ArchTest {FinTS} | R Documentation |
ARCH LM Test
Description
Lagrange Multiplier (LM) test for autoregressive conditional heteroscedasticity (ARCH)
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. |
Details
Computes the Lagrange multiplier test for conditional heteroscedasticity of Engle (1982), as described by Tsay (2005, pp. 101-102).
This is provided for compatibility with 'archTest' in the S-Plus script in Tsay (p. 102).
Value
an object of class 'htest'
Author(s)
Bernhard Pfaff
See Also
Examples
data(m.intc7303)
intcLM <- ArchTest(log(1+as.numeric(m.intc7303)), lag=12)
# Matches answer on Tsay (p. 102)
[Package FinTS version 0.4-9 Index]