Posted: 6 Jul 2008
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
Suggested Citation: 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: https://ssrn.com/abstract=981464