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Lagrange Multiplier (LM) test for autoregressive conditional heteroscedasticity (ARCH)
ArchTest (x, lags=12, demean = FALSE)
an object of class 'htest'
numeric vector
positive integer number of lags
logical: If TRUE, remove the mean before computing the test statistic.
Bernhard Pfaff
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).
AutocorTest
data(m.intc7303) intcLM <- ArchTest(log(1+as.numeric(m.intc7303)), lag=12) # Matches answer on Tsay (p. 102)
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