C Source for BDS Test Statistic for Independence
Blake Lebaron ()
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.
Requires: C compiler
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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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