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

Author

Listed:
  • Tom Doan

    () (Estima)

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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    Citations

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    Cited by:

    1. Renée Fry & Adrian Pagan, 2011. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," Journal of Economic Literature, American Economic Association, vol. 49(4), pages 938-960, December.
    2. repec:ibn:ijefaa:v:10:y:2018:i:4:p:191-205 is not listed on IDEAS
    3. repec:eee:ecmode:v:77:y:2019:i:c:p:174-186 is not listed on IDEAS
    4. repec:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1305-7 is not listed on IDEAS
    5. Petre Caraiani & Rangan Gupta, 2018. "Is the Response of the Bank of England to Exchange Rate Movements Frequency-Dependent?," Working Papers 201883, University of Pretoria, Department of Economics.
    6. Ragna Alstadheim & Hilde C. Bjørnland & Junior Maih, 2013. "Do central banks respond to exchange rate movements? A Markov-switching structural investigation," Working Paper 2013/24, Norges Bank.
    7. Hoda Selim, 2012. "Exploring the Role of the Exchange Rate in Monetary Policy in Egypt," Working Papers 733, Economic Research Forum, revised 2012.
    8. Elekdag, Selim & Han, Fei, 2015. "What drives credit growth in emerging Asia?," Journal of Asian Economics, Elsevier, vol. 38(C), pages 1-13.
    9. Halvorsen, Jørn I. & Jacobsen, Dag Henning, 2014. "How important can bank lending shocks be for economic fluctuations?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 104-123.
    10. Lance A. Fisher & Hyeon-seung Huh, 2018. "An IV framework for combining sign and long-run parametric restrictions in SVARs," Working papers 2018rwp-124, Yonsei University, Yonsei Economics Research Institute.
    11. repec:eee:pacfin:v:46:y:2017:i:pb:p:337-354 is not listed on IDEAS
    12. Jarkko Jääskelä & David Jennings, 2010. "Monetary Policy and the Exchange Rate: Evaluation of VAR Models," RBA Research Discussion Papers rdp2010-07, Reserve Bank of Australia.
    13. repec:eee:jbfina:v:100:y:2019:i:c:p:77-96 is not listed on IDEAS
    14. Erdem Ekrem & Kayhan Selim, 2011. "The Taylor Rule in Estimating the Performance of Inflation Targeting Programs: The Case of Turkey," Global Economy Journal, De Gruyter, vol. 11(1), pages 1-17, March.
    15. K. Istrefi & B. Vonnak, 2015. "Delayed Overshooting Puzzle in Structural Vector Autoregression Models," Working papers 576, Banque de France.
    16. Ivrendi, Mehmet & Yildirim, Zekeriya, 2013. "Monetary policy shocks and macroeconomic variables: Evidence from fast growing emerging economies," Economics Discussion Papers 2013-61, Kiel Institute for the World Economy (IfW).
    17. Fisher, Lance A. & Huh, Hyeon-seung, 2016. "Monetary policy and exchange rates: Further evidence using a new method for implementing sign restrictions," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 177-191.
    18. repec:pid:journl:v:57:y:2018:i:2:p:175-202 is not listed on IDEAS
    19. Bjørnland, Hilde C. & Jacobsen, Dag Henning, 2010. "The role of house prices in the monetary policy transmission mechanism in small open economies," Journal of Financial Stability, Elsevier, vol. 6(4), pages 218-229, December.
    20. Jääskelä, Jarkko P. & Jennings, David, 2011. "Monetary policy and the exchange rate: Evaluation of VAR models," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1358-1374.
    21. repec:bla:ausecp:v:56:y:2017:i:1:p:27-38 is not listed on IDEAS
    22. Carrillo Julio A. & Elizondo Rocío, 2015. "How Robust Are SVARs at Measuring Monetary Policy in Small Open Economies?," Working Papers 2015-18, Banco de México.
    23. Max Hanisch, 2017. "US Monetary Policy and the Euro Area," Discussion Papers of DIW Berlin 1701, DIW Berlin, German Institute for Economic Research.
    24. Jørn Inge Halvorsen & Dag Henning Jacobsen, 2009. "Are bank lending shocks important for economic fluctuations?," Working Paper 2009/27, Norges Bank.

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    Keywords

    CC GARCH model;

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