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

Posted: 6 Jul 2008  

Bruce Cooil

Vanderbilt University - Statistics

Luke Froeb

Vanderbilt University - Strategy and Business Economics

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

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

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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