A Test of Compare Two Related Stationary Time Series

Anne Maharaj and Brett Inder

No 267912, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: Hypothesis tests designed to compare stationary time series usually require the series to be independent. In order to compare time series that may be influenced by one or more COMM011 factors, one has to assume that their underlying generating processes are related. In this paper we present a test statistic, which will be used to test for significant differences between generating processes of two time series that may be logically connected. The lest statistic is based on the differences between estimated parameters of the aittoregressive niodels which are fitted to the series.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 22
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267912

DOI: 10.22004/ag.econ.267912

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