ON THE COMPARISON OF TIME SERIES USING SUBSAMPLING

In this paper we propose a procedure based on the subsampling techniques for the comparison of stationary time series that are not necessarily independent. We study a test based on the Euclidean distance between the autocorrelation functions of two series. Consistency of the proposed method is established. We present a Monte Carlo study with the size and the power of the proposed test.

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Year of publication:	2005-02
Authors:	Alonso, Andres M. ; Maharaj, Elizabeth A.
Institutions:	Departamento de Estadistica, Universidad Carlos III de Madrid

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Extent:	application/pdf
Series:	Statistics and Econometrics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005190174