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.


Issue Date:
Nov 01 1997
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
42
Series Statement:
Working Paper 12/97




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

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