Re: [R] ARCH LM test for univariant time series

From: Spencer Graves <>
Date: Fri, 01 Feb 2008 20:22:42 -0800

Hi, Tom:

      The 'arch' function in the 'vars' package is supposed to be able to do that. Unfortunately, I was unable to make it work for a univariate series. Bernhard Pfaff, the author of 'vars', said that if I read the code for 'arch', I could easily retrieve the necessary lines and put them in my own function; I have not so far found the time to try that. If you do, or if you get a better answer than this, would you please let me know? I would like to have this capability for the 'FinTS' package, and I would happily write a help page if someone would contribute the function -- or use a function in another package. Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley) includes an example on p. 103 that could be used for a reference.

      Hope this helps. 
      Spencer Graves   

tom soyer wrote:
> Hi,
> Does anyone know if R has a Lagrange multiplier (LM) test for ARCH
> effects for univariant time series?
> Thanks!
> mailing list PLEASE do read the posting guide and provide commented, minimal, self-contained, reproducible code. Received on Sat 02 Feb 2008 - 04:30:28 GMT

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