Abstract

http://ssrn.com/abstract=981464
 


 



A Difference Estimator for Testing Equality of Variances for Paired Time Series


Bruce Cooil


Vanderbilt University - Statistics

Luke Froeb


Vanderbilt University - Strategy and Business Economics


Journal of Time Series Analysis, Vol. 19, pp. 285-290, 1998

Abstract:     
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, C52

Accepted Paper Series


Not Available For Download

Date posted: July 6, 2008  

Suggested Citation

Cooil, Bruce and Froeb, Luke, A Difference Estimator for Testing Equality of Variances for Paired Time Series. Journal of Time Series Analysis, Vol. 19, pp. 285-290, 1998. Available at SSRN: http://ssrn.com/abstract=981464

Contact Information

Bruce Cooil (Contact Author)
Vanderbilt University - Statistics ( email )
Nashville, TN 37203
United States

Luke M. Froeb
Vanderbilt University - Strategy and Business Economics ( email )
Nashville, TN 37203
United States
615-322-9057 (Phone)
615-343-7177 (Fax)

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