"Homogeneity of Variance Test" for the Comparison of Two or More Spectra

E. A. Maharaj, N. Singh and B. A. Inder

No 267772, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: Let [Zjt: j = 1, 2...k, t = 0 ±1 , ±2 , ...... .] be k independent stationary processes, with spectral density functions Szj(w), j = 1.2....k In many real wend situations there is a need to compare two or more spectra. Tests to compare spectra already exist in the literature In this paper we propose a test, based on Bartlett's modification of the likelihood ratio criterion, for comparing two or more spectra. Simulation studies show that for k=2 this test is comparable and in some cases better than existing test procedures. The performance of this test for k=3 is also assessed.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 39
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267772

DOI: 10.22004/ag.econ.267772

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