@TSECCTEST performs the Tse(2000) LM test for CC in multivariate GARCH models. This tests the adequacy of a CC representation for the covariances in a GARCH model. (You run a CC model and perform an LM test for a generalization of CC). Tse, Y.K.(2000), "A Test for Constant Correlations in a Multivariate GARCH Model", Journal of Econometrics 98, 107-127.
tsecctest.src
Detailed description
For the example from the original Tse article, see http://www.estima.com/forum/viewtopic.php?f=8&t=1537.
TSECCTEST—Tse test for CC
TSECCTEST—Tse test for CC
Last edited by TomDoan on Wed Apr 11, 2018 12:30 pm, edited 5 times in total.
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Last bumped by TomDoan on Wed Apr 11, 2018 12:31 pm.