Description Usage Arguments Details Value Author(s) References See Also Examples
Performs the Pormanteau Q and Lagrange Multipliers test for homoscedasticity in a univariate stationary process. The null hypothesis (H0), is that the process is homoscedastic.
1 
y 
a numeric vector or an object of the 
arch 
A character string naming the desired test for checking stationarity. Valid values are

alpha 
Level of the test, possible values range from 0.01 to 0.1. By default 
lag.max 
an integer with the number of used lags. 
Several different tests are available:
Performs Portmanteau Q and Lagrange Multiplier tests for the null hypothesis that the residuals of
an ARIMA model are homoscedastic. The ARCH test is based on the fact that if the residuals (defined
as e(t)
) are heteroscedastic, the squared residuals (e^2[t]) are autocorrelated.
The first type of test is to examine whether the squares of residuals are a sequence of white noise,
which is called the Portmanteau Q test, and similar to the LjungBox test on the squared residuals.
By default, alpha = 0.05
is used to select the more likely hypothesis.
a h.test class with the main results of unit root hypothesis test.
Asael Alonzo Matamoros
Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica. 50(4), 9871007.
McLeod, A. I. & W. K. Li. (1984). Diagnostic Checking ARMA Time Series Models Using SquaredResidual Autocorrelations. Journal of Time Series Analysis. 4, 269273.
normal.test
,seasonal.test
,uroot.test
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