*
* Test for ARCH from page 378
*
open data consump.dat
calendar 1950
data(format=prn,org=columns) 1950:1 1993:1 year y c
*
linreg c
# constant y
set usq = %resids**2
linreg usq
# constant usq{1}
exclude(title="ARCH Test, F")
# usq{1}
cdf(title="ARCH Test") chisqr %trsquared 1