Performs univariate and multivariate ARCH-LM tests for a VAR. This is a modification of vars::arch.test() for the class "varshrinkest".
arch.test_sh(x, lags.single = 16, lags.multi = 5, multivariate.only = TRUE)
An object of class "varshrinkest" obtained by VARshrink()
An integer of the lag order used for univariate ARCH statistics.
An integer of the lag order used for multivariate ARCH statistic.
If TRUE, only the multivariate statistic is computed.
arch.test
# NOT RUN { data(Canada, package = "vars") y <- diff(Canada) estim <- VARshrink(y, p = 2, type = "const", method = "ridge") arch.test_sh(estim) # }
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