Description Usage Arguments Details Value Note Author(s) References Examples
Performs Portmanteau Q and Lagrange Multiplier tests for the null hypothesis that the residuals of a ARIMA model are homoscedastic.
1 |
object |
an object from arima model estimated by
|
output |
a logical value indicating to print the results in R console, including the
plots. The default is |
The ARCH Engle's test is constructed 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 Portmanteau Q test and similar to the Ljung-Box test on the squared residuals. The second type of test proposed by Engle (1982) is the Lagrange Multiplier test which is to fit a linear regression model for the squared residuals and examine whether the fitted model is significant. So the null hypothesis is that the squared residuals are a sequence of white noise, namely, the residuals are homoscedastic. The lag parameter to calculate the test statistics is taken from an integer sequence of 1:min(24,n) with step 4 if n > 25, otherwise 2, where n is the number of nonmissing observations.
The plots of residuals, squared residuals, p.values of PQ and LM tests will be drawn if
output = TRUE
.
A matrix with the following five columns:
|
the lag parameter to calculate the test statistics. |
|
the Portmanteau Q test statistic. |
|
the p.value for PQ test. |
|
the Lagrange Multiplier test statistic. |
|
the p.value for LM test. |
Missing values are removed before analysis.
Debin Qiu
Engle, Robert F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50 (4): 987-1007.
McLeod, A. I. and W. K. Li. Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations. Journal of Time Series Analysis. Vol. 4, 1983, pp. 269-273.
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