporation vwiggins@@stata.com Also see --------
Manual: ^[R] regress^, ^[R] regression diagnostics^ On-line: help for @regdiag@, @regress@, @time@, @tsset@; @arch@