arch.test in vars package with multivariate.only = FALSE
The function
arch.test(x, lags.single = 16, lags.multi = 5, multivariate.only = FALSE)
produces the univariate and multivariate parts of the ARCH test
By_t = C+A_1 y_{t-1}+
.. A_n y_{t-n}+\epsilon (homoskedastic VAR)
And then
u_t = B^{-1}\epsilon_t = y_t (B^{-1}C+B^{-1}A_1 y_{t-1}-......+ B^{-1}
A_n y_{t-n})
u_k(t) is the k-th element of u_t
u_k(t)= c+ \theta_1 u_k(t-1) + \theta_2 u_k(t-2)+...... \theta_q
u_k(t-q)+\nu_k(t)
Do the univariate parts of the ARCH test refer to the significance test of
the last regression, H_0: \theta_i = 0 for all i against H_1: H_0 is false,
for all k?
Thanks,
Miao
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