BDS: MATLAB module to calculate Brock, Dechert & Scheinkman test for independence

Ludwig Kanzler ()

Statistical Software Components from Boston College Department of Economics

Abstract: [W, SIG, C, C1, K] = BDS (SERIES, MAXDIM, DISTANCE, METHOD, MAXRAM) uses the time-series vector SERIES (1) and the dimensional distance (either defined as fraction DISTANCE of the standard deviation of SERIES if FLAG = 0, or defined such that the one dimensional correlation integral of SERIES is equal to DISTANCE if FLAG = 1) to compute BDS statistics W for each dimension between 2 and MAXDIM, significance levels SIG at which the null hypotheses of no dependence are rejected against (almost) any type of linear and non-linear dependence, correlation integral estimates C for each dimension M between 2 and MAXDIM, first-order correlation integral estimates C1 computed over the last N-M+1 observations, and parameter estimate K.

Language: MATLAB
Date: 1998-06-30
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Citations: View citations in EconPapers (2)

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http://fmwww.bc.edu/repec/bocode/b/bds.m program code (text/plain)

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