A Difference Estimator for Testing Equality of Variances for Paired Time Series
Vanderbilt University - Statistics
Vanderbilt University - Strategy and Business Economics
Journal of Time Series Analysis, Vol. 19, pp. 285-290, 1998
A difference estimator of the standard error for the difference in variances of paired time series is proposed. The difference estimator uses the independence of periodogram ordinates to remove nuisance parameters. The difference estimator is easier to compute than one centered on the smoothed periodogram, but shares the same small sample shortcomings for non-normal series.
Keywords: spectral analysis, variance estimator, difference estimator
JEL Classification: C22, C32, C52Accepted Paper Series
Date posted: July 6, 2008
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo4 in 0.437 seconds