The BDS test of independence

Christopher Baum, Stan Hurn and Kenneth Lindsay ()
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Kenneth Lindsay: University of Glasgow

Stata Journal, 2021, vol. 21, issue 2, 279-294

Abstract: In this article, we describe and implement the Brock, Dechert, and Scheinkman (1987, Working paper) test of independence of the elements of a time series.

Keywords: bds; BDS test; dependence; correlation integral (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1177/1536867X211025796

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