MVARCHTEST - multivariate test for GARCH effects

[TomDoan]

Attached is a procedure for testing a set of series for multivariate ARCH effects. The null is that the series are mean zero, not serially correlated and with a fixed covariance matrix. It performs an LM by regressing the crossproducts of the series (that is u(i,t) x u(j,t) for all combinations of i and j) on a constant and its lag(s) and testing the coefficients on the lags. The number of degrees of freedom is

(n(n+1)/2)^2 x the number of lags

since it is including all crossproducts on all crossproducts.

mvarchtest.src

(2.68 KiB) Downloaded 225 times

@MVARCHTest( options ) start end
# list of series

(start and end default to the common range of the series)

Options

LAGS=number of ARCH lags to test [1]
[PRINT]/NOPRINT

Variables Defined

%CDSTAT	Test statistic
%SIGNIF	Significance level of the test

[LeCaptain]

Is this based on any paper, i.e. are there any references for this? How to cite? For the MVQStat, for instance, you refer to Hosking (1981).

[TomDoan]

It's a fairly obvious extension of the LM test to multivariate ARCH. Based upon the description, it sounds like

R. Scott Hacker & Abdulnasser Hatemi-J, 2005. "A test for multivariate ARCH effects," Applied Economics Letters, Taylor and Francis Journals, vol. 12(7), 411-417

is the same thing, though that's behind a pay wall, so I can't be sure.

[LeCaptain]

It's a fairly obvious extension of the LM test to multivariate ARCH. Based upon the description, it sounds like

R. Scott Hacker & Abdulnasser Hatemi-J, 2005. "A test for multivariate ARCH effects," Applied Economics Letters, Taylor and Francis Journals, vol. 12(7), 411-417

is the same thing, though that's behind a pay wall, so I can't be sure.

I think the article you cited comes very close. Thank you, Tom!