archBootTest: Combined LM test for ARCH errors in VAR models.

Description Usage Arguments Details Value References See Also Examples

View source: R/archBootTest.R

Description

Performs the bootstrap combined Lagrange multiplier (LM) test for autoregressive conditional heteroskedastic (ARCH) errors in vector autoregressive (VAR) models of Catani and Ahlgren (2016).

The tests of Eklund and Teräsvirta (2007), as well as the Multivariate LM test for ARCH as described for example in Lütkepohl (2006, sect. 16.5), are also included if the arguments ET respectively MARCH are set to TRUE. The bootstrap procedure for those are the same as in Catani and Ahlgren (2016).

Usage

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archBootTest(fit, h = 2, B = 499, CA = TRUE, ET = TRUE, MARCH = TRUE,
             dist = "norm", skT.param = c(0, 1, 0, 5))
## S3 method for class 'archBootTest'
print(x, ...)

Arguments

fit

an object of class "VARfit" that was returned by the VARfit function, or an object of class "verest" from the function VAR in the vars package.

h

the lag length of the alternative VAR(h) model for the errors.

B

the number of bootstrap simulations.

CA

if TRUE, the Catani and Ahlgren (2017) test will run.

ET

if TRUE, the Eklund and Teräsvirta (2007) test will run.

MARCH

if TRUE, the Multivariate LM test for ARCH will run. See e.g. Lütkepohl (2006, sect. 16.5).

dist

the error distribution. Either "norm" for the standard normal distribution, or "skT" for the skew-t distribution. The parameters of the skew-t distribution can be set with the skT.param argument. Can also be a function that returns random draws as an (N-p) x K matrix or a vector of length (N-p) * K.

skT.param

a vector of four parameters for the skew-t distribution in case "skT" was used for the dist argument. The function rmst is used to draw the errors and the parameters are passed as skT.param = c(xi, Omega, alpha, nu)

x

Object with class attribute ‘archBootTest’.

...

further arguments passed to or from other methods.

Details

See the pdf version of the manual at the package's CRAN page for mathematical details of the test.

Value

a list of class "ACtest".

fit

the fit argument object.

inputType

the type of object of fit.

h

the lag length h of the alternative VAR(h) model for the errors.

B

the number of bootstrap simulations.

K

the number of series/equations in the fitted VAR model.

CA

the CA input argument.

ET

the ET input argument.

MARCH

the MARCH input argument.

dist

the dist argument object.

standardizedResi

the Cholesky-standardized residuals.

CA_LM

the combined LM statistic of Catani and Ahlgren (2016), computed as 1 - min(P(CA_LMi)).

CA_bootPV

the bootstrap P. value of the combined LM test of Catani and Ahlgren (2016).

CA_LMi

the LM statistics of Catani and Ahlgren (2016) for each time series.

CA_LMijStar

an (N-p) x K matrix of the bootstrap LM statistics for each time series (columns) and bootstrap sample (rows), for the Catani and Ahlgren (2016) test.

CA_uniBootPV

a vector of length K with the univariate bootstrap P. values for each time series, for the Catani and Ahlgren (2016) test.

ET_LM

the LM statistic of the Eklund and Teräsvirta (2007) test.

ET_PV

the P.value of the Eklund and Teräsvirta (2007) LM test statistic.

ET_bootPV

the bootstrap P.value of the Eklund and Teräsvirta (2007) test.

ET_LMStar

the bootstrap LM test statistics for the Eklund and Teräsvirta (2007) test.

MARCH_LM

the LM statistic of the Multivariate LM test for ARCH. See e.g. Lütkepohl (2006, sect. 16.5).

MARCH_PV

the P.value of the MARCH LM test statistic.

MARCH_bootPV

the bootstrap P.value of the MARCH test.

MARCH_LMStar

the bootstrap LM test statistics for the MARCH test.

description

who ran the test and when.

time

computation time taken to run the test.

call

how the function ACtest() was called.

References

Catani, P. and Ahlgren, N. (2016). Combined Lagrange multiplier test for ARCH in vector autoregressive models, Economics and Statistics, <doi:10.1016/j.ecosta.2016.10.006>.

Dufour, J.-M., Khalaf, L., and Beaulieu, M.-C. (2010). Multivariate residual-based finite-sample tests for serial dependence and arch effects with applications to asset pricing models, Journal of Applied Econometrics, 25 (2010) 263–285.

Eklund, B. and Teräsvirta, T. (2007). Testing constancy of the error covariance matrix in vector models, Journal of Econometrics, 140, 753-780.

Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007.

Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

See Also

VARfit to estimate a VAR(p).

Examples

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fit <- VARfit(y = VodafoneCDS, p = 3, const = TRUE, trend = FALSE)
test <- archBootTest(fit = fit, h = 5, B = 199, CA = TRUE, ET = TRUE, MARCH = TRUE, dist = "norm")

VARtests documentation built on May 2, 2019, 5:03 a.m.