Perform Engle's ARCH LM test

Regresses squared residuals on their lags to detect ARCH effects.

Usage

performArchLMTest(model, lags = 1)

Details

The statistic is \(n R^2\) from an auxiliary regression of \(e_t^2\) on its lagged values, where \(R^2\) is the coefficient of determination. Under the null of no ARCH effects it follows a chi-square distribution with degrees of freedom equal to the number of lags.

Arguments

model

an object of class lm.

lags

number of lags to include.

Value

An object of class htest containing the test statistic, p-value and degrees of freedom.

References

Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. doi:10.2307/1912773

Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press.

Examples

 data(mtcars)
 m <- lm(mpg ~ wt + qsec, data = mtcars)
 performArchLMTest(m, lags = 2)
#> [INFO] Running ARCH LM test
#> 
#> 	Engle's ARCH LM test
#> 
#> data:  mpg ~ wt + qsec
#> X-squared = 3.4573, df = 2, p-value = 0.1775
#>