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RATS programs to replicate Tse's constant correlation GARCH test results

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

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.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Tse's constant correlation GARCH test results," Statistical Software Components RTZ00161, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00161
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/tsejoe2000.zip
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    Keywords

    CC GARCH model; RATS;

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