A Test to Compare two Related Stationary Time Series

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A Test to Compare two Related Stationary Time Series

Author Info

Maharaj, A.
Inder, B.

Abstract

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 test statistic is based on the differences between estimated parameters of the autoregressive models which are fitted to the series.

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Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 10/96.

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Length: 20 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:msh:ebswps:1996-10

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

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