I have times series of a stock return, and I want to detect if there is any effect on the month January on this stock return (January effect). I have created dummies for the days in January.
If I want to perform regular OLS, I have to detect if there are any heteroskedasticity and autocorrelation:
First I fin out if there is any heteroskedasticity:
Code:
reg RetOSEBX JanOSEBX estat hettest Breusch-Pagan / Cook-Weisberg test for heteroskedasticity Ho: Constant variance Variables: fitted values of RetOSEBX chi2(1) = 0.21 Prob > chi2 = 0.6463
Code:
estat bgodfrey Breusch-Godfrey LM test for autocorrelation --------------------------------------------------------------------------- lags(p) | chi2 df Prob > chi2 -------------+------------------------------------------------------------- 1 | 0.651 1 0.4198 --------------------------------------------------------------------------- H0: no serial correlation
Code:
estat archlm LM test for autoregressive conditional heteroskedasticity (ARCH) --------------------------------------------------------------------------- lags(p) | chi2 df Prob > chi2 -------------+------------------------------------------------------------- 1 | 462.568 1 0.0000 --------------------------------------------------------------------------- H0: no ARCH effects vs. H1: ARCH(p) disturbance
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