Tse, JOE 2000 test for CC
Posted: Fri Jun 29, 2012 9:21 amThis demonstrates the Tse LM test for constant correlation, replicating the results results in Tse, Y. K.(2000), "A Test for Constant Correlations in a Multivariate GARCH Model", Journal of Econometrics 98, 107-127. This starts with an estimate of a CC model and does an LM test for whether the covariances seem to also depend upon lagged outer products of the residuals.
This uses the TSECCTEST procedure (http://www.estima.com/forum/viewtopic.php?f=7&t=796). Note that the GARCH model cannot use off-diagonal covariances in either the mean or variance models. The use of variances is OK, so you can have an "M" model which uses variances, but not the covariances.
This uses the TSECCTEST procedure (http://www.estima.com/forum/viewtopic.php?f=7&t=796). Note that the GARCH model cannot use off-diagonal covariances in either the mean or variance models. The use of variances is OK, so you can have an "M" model which uses variances, but not the covariances.
tse.rpf- Program file
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- exratew.dat
- Data file
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