BDSTEST—Brock, Dechert, Sheinkman independence
Posted: Fri Jun 29, 2018 6:28 am
@BDSTEST performs the BDS test for independence from Brock, Dechert, & Scheinkman(1993), "A test of independence based on the correlation dimension" (working paper versions), included in "Nonlinear Dynamics,Chaos,and Instability", MIT Press,1993,Chap.2.
Detailed description
Detailed description