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


  • Tom Doan

    () (Estima)


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

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