Run time-series heteroscedasticity tests

Convenience wrapper for Engle's ARCH LM and McLeod-Li tests.

Usage

runTimeSeriesTests(model, lags = 1, tests = c("arch_lm", "mcleod_li"))

Arguments

model

A fitted lm object.

lags

Number of lags for both tests.

tests

Character vector of test names.

Value

A named list of htest objects.

See also

runPanelTests

Examples

 data(mtcars)
 m <- lm(mpg ~ wt + qsec, mtcars)
 runTimeSeriesTests(m, lags = 2)
#> [INFO] Running ARCH LM test
#> [INFO] Running McLeod-Li test
#> $arch_lm
#> 
#> 	Engle's ARCH LM test
#> 
#> data:  mpg ~ wt + qsec
#> X-squared = 3.4573, df = 2, p-value = 0.1775
#> 
#> 
#> $mcleod_li
#> 
#> 	McLeod-Li test for heteroscedasticity
#> 
#> data:  mpg ~ wt + qsec
#> X-squared = 4.8058, df = 2, p-value = 0.09046
#> 
#>