TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Does the Tse LM test for constant correlation. This must follow estimation of a constant correlation model. Tse, Y.K.(2000), "A Test for Constant Correlations in a Multivariate GARCH Model", Journal of Econometrics 98, 107-127.

Language: RATS
Requires: RATS 7.10
Keywords: Multivariate; ARCH-GARCH (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/tsecctest.src (text/plain)

Related works:
Journal Article: A test for constant correlations in a multivariate GARCH model (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00214

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().