Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!
Get Started for Free

mcleodLiTest

McLeod-Li test

Description

McLeod-Li test for conditional heteroscedascity (ARCH).

Usage

mcleodLiTest(time.series, lag.max)

Arguments

time.series

The original time.series.
lag.max

Maximum number of lags for which to test for conditional heteroscedascity.

Value

A list containing the p.values for each of the Ljung-Box tests computed using lags ranging from 1 to lag.max.

References

Tsay, Ruey S., and Rong Chen. Nonlinear time series analysis. Vol. 891. John Wiley & Sons, 2018.

See Also

nonlinearTseries

Nonlinear Time Series Analysis

v0.2.10
GPL-3
Authors
Constantino A. Garcia [aut, cre], Gunther Sawitzki [ctb]
Initial release
2020-6-10

We don't support your browser anymore

Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.