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VB Code to calculate the BDS statistic


Does anyone have or know where I can get hold of vb code/algorithm to calculate the Brock, Dechert Scheinkman (BDS) Test to measure the independence of a data series?

The code is avaliable in other programming languges on the net (Matlab - http://fmwww.bc.edu/repec/bocode/b/bdssig.m , C++ and others) but I use none of these platforms (I'm not a programmer!).



Bastian Gross

German Mathquant
Hi Lucas,

Easily, you can use MATLAB's Excel Link. You could then call your MATLAB functions (like the m-file) and variables (Maybe copy/paste your "quants" in Excel.) in Excel and VBA.

With ExcelLink you can call matlab functions directly using matlabfcn() from the spreadsheet (in Excel!).
Matlabfcn() takes as input arguments the name of the matlab function as string, followed by the input arguments of the matlab function.
Works quite well, except if you have lots of matlabfcn()'s in the spreadsheet- because each individual call involves a time penalty of going to matlab from excel and back.

I hope, that this assistance will help you.
Good luck!