The Comparison of two or more Stationary Time Series

In this paper we propose a test statistic to compare two or more stationary time series that are not necessarily independent. The test is based on the difference between estimated parameters of the autoregressive models that are fitted to the series.

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Year of publication:	1997
Authors:	Maharaj, A.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	ECONOMETRICS \| TIME SERIES

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Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 12/97 40 pages
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005581161