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A Difference Estimator for Testing Equality of Variances for Paired Time Series

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  • Bruce Cooil
  • Luke Froeb

Abstract

A difference estimator of the standard error for the difference in variances of paired time series is proposed. The difference estimator uses the independence of periodogram ordinates to remove nuisance parameters. The difference estimator is easier to compute than one centered on the smoothed periodogram, but shares the same small sample shortcomings for non‐normal series

Suggested Citation

  • Bruce Cooil & Luke Froeb, 1998. "A Difference Estimator for Testing Equality of Variances for Paired Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(3), pages 285-290, May.
    • Handle: RePEc:bla:jtsera:v:19:y:1998:i:3:p:285-290
    DOI: 10.1111/1467-9892.00092
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