On the comparison of time series using subsampling

Elizabeth Maharaj ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper we propose a procedure based on the subsampling techniques for the comparison of stationary time series that are not necessarily independent. We study a test based on the Euclidean distance between the autocorrelation functions of two series. Consistency of the proposed method is established. We present a Monte Carlo study with the size and the power of the proposed test.

Date: 2005-02
New Economics Papers: this item is included in nep-ets
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Journal Article: Comparison of time series using subsampling (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws050702

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