SIG = BDSSIG (W, N, M, EPS) evaluates the significance of BDS statistics W under the null hypothesis of iidness, using Kanzler's (1998) finite-sample quantile values. The significance levels can only assume 0.005, 0.010, 0.025, 0.050 or 1 (indicates failure to reject the null hypothesis) in value. These levels must be doubled to conduct what is normally a two-sided BDS test. N is the size of the sample on which the BDS statistics were computed. M can be either a scalar or a vector (corresponding to W) and represents the embedding dimension(s) for which the BDS statistics were computed. Only integers between 2 and 15 inclusive are permitted. EPS is the dimensional distance for which the BDS statistics were calculated. This is given in units of the standard deviation of approximately normally distributed samples, and only values 0.5, 1.0, 1.5 and 2.0 are allowed.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
T891501.
Size: Programming language: MATLAB Requires: Date of creation: 15 Sep 1998 Date of revision:
29 Sep 2002 Handle: RePEc:boc:bocode:t891501
Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC