A Difference Estimator for Testing Equality of Variances for Paired Time Series

Bruce Cooil and Luke Froeb

Journal of Time Series Analysis, 1998, vol. 19, issue 3, 285-290

Abstract: A difference estimator of the standard error for the difference in variances of paired time series is proposed. The difference estimator uses the independence of periodogram ordinates to remove nuisance parameters. The difference estimator is easier to compute than one centered on the smoothed periodogram, but shares the same small sample shortcomings for non‐normal series

Date: 1998
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/1467-9892.00092

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:19:y:1998:i:3:p:285-290

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().