ArchTest: ARCH LM Test

Description Usage Arguments Details Value Author(s) See Also Examples

View source: R/ArchTest.R

Description

Lagrange Multiplier (LM) test for autoregressive conditional heteroscedasticity (ARCH)

Usage

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ArchTest (x, lags=12, demean = FALSE) 

Arguments

x

numeric vector

lags

positive integer number of lags

demean

logical: If TRUE, remove the mean before computing the test statistic.

Details

Computes the Lagrange multiplier test for conditional heteroscedasticity of Engle (1982), as described by Tsay (2005, pp. 101-102).

This is provided for compatibility with 'archTest' in the S-Plus script in Tsay (p. 102).

Value

an object of class 'htest'

Author(s)

Bernhard Pfaff

See Also

AutocorTest

Examples

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data(m.intc7303)
intcLM <- ArchTest(log(1+as.numeric(m.intc7303)), lag=12)
# Matches answer on Tsay (p. 102) 

FinTS documentation built on May 29, 2017, 9:08 a.m.