ArchTest: ARCH test

Description Usage Arguments Examples

View source: R/helperfunctions_nardl.R

Description

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

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.

Examples

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reg<-nardl(food~inf,fod,ic="aic",maxlags = TRUE,graph = TRUE,case=3)
x<-reg$selresidu
nlag<-reg$np
ArchTest(x,lags=nlag)

nardl documentation built on May 8, 2018, 1:04 a.m.