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
References: Add references at CitEc
Citations:

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)

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: https://EconPapers.repec.org/RePEc:cod:ccplus:bds

Access Statistics for this software item

More software in C/C++ codes
Bibliographic data for series maintained by Christopher F. Baum ().