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
References: Add references at CitEc
Citations Track citations by RSS feed
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cod:ccplus:bds
Access Statistics for this software item
More software in C/C++ codes
Series data maintained by Christopher F. Baum ().