TSEJOE2000: RATS program to replicate Tse(2000)'s constant correlation GARCH test results

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: This contains an example program and data file for implementing Tse's LM test for constant correlation in a multivariate GARCH model. The program replicates the results from the article: Tse, Y.K.(2000), "A Test for Constant Correlations in a Multivariate GARCH Model", Journal of Econometrics, 98, pp. 107-127.

Language: RATS
Requires: RATS 8.00
Keywords: ARCH-GARCH (search for similar items in EconPapers)
Date: 2025-12-29
Note: RPF and SRC files are plain text. See https://estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://estima.com/procedures/tsejoe2000.zip (application/zip)

Related works:
Journal Article: A test for constant correlations in a multivariate GARCH model (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00232

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