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help for ^archlm^ (SSC distribution 23 August 1999)
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Perform a LM test for autoregressive conditional heteroskedasticity (ARCH)
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^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
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^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
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. ^regress csales isales^
. ^archlm^
. ^archlm^, lags(4 8 12)^
References
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Engle, Robert, "Autoregressive Conditional Heteroskedasticity with Estimates of
the Variance of United Kingdom Inflation", Econometrica, 50, 1982, 987-1007
Authors
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Christopher F Baum, Boston College, USA
baum@@bc.edu
Vince Wiggins, Stata Corporation
vwiggins@@stata.com
Also see
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Manual: ^[R] regress^, ^[R] regression diagnostics^
On-line: help for @regdiag@, @regress@, @time@, @tsset@; @arch@