From: Spencer Graves <spencer.graves_at_pdf.com>

Date: Sat, 02 Feb 2008 08:30:12 -0800

*> --
*

*> Tom
*

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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Sat 02 Feb 2008 - 16:39:22 GMT

Date: Sat, 02 Feb 2008 08:30:12 -0800

I can't get that to match Tsay's example, but I have other questions about that.

> archTest(log(1+as.numeric(m.intc7303)), lags=12)

ARCH test (univariate)

data: Residual of y1 equation

Chi-squared = 10.8562, df = 16, p-value = 0.8183

Warning message:

In VAR(s, p = 1, type = "const") :

No column names supplied in y, using: y1, y2, y3, y4, y5, y6, y7, y8,
y9, y10, y11, y12 , instead.

>

- First note that the answer has df = 16, even though I supplied lags = 12. 2. For (apparently) this example, S-Plus FinMetrics 'archTest' function returned "Test for ARCH Effects: LM Test. Null Hypothesis: no ARCH effects. Test Stat 43.5041, p.value 0.0000. Dist. under Null: chi-square with 12 degrees of freedom". 3. Starting on p. 101, Ruey mentioned "the Lagrange multiplier test of Engle (1982)", saying "This test is equivalent to the usual F test for" no regression, but refers it to a chi-square, not an F distribution. Clearly, there is a gap here, because the expected value of the F distribution is close to 1 [d2/(d2-2), where d2 = denominator degrees of freedom; http://en.wikipedia.org/wiki/F-distribution], while the expected value for a chi-square is the number of degrees of freedom

Unfortunately, I don't feel I can afford the time to dig into this further right now.

Thanks for your help. Spencer Graves

tom soyer wrote:

> Spencer, how about something like this:

*>
**> archTest=function (x, lags= 16){
**> #x is a vector
**> require(vars)
**> s=embed(x,lags)
**> y=VAR(s,p=1,type="const")
**> result=arch(y,multi=F)$arch.uni[[1]]
**> return(result)
**> }
**>
**> can you, or maybe Bernhard, check and see whether this function gives
**> the correct result?
**>
**> thanks,
**>
**> On 2/1/08, *Spencer Graves* <spencer.graves_at_pdf.com
**> <mailto:spencer.graves_at_pdf.com>> wrote:
*

>

> 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!> >> >

> > > >

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