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

From: Spencer Graves <spencer.graves_at_pdf.com>
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.

1. I got the following using Tom's 'archTest' function (below):

> 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.

>

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!
>     >
>     >
>
>
>
>
```

> --
> Tom

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