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 = 0.6463Code:
estat bgodfrey
Breusch-Godfrey LM test for autocorrelation
---------------------------------------------------------------------------
lags(p) | chi2 df Prob > chi2
-------------+-------------------------------------------------------------
1 | 0.651 1 0.4198
---------------------------------------------------------------------------
H0: no serial correlationCode:
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
0 Response to Autocorrelation and ARCH/GARCH
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