Displaying 4 results from an estimated 4 matches for "archtest".

2008 Feb 02

1

ARCH LM test for univariant time series

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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2008 Dec 09

1

Data Analysis Functions in R

Hi experts of R,
Are there any functions in R to test a univariate series for long memory
effects, structural breaks and time reversability?
I've found for ARCH effects(ArchTest), for normal (Shapiro.test,
KS.test(comparing with randn) and lillie.test) but not for the above
mentioned.
Where can I find a comprehensive list of functions available by type?
Thank you
Renato Costa
--
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2008 Feb 13

0

FinTS_0.2-7

Hi, All:
FinTS version 0.2-7 is now available on CRAN. This version adds two
new functions:
* ArchTest to compute the Engle (1982) Lagrange multiplier test for
conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with
examples on those pages worked in the R script in
"~R\library\FinTS\scripts\ch03.R", where "~R" is your local R
installation directory. The code f...

2008 Feb 13

0

FinTS_0.2-7

Hi, All:
FinTS version 0.2-7 is now available on CRAN. This version adds two
new functions:
* ArchTest to compute the Engle (1982) Lagrange multiplier test for
conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with
examples on those pages worked in the R script in
"~R\library\FinTS\scripts\ch03.R", where "~R" is your local R
installation directory. The code f...