[R] .arch.uni in function call in arch test of vars package

[Pfaff, Bernhard Dr.]

>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))
>
Hello Joe,

have a look at the source code (internal.R). For your convenience the
function is:

## univariate ARCH test
".arch.uni" <-
function(x, lags.single){
  lags.single <- lags.single + 1
  mat <- embed(scale(x)^2, lags.single)
  arch.lm <- summary(lm(mat[, 1] ~ mat[, -1]))
  STATISTIC <- arch.lm$r.squared*length(resid(arch.lm))
  names(STATISTIC) <- "Chi^2"
  PARAMETER <- lags.single - 1
  names(PARAMETER) <- "df"
  PVAL <- 1 - pchisq(STATISTIC, df = PARAMETER)
  METHOD <- "ARCH test (univariate)"
  result <- list(statistic = STATISTIC, parameter = PARAMETER, p.value =
PVAL, method = METHOD, data.name = deparse(substitute(x)))
  class(result) <- "htest"
  return(result)
}


Best,
Bernhard


>does any one know about the function .arch.uni?
>
>Thank you
>Joe
>
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