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Diffstat (limited to 'macros/arch_test.sci')
| -rw-r--r-- | macros/arch_test.sci | 46 |
1 files changed, 46 insertions, 0 deletions
diff --git a/macros/arch_test.sci b/macros/arch_test.sci new file mode 100644 index 0000000..3c53fc5 --- /dev/null +++ b/macros/arch_test.sci @@ -0,0 +1,46 @@ +function [PVAL, LM]= arch_test(Y,X,P) +// perform a Lagrange Multiplier (LM) test of thenull hypothesis of no conditional heteroscedascity against the alternative of CH(P) +//Calling Sequence +//arch_test(Y,X,P) +//PVAL = arch_test(Y,X,P) +//[PVAL, LM]= arch_test(Y,X,P) +//Parameters +//P: Degrees of freedom +//PVAL:PVAL is the p-value (1 minus the CDF of this distribution at LM) of the test +//Description +//perform a Lagrange Multiplier (LM) test of thenull hypothesis of no conditional heteroscedascity against the alternative of CH(P). +// +//I.e., the model is +// +// y(t) = b(1) * x(t,1) + ... + b(k) * x(t,k) + e(t), +// +//given Y up to t-1 and X up to t, e(t) is N(0, h(t)) with +// +// h(t) = v + a(1) * e(t-1)^2 + ... + a(p) *e(t-p)^2, and the null is a(1) == ... == a(p) == 0. +// +//If the second argument is a scalar integer, k,perform the sametest in a linear autoregression model of orderk, i.e., with +// +// [1, y(t-1), ..., y(t-K)] as the t-th row of X. +// +// Under the null, LM approximatel has a chisquare distribution with P degrees of freedom and PVAL is the p-value (1 minus the CDF of this distribution at LM) of the test. +// +// If no output argument is given, the p-value is displayed. + funcprot(0) + rhs= argn(2); + lhs= argn(1); + if(rhs<3 | rhs>3) + error("Wrong number of input arguments"); + end + if(lhs<1 | lhs>2) + error("Wrong number of output arguments"); + end + select(rhs) + case 3 then + select(lhs) + case 1 then + PVAL= callOctave("arch_test", Y, X, P); + case 2 then + [PVAL,LM]= callOctave("arch_test", Y, X, P); + end + end +endfunction
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