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BDSSIG: MATLAB module to calculate Brock, Dechert & Scheinkman test significance

Author

Listed:
  • Ludwig Kanzler

Programming Language

MATLAB

Abstract

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.

Suggested Citation

  • Ludwig Kanzler, 1998. "BDSSIG: MATLAB module to calculate Brock, Dechert & Scheinkman test significance," Statistical Software Components T891501, Boston College Department of Economics, revised 29 Sep 2002.
    • Handle: RePEc:boc:bocode:t891501
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    File URL: http://fmwww.bc.edu/repec/bocode/b/bdssig.m
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    Keywords

    MATLAB;

    Statistics

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