Run time-series heteroscedasticity tests

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

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)