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

Tom Doan (tomd@estima.com)

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 https://www.estima.com/ratsfiletypes.shtml
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Citations:

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

Related works:
Book: Nonlinear Dynamics, Chaos, and Instability - Unix version (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00016

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