A Test to Compare two Related Stationary Time Series.

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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Year of publication:	1996
Authors:	Maharaj, A. ; Inder, B.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	TIME SERIES \| TESTS \| EVALUATION \| ECONOMIC MODELS

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Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 10/96 20 pages
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005427632