[R] ARCH LM test for univariant time series

[Spencer Graves]

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!
>
>