Note that you need Gauss package: cmlMT 
These codes operate on GAUSS 10.

  File "LK_QRtest_multivariate.txt" contains the code for 
  computing the test statistics and some printing commands.

  File "Model4.txt" is an example how to 
  estimate a Multivariate Generalized Orthogonal Factor
  GARCH model and compute the test statistics.

  File "FXweekr.txt" is the dataset used by the file 
  Model4.txt , and it was applied in the Discussion 
  Paper No 247 / December 2008 

To get the programs work:


1) Copy the above 3 files to a folder

2) Rename 2 files:
   "LK_QRtest_multivariate.txt" -> "LK_QRtest_multivariate.src"
   "fxweekr.txt" -> "fxweekr.fmt"
 
3) Run the following command to create a library 
"LK_QRtest_multivariate":
lib LK_QRtest_multivariate LK_QRtest_multivariate.src;

4) Run Model4.txt to check that all the codes work.

5) You can use file "Model4.txt" as an example to
write estimation codes suitable for your needs.