McLeod.Li.test: McLeod-Li test

In TSA: Time Series Analysis

McLeod-Li test

Description

Perform the McLeod-Li test for conditional heteroscedascity (ARCH).

Usage

McLeod.Li.test(object, y, gof.lag, col = "red", omit.initial = TRUE, 
plot = TRUE, ...)

Arguments

object	a fitted Arima model, ususally the output from the arima function. If supplied, then the Mcleod-Li test is applied to the residuals of the model, and the y-argument is ignored.
y	time series data with which one wants to test for the presence of conditional heteroscedascity
gof.lag	maximum number of lags for which the test is carried out.
col	color of the reference line
omit.initial	suppress the initial (d+Ds) residuals if set to be TRUE
plot	suppress plotting if set to be FALSE
...	other arguments to be passed to the plot function

Details

The test checks for the presence of conditional heteroscedascity by computing the Ljung-Box (portmanteau) test with the squared data (if y is supplied and object suppressed) or with the squared residuals from an arima model (if an arima model is passed to the function via the object argument.)

Value

pvlaues

the vector of p-values for the Ljung-Box test statistics computed using the first m lags of the ACF of the squared data or residuals, for m ranging from 1 to gof.lag.

Author(s)

Kung-Sik Chan

References

McLeod, A. I. and W. K. Li (1983). Diagnostic checking ARMA time series models using squared residual autocorrelations. Journal of Time Series Analysis, 4, 269273.

Examples

data(CREF)
r.cref=diff(log(CREF))*100
McLeod.Li.test(y=r.cref)

TSA documentation built on July 5, 2022, 5:05 p.m.