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


  • Tom Doan

    () (Estima)


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.

Suggested Citation

  • Tom Doan, "undated". "TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model," Statistical Software Components RTS00214, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00214 Note: RPF and SRC files are plain text. See

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    Multivariate ARCH-GARCH;


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