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C Source for BDS Test Statistic for Independence

Blake Lebaron ()

C/C++ codes

Abstract: This source code implements the BDS test statistic for independence of a time-series that was proposed by W. A. Brock, W. D. Dechert and J. A. Scheinkman and that is described both in the book "Nonlinear Dynamics, Chaos and Instability" by W. A. Brock, D. A. Hsieh and B. LeBaron (MIT Press, 1991) and the article "A Test for Independence Based on the Correlation Dimension" by W. A. Brock, W. D. Dechert, J. A. Scheinkman and B. LeBaron in Econometric Review, 15(3), 1996.

Language: C++
Requires: C compiler
Date: 1991-11
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Downloads: (external link)
ftp://ftp.repec.org/RePEc/cod/html/C++/bdsccode.si Software Information (text/plain)
ftp://ftp.repec.org/RePEc/cod/html/C++/bdsccode.tar.gz Source code for BDS test (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:cod:ccplus:bds

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