Hi, Tom: The 'arch' function in the 'vars' package is supposed to be able to do that. Unfortunately, I was unable to make it work for a univariate series. Bernhard Pfaff, the author of 'vars', said that if I read the code for 'arch', I could easily retrieve the necessary lines and put them in my own function; I have not so far found the time to try that. If you do, or if you get a better answer than this, would you please let me know? I would like to have this capability for the 'FinTS' package, and I would happily write a help page if someone would contribute the function -- or use a function in another package. Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley) includes an example on p. 103 that could be used for a reference.
Hope this helps. Spencer Graves tom soyer wrote: > Hi, > > Does anyone know if R has a Lagrange multiplier (LM) test for ARCH > effects for univariant time series? > > Thanks! > > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.