Perform Engle's ARCH LM test

Source: man/performArchLMTest.Rd · Help: ?performArchLMTest

Regresses squared residuals on their lags to detect ARCH effects.

Usage

performArchLMTest(model, data = NULL, lags = 1)

Arguments

model

an object of class lm.

data

optional data frame the model was fitted to. When NULL, the default, the model frame of model is used. The statistic is computed from the residuals of model, so data does not change the result; it is accepted so that every test takes (model, data, ...). Before 0.15.0 the second argument was lags: a number passed there by position is still read as lags, with a warning that shows the new call; that form stops working in 1.0.0.

lags

number of lags to include.

Value

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

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.

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)