ArchTest: ARCH test

In nardl: Nonlinear Cointegrating Autoregressive Distributed Lag Model

Description

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

Usage

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

reg<-nardl(food~inf,fod,ic="aic",maxlag = 4,graph = TRUE,case=3)
x<-reg$selresidu
nlag<-reg$nl
ArchTest(x,lags=nlag)

nardl documentation built on Jan. 7, 2021, 1:06 a.m.