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K2K test of nonlinear dependencies
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SYSNO ASEP 0319743 Document Type L4 - Software R&D Document Type Software Title K2K test of nonlinear dependencies Title K2K test nelineárních závislostí Author(s) Briatka, Ľ. (SK)
Kočenda, Evžen (NHU-C) RIDYear of issue 2005 Int.Code K2K Test SResult web page, Location of the result Univerzita Karlova v Praze, Centrum pro ekonomický výzkum a doktorské studium Technical parameters Software testovaci procedury K2K zalozene na principu korelacniho integralu na detekci nelinarnich vzoru ve vysokofrekvencnich datech doplneny o kriticke hodnoty pro velikosti souboru 500, 1000 a 2500 pozorovani. Owner Name Univerzita Karlova v Praze, Centrum pro ekonomický výzkum a doktorské studium Registration Number of the result owner 00216208 Use by another entity N - Využití výsledku jiným subjektem je možné bez nabytí licence License fee fee N - Poskytovatel licence nepožaduje licenční poplatek Language eng - English Country CZ - Czech Republic Keywords correlation integral ; chaos ; software ; nonlinear dynamics ; high-frequency economic and financial data ; Monte Carlo Subject RIV AH - Economics R&D Projects LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ MSM0021620846 - NHU-C Annotation K2K program runs the test based on the paper by Kočenda, E., 2001. An Alternative to the BDS Test: Integration Across the Correlation Integral, Econometric Reviews, 20(3), 337-351 and the paper by Kočenda, E., Briatka, L., 2005. Optimal Range for the iid Test Based on Integration across the Correlation Integral. Econometric Reviews, 24(3), 265-296. The program calculates values of the correlation integral Cm for 41 values of proximity parameter epsilon. This is done at nine embedding dimensions m = 2,...,10. The program computes the values of slope coefficients beta(m), automatically suggests the optimal set of critical values based on the sample size, compares the computed slope with critical values and note the significance. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2009
Number of the records: 1