nardl (version 0.1.6)

ArchTest: ARCH test

Description

Computes the Lagrange multiplier test for conditional heteroscedasticity of Engle (1982), as described by Tsay (2005, pp. 101-102).

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.

Examples

# NOT RUN {
reg<-nardl(food~inf,fod,ic="aic",maxlag = 4,graph = TRUE,case=3)
x<-reg$selresidu
nlag<-reg$nl
ArchTest(x,lags=nlag)

# }