Comparison of Non-Stationary Time Series in the Frequency Domain

Elizabeth Maharaj ()

No 1/01, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper we compare two non-stationary time series using non-parametric procedures. Evolutionary spectra are estimated for the two series. Randomization tests are performed on groups of spectral estimates for both related and independent time series. Simul ation studies show that in certain cases the tests perform reasonably well. The tests are applied to observed geological and financial time series.

Keywords: Tests; Time series; Simulation; Evolutionary Spectra (search for similar items in EconPapers)
JEL-codes: C30 C32 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2001-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (5)

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Journal Article: Comparison of non-stationary time series in the frequency domain (2002)
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