I have been reviewing the arch test of vars package that is based on
Engle's paper. R-metrics has this as a wants/todo item. I need an arch
test and thought I might accomplish two things at once or at least try.
The arch test requires a varest object and I am trying to write one that
will use R-metrics arima, arch, Garch objects, or at least a vector.
Also the arch function has the following line of code that I can not
find the function anywhere
archs.resids <- apply(resids, 2, function(x) .arch.uni(x,
lags.single = lags.single))
does any one know about the function .arch.uni?
Thank you
Joe
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