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!
>
>