Test for no ARCH effects

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T27667
Posts: 3
Joined: Thu Oct 11, 2012 12:29 pm

Test for no ARCH effects

Postby T27667 » Wed Oct 24, 2012 11:45 pm

If you are going to test for no arch effects up to 2 lags, say, for a sample of T=3572 residuals, e, is the approach then the following:
Calculate the test statistics T*R^2 where R^2 is the coefficient of determination from the regression
e^2(T) = a+b*e^2(T-1)+c*e^2(T-2) <=>
e^2(3572) = a+b*e^2(3571)+c*e^2(3570)
and then compare T*R^2 in Chi^2 with 2 degrees of freedom? Is that really it?

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: Test for no ARCH effects

Postby coalexander » Sat Nov 03, 2012 4:45 pm

Hi sorry for the late reply --in general a no arch test is simply a test for autocorrelation in squared residuals, and yes, the test you describe is certainly good enough.


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