The BDS test of independence-Reference-Cited by-同舟云学术

The BDS test of independence

Published:2021-06 Issue:2 Volume:21 Page:279-294
ISSN:1536-867X
Container-title:The Stata Journal: Promoting communications on statistics and Stata
language:en
Short-container-title:The Stata Journal

Author:

Baum Christopher F.¹,Hurn Stan²,Lindsay Kenneth³

Affiliation:

1. Department of Economics, Boston College, Chestnut Hill, MA,

2. School of Economics and Finance, Queensland University of Technology, Brisbane, Australia,

3. Department of Mathematics, University of Glasgow, Glasgow, UK,

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.

Publisher

SAGE Publications

Subject

Mathematics (miscellaneous)

Link

http://journals.sagepub.com/doi/pdf/10.1177/1536867X211025796

Reference15 articles.

1. Battaglia F., Orfei L. 2005. Outlier detection and estimation in nonlinear time series. Journal of Time Series Analysis 26: 107–121. https://doi.org/10.1111/j.1467-9892.2005.00392.x.

2. Brock W. A., Dechert W. D., Scheinkman J. A. 1987. A test for independence based on the correlation dimension. Working paper, Department of Economics, University of Wisconsin–Madison.

3. Brock W. A., Dechert W. D., Scheinkman J. A., LeBaron B. 1996. A test for independence based on the correlation dimension. Econometric Reviews 15: 197–235. https://doi.org/10.1080/07474939608800353.

4. Cromwell J. B., Labys W. C., and Terraza M. 1994. Univariate Tests for Time Series Models. Quantitative Applications in the Social Sciences. Thousand Oaks, CA: SAGE. https://dx.doi.org/10.4135/9781412986458.

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