SAMPLE 1 1974
READ (DMBP.txt) Y DAYDUM

* Estimation results: Table 2, column 1 (Bollerslev and Ghysels, 1996)
* The GF option provides coefficients of skewness and kurtosis as well
* as the Jarque-Bera test for non-normality.
OLS Y / RESID=E GF
* Inspect the autocorrelation structure of the residuals
ARIMA E 
* Inspect the autocorrelation structure of the squared residuals
GENR E2=E*E
ARIMA E2

* Calculate Lagrange multiplier test statistics for ARCH errors
SET NODOECHO NOOUTPUT
GEN1 NLAG=10
DIM LM NLAG PVALUE NLAG
DO #=1,NLAG
*  Calculate the test statistic
OLS E2 E2(1.#)
GEN1 TESTVAL=$N*$R2
*  Calculate a p-value
DISTRIB TESTVAL / TYPE=CHI DF=# CDF=CDF 
GEN1 LM:#=TESTVAL
GEN1 PVALUE:#=1-CDF
ENDO
* Print the results
SAMPLE 1 NLAG
GENR P=TIME(0)
FORMAT(F8.0,F10.2,F10.4)
PRINT P LM PVALUE / FORMAT 
STOP