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comparison scripts/signal/arch_test.m @ 3457:e031284eea27

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[project @ 2000-01-19 08:49:56 by jwe]
author jwe
date Wed, 19 Jan 2000 08:50:14 +0000
parents 858695b3ed62
children d25bc039237b
comparison
equal deleted inserted replaced
3456:434790acb067 3457:e031284eea27
58 ## minus the CDF of this distribution at LM) of the test. 58 ## minus the CDF of this distribution at LM) of the test.
59 ## 59 ##
60 ## If no output argument is given, the @var{p}-value is displayed. 60 ## If no output argument is given, the @var{p}-value is displayed.
61 ## @end deftypefn 61 ## @end deftypefn
62 62
63 ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at> 63 ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at>
64 ## Description: Test for conditional heteroscedascity 64 ## Description: Test for conditional heteroscedascity
65 65
66 function [pval, lm] = arch_test (y, X, p) 66 function [pval, lm] = arch_test (y, X, p)
67 67
68 if (nargin != 3) 68 if (nargin != 3)
69 error ("arch_test needs 3 input arguments"); 69 error ("arch_test needs 3 input arguments");
70 endif 70 endif
71 71
72 if !(is_vector (y)) 72 if (! (is_vector (y)))
73 error ("arch_test: y must be a vector"); 73 error ("arch_test: y must be a vector");
74 endif 74 endif
75 T = length (y); 75 T = length (y);
76 y = reshape (y, T, 1); 76 y = reshape (y, T, 1);
77 [rx, cx] = size (X); 77 [rx, cx] = size (X);
78 if ((rx == 1) && (cx == 1)) 78 if ((rx == 1) && (cx == 1))
79 X = autoreg_matrix (y, X); 79 X = autoreg_matrix (y, X);
80 elseif !(rx == T) 80 elseif (! (rx == T))
81 error (["arch_test: ", ... 81 error ("arch_test: either rows(X) == length(y), or X is a scalar");
82 "either rows(X) == length(y), or X is a scalar"]);
83 endif 82 endif
84 if !(is_scalar(p) && (rem(p, 1) == 0) && (p > 0)) 83 if (! (is_scalar(p) && (rem(p, 1) == 0) && (p > 0)))
85 error ("arch_test: p must be a positive integer."); 84 error ("arch_test: p must be a positive integer.");
86 endif 85 endif
87 86
88 [b, v_b, e] = ols (y, X); 87 [b, v_b, e] = ols (y, X);
89 Z = autoreg_matrix (e.^2, p); 88 Z = autoreg_matrix (e.^2, p);
90 f = e.^2 / v_b - ones (T, 1); 89 f = e.^2 / v_b - ones (T, 1);