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C Source for BDS Test Statistic for Independence

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Author Info
Blake LeBaron () (Department of Economics, University of Wisconsin - Madison)

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Abstract

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.

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File URL: ftp://all.repec.org/RePEc/cod/html/C++/bdsccode.si
File Format: text/plain
File Function: Software Information
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File URL: ftp://all.repec.org/RePEc/cod/html/C++/bdsccode.tar.gz
File Format: text/plain
File Function: Source code for BDS test
Download Restriction: no

Publisher Info
Software component provided by in its series C/C++ codes with number bds.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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Programming language: C++
Requires: C compiler
Date of creation: Nov 1991
Date of revision:
Handle: RePEc:cod:ccplus:bds

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For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).

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