ARCH LM Test — ArchTest • FinTS

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'

See also

Author

Bernhard Pfaff

Examples

data(m.intc7303)
intcLM <- ArchTest(log(1+as.numeric(m.intc7303)), lag=12)
# Matches answer on Tsay (p. 102)