mcleodLiTest: McLeod-Li test
In nonlinearTseries: Nonlinear Time Series Analysis
View source: R/nonlinearTests.R
mcleodLiTest R Documentation
McLeod-Li test
Description
McLeod-Li test for conditional heteroscedascity (ARCH).
Usage
mcleodLiTest(time.series, lag.max)
Arguments
time.series
The original time.series.
lag.max
Maximum number of lags for which to test for
conditional heteroscedascity.
Value
A list containing the p.values for each of the
Ljung-Box tests computed using lags ranging from 1 to lag.max.
References
Tsay, Ruey S., and Rong Chen. Nonlinear time series analysis.
Vol. 891. John Wiley & Sons, 2018.
See Also
nonlinearityTest, keenanTest,
tsayTest, thresholdTest
nonlinearTseries documentation built on March 31, 2022, 1:07 a.m.
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View source: R/nonlinearTests.R
| mcleodLiTest | R Documentation |
McLeod-Li test
Description
McLeod-Li test for conditional heteroscedascity (ARCH).
Usage
mcleodLiTest(time.series, lag.max)
Arguments
time.series |
The original time.series. |
lag.max |
Maximum number of lags for which to test for conditional heteroscedascity. |
Value
A list containing the p.values for each of the Ljung-Box tests computed using lags ranging from 1 to lag.max.
References
Tsay, Ruey S., and Rong Chen. Nonlinear time series analysis. Vol. 891. John Wiley & Sons, 2018.
See Also
nonlinearityTest, keenanTest,
tsayTest, thresholdTest
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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