The Comparison of two or more Stationary Time Series

A. Maharaj

No 12/97, Monash 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: ECONOMETRICS; TIME SERIES (search for similar items in EconPapers)
JEL-codes: C32 C51 (search for similar items in EconPapers)
Pages: 40 pages
Date: 1997
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:msh:ebswps:1997-12

Ordering information: This working paper can be ordered from
http://business.mona ... -business-statistics

Access Statistics for this paper

More papers in Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics PO Box 11E, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Professor Xibin Zhang ().