JASA, vol 84, pp 223-230. The inputs are either the set of scores from instructions like MAXIMIZE or GARCH or the derivatives of u from instructions like NLLS, which you can obtain with the DERIVES option on those instructions. It computes both individual and joint test statistics and gives an approximate significance level for each.
flux.src- Procedure file - requires RATS 7.3 or later
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@FLUX( options ) start end
# list of score series
Options
[PRINT]/NOPRINT
SMPL=SMPL Series
TITLE=title for report ["Fluctuation Tests"]
Variables Defined
| %HJOINT | real with the overall test |
| %HSTATS | VECTOR with the tests on the individual components |
Example
- Code: Select all
garch(p=1,q=1,derives=dd) / dlogdm
@flux
# dd
Sample Output
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Test Statistic P-Value
Joint 1.25404076 0.05
1 0.71296199 0.01
2 0.35737800 0.09
3 0.13836781 0.41
4 0.18254428 0.29