nardl: ArchTest – R documentation

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ArchTest

ARCH test

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

ArchTest(x, lags = 12, demean = FALSE)

`x`	numeric vector
`lags`	positive integer number of lags
`demean`	logical: If TRUE, remove the mean before computing the test statistic.

reg<-nardl(food~inf,fod,ic="aic",maxlag = 4,graph = TRUE,case=3)
x<-reg$selresidu
nlag<-reg$nl
ArchTest(x,lags=nlag)

Nonlinear Cointegrating Autoregressive Distributed Lag Model

v0.1.6

GPL-3

Authors

Taha Zaghdoudi

Initial release