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The BDS test of independence

Author

Listed:
  • Christopher F Baum

    (Boston College
    DIW Berlin)

  • Stan Hurn

    (Queensland University of Technology)

  • Kenneth Lindsay

    (University of Glasgow)

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.

Suggested Citation

  • Christopher F Baum & Stan Hurn & Kenneth Lindsay, 2021. "The BDS test of independence," Stata Journal, StataCorp LP, vol. 21(2), pages 279-294, June.
    • Handle: RePEc:tsj:stataj:v:21:y:2021:i:2:p:279-294
    DOI: 10.1177/1536867X211025796
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    Citations

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    Cited by:

    1. Lorenzo Escot & Julio E. Sandubete & Łukasz Pietrych, 2023. "Detecting Structural Changes in Time Series by Using the BDS Test Recursively: An Application to COVID-19 Effects on International Stock Markets," Mathematics, MDPI, vol. 11(23), pages 1-18, December.

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