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* <[EMAIL PROTECTED]
> <mailto:[EMAIL PROTECTED]>> 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
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