The Comparison of Two or More Stationary Time Series

Ann Maharaj

No 267934, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper we propose a test statistic to compare two or more stationary time series that are not necessarily independent. The test is based on the difference between estimated parameters of the autoregressive models that are fitted to the series.

Keywords: Research and Development/Tech Change/Emerging Technologies; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 42
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267934

DOI: 10.22004/ag.econ.267934

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