stat_arch_lm {feasts} | R Documentation |
Computes a statistic based on the Lagrange Multiplier (LM) test of Engle (1982) for
autoregressive conditional heteroscedasticity (ARCH). The statistic returned is
the R^2
value of an autoregressive model of order lags
applied
to x^2
.
stat_arch_lm(x, lags = 12, demean = TRUE)
x |
a univariate time series |
lags |
Number of lags to use in the test |
demean |
Should data have mean removed before test applied? |
A numeric value.
Yanfei Kang