BDSTEST: RATS procedure to compute Brock-Decher-Scheinkman test for i.i.d

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes the Brock, Dechert, & Scheinkman Test (BDS) test for i.i.d., "A test of independence based on the correlation dimension" (working paper title). Included in Brock, Hsieh and LeBaron, "Nonlinear Dynamics,Chaos,and Instability", MIT Press, 1993, Chap. 2.

Language: RATS
Requires: RATS 5.10
Keywords: Dependence tests; BDS test (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.estima.com/procs_perl/bdstest.src (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rts00016

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().