kardl (version 0.1.1)

archtest: ARCH Test

Description

Autoregressive conditional heteroskedasticity ARCH(q) $${\hat{\epsilon}}_t^2 = \alpha_0 + \sum_{i=1}^{q} \alpha_i {\hat{\epsilon}}_{t-i}^2$$

Usage

archtest(resid, q = 1)

Value

A list of class "kardl" containing the following components:

• type: Type of the test

• statistic: The F-statistic of the test

• parameter: The degrees of freedom of the test

• p.value: The p-value of the test

• Fval: The F-value of the test

Arguments

resid

The residuals of the model

q

max lag

References

Engle, Robert F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica. 50 (4): 987–1007.

See Also

bgtest bptest resettest

Examples

kardl_model<-kardl(imf_example_data,
                   CPI~ER+PPI+asym(ER)+deterministic(covid)+trend,
                   mode=c(1,2,3,0))
archtest(kardl_model$finalModel$model$residuals,2)


# Summary of ARCH test
summary(archtest(kardl_model$finalModel$model$residuals))