LMgarch.test: Test Lagrange Multipliers
In fxjulio/slash: Slash reparametrized
Description
Usage
Arguments
Value
References
Examples
View source: R/testLMforGARCH.R
Description
Test Lagrange Multipliers
Usage
1
LMgarch.test(y, p, q)
Arguments
y
Numeric vector
p
ARCH order
q
GARCH order
Value
A list
- LM
Statistic
- p.value
p value
- df
Degree of freedom
References
Lee, J. 1991. A Lagrange multiplier test for GARCH models. Economics Letters 37: 265-271.
Examples
1
2
3
4
5
set.seed(1984)
y <- rnorm(500)
LMgarch.test(y, 1, 1)
# H0: alpha_1=beta_1=0
# is accepted
fxjulio/slash documentation built on May 28, 2019, 8:40 p.m.
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Description Usage Arguments Value References Examples
View source: R/testLMforGARCH.R
Description
Test Lagrange Multipliers
Usage
1 | LMgarch.test(y, p, q)
|
Arguments
y |
Numeric vector |
p |
ARCH order |
q |
GARCH order |
Value
A list
- LM
Statistic
- p.value
p value
- df
Degree of freedom
References
Lee, J. 1991. A Lagrange multiplier test for GARCH models. Economics Letters 37: 265-271.
Examples
1 2 3 4 5 | set.seed(1984)
y <- rnorm(500)
LMgarch.test(y, 1, 1)
# H0: alpha_1=beta_1=0
# is accepted
|
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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