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Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power
Kocenda, Evzen; Briatka, Lubos - EconWPA - 2004
This paper builds on Kočenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε- ranges new critical values for various lengths of the data sets are introduced and through...
Persistent link: https://www.econbiz.de/10005407903
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An Alternative to the BDS Test: Integration Across The Correlation Integral
Kocenda, Evzen - EconWPA - 2003
This paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing … suggested alternative to the BDS test. The results are favorable for the suggested alternative. …
Persistent link: https://www.econbiz.de/10005119218