A Test of Compare Two Related Stationary Time Series

Hypothesis tests designed to compare stationary time series usually require the series to be independent. In order to compare time series that may be influenced by one or more COMM011 factors, one has to assume that their underlying generating processes are related. 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 lest statistic is based on the differences between estimated parameters of the aittoregressive niodels which are fitted to the series.


Issue Date:
Sep 01 1996
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/267912
Language:
English
Total Pages:
22
Series Statement:
Working Paper 10/96




 Record created 2018-02-06, last modified 2018-02-07

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