- Example:
library("times")
randomize(0)
y = genarch(0.2|0.1,0.5,200)
h = archtest(y)
h
- Result:
As no optional argument is provided, the Lagrange Multiplier
form of the statistic is evaluated for the default lag
orders 2,3,4, and 5.
Contents of h
[1,] Lag order Statistic 95% Critical Value P-Value
[2,] __________________________________________________
[3,]
[4,] 2 3.36892 5.97378 0.18551
[5,] 3 16.40116 7.80251 0.00094
[6,] 4 16.79456 9.47844 0.00212
[7,] 5 17.53251 11.06309 0.00359
- Example:
;Calculation of the TR2 form of the ARCH test for the default
;lag orders 2,3,4, and 5.
library("times")
randomize(0)
y = genarch(0.2|0.1,0.5,200)
h = archtest(y,"TR2")
h
- Result:
Contents of h
[1,] Lag order Statistic 95% Critical Value P-Value
[2,] __________________________________________________
[3,]
[4,] 2 2.53583 5.97378 0.28139
[5,] 3 12.14567 7.80251 0.00690
[6,] 4 12.42151 9.47844 0.01448
[7,] 5 13.02704 11.06309 0.02313
- Example:
Calculation of the TR2 form of the ARCH test for the lag
orders 3,5,7,8
library("times")
randomize(0)
y = genarch(0.2|0.1,0.5,200)
k = #(3,5,7,8)
h = archtest(y,k,"TR2")
h
- Result:
Contents of h
[1,] Lag order Statistic 95% Critical Value P-Value
[2,] __________________________________________________
[3,]
[4,] 3 12.14567 7.80251 0.00690
[5,] 5 13.02704 11.06309 0.02313
[6,] 7 14.13459 14.06200 0.04884
[7,] 8 13.80119 15.50292 0.08710
- Example:
Calculation of the LM form of the ARCH test for the lag
orders 3,5,7,8
library("times")
randomize(0)
y = genarch(0.2|0.1,0.5,200)
k = #(3,5,7,8)
h = archtest(y,k)
; h = archtest(y,k,"LM") ; this is an equivalent instruction
h
- Result:
Contents of h
[1,] Lag order Statistic 95% Critical Value P-Value
[2,] __________________________________________________
[3,]
[4,] 3 16.40116 7.80251 0.00094
[5,] 5 17.53251 11.06309 0.00359
[6,] 7 19.22952 14.06200 0.00750
[7,] 8 18.65397 15.50292 0.01682