arch.test_sh {VARshrink}

ARCH-LM test

Description

Performs univariate and multivariate ARCH-LM tests for a VAR. This is a modification of vars::arch.test() for the class "varshrinkest".

Usage

arch.test_sh(x, lags.single = 16, lags.multi = 5,
  multivariate.only = TRUE)

Arguments

x

An object of class "varshrinkest" obtained by VARshrink()

lags.single

An integer of the lag order used for univariate ARCH statistics.

lags.multi

An integer of the lag order used for multivariate ARCH statistic.

multivariate.only

If TRUE, only the multivariate statistic is computed.

See Also

arch.test

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
arch.test_sh(estim)