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# PS9.8, ARCH estimation: Example 9.10 and Table 9.4 
open data9-2
genr M1 = M(-1)
genr M2 = M(-2)
genr D1 = D(-1)
genr D2 = D(-2)
# estimate model 
ols r const M1 M2 D1 D2  
# generate uhat square and lags 
genr usq = $uhat*$uhat
genr usq1 = usq(-1)
genr usq2 = usq(-2)
genr usq3 = usq(-3)
# estimate auxiliary regression for ARCH(3) 
ols usq const usq1 usq2 usq3 
# compute nRsquared and pvalue 
genr LM1=$nrsq
pvalue X 3 LM1
# ARCH(3) is not supported but ARCH(1) term is significant at 9 percent 
ols usq const usq1 
genr LM2=$nrsq
# generate predicted variance as observed minus error uhat 
genr usqhat = usq-$uhat
pvalue X 1 LM2
# all values of predicted variance are positive 
print usqhat 
# compute weights for WLS 
genr wt=1/usqhat
# estimate model by weighted least squares 
wls wt r const M1 M2 D1 D2  
# compare shortcut command 
arch 1 r const M1 M2 D1 D2
# omit D2 which has an insignificant coefficient 
omit D2