Note that you need Gauss package: cmlMT 
These codes operate on GAUSS 10.

  File "LK_QRtest_univariate.txt" contains the code for 
  computing the test statistics and some printing commands.

  File "MAR341_GARCH11.txt" is an example how to 
  estimate an MAR(3,4,1)-GARCH(1,1) model and compute the
  test statistics.

  File "DEM1.txt" is the dataset used by the file 
  MAR341_GARCH11.pgm , and it was applied in the Discussion 
  Paper No 124 / October 2006 

To get the programs work:


1) Copy the above 3 files to a folder

2) Rename 2 files:
   "LK_QRtest_univariate.txt" -> "LK_QRtest_univariate.src"
   "DEM1.txt"                 -> "DEM1.dat"
 

3) Run the following command to create a library 
"LK_QRtest_univariate":
lib LK_QRtest_univariate LK_QRtest_univariate.src;

3) Run MAR341_GARCH11.txt to check that all the codes work.

5) You can use file "MAR341_GARCH11.txt" as an example to
write estimation codes suitable for your needs.