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

Dear Tom, Bernhard, Ruey:

      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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