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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
--------

	. ^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@
