Abstract
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.