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BDSTEST: RATS procedure to compute Brock-Decher-Scheinkman test for i.i.d
Tom Doan Statistical Software Components from Boston College Department of Economics
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.
Requires: RATS 5.10
Keywords: Dependence tests; BDS test (search for similar items in EconPapers)
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Downloads: (external link) http://www.estima.com/procs_perl/bdstest.src (text/plain)
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rts00016
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