[R] ARCH LM test for univariant time series

[Spencer Graves]

Dear Tom, Bernhard, Ruey: 

      I can't get that to match Tsay's example, but I have other 
questions about that. 

      1.  I got the following using Tom's 'archTest' function (below): 

 > archTest(log(1+as.numeric(m.intc7303)), lags=12)

    ARCH test (univariate)

data:  Residual of y1 equation
Chi-squared = 10.8562, df = 16, p-value = 0.8183

Warning message:
In VAR(s, p = 1, type = "const") :
  No column names supplied in y, using: y1, y2, y3, y4, y5, y6, y7, y8, 
y9, y10, y11, y12 , instead.

 >
           ** First note that the answer has df = 16, even though I 
supplied lags = 12. 

      2.  For (apparently) this example, S-Plus FinMetrics 'archTest' 
function returned "Test for ARCH Effects:  LM Test.  Null Hypothesis:  
no ARCH effects.  Test Stat 43.5041, p.value 0.0000.  Dist. under Null:  
chi-square with 12 degrees of freedom". 

      3.  Starting on p. 101, Ruey mentioned "the Lagrange multiplier 
test of Engle (1982)", saying "This test is equivalent to the usual F 
test for" no regression, but refers it to a chi-square, not an F 
distribution.  Clearly, there is a gap here, because the expected value 
of the F distribution is close to 1 [d2/(d2-2), where d2 = denominator 
degrees of freedom;  http://en.wikipedia.org/wiki/F-distribution], while 
the expected value for a chi-square is the number of degrees of freedom

      Unfortunately, I don't feel I can afford the time to dig into this 
further right now. 

      Thanks for your help. 
      Spencer Graves

tom soyer wrote:
> Spencer, how about something like this:
>  
> archTest=function (x, lags= 16){
>  #x is a vector
>  require(vars)
>  s=embed(x,lags)
>  y=VAR(s,p=1,type="const")
>  result=arch(y,multi=F)$arch.uni[[1]]
>  return(result)
> }
>  
> can you, or maybe Bernhard, check and see whether this function gives 
> the correct result?
>  
> thanks,
>  
> On 2/1/08, *Spencer Graves* <spencer.graves at pdf.com 
> <mailto:spencer.graves at pdf.com>> wrote:
>
>     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!
>     >
>     >
>
>
>
>
> -- 
> Tom