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On the comparison of time series using subsampling

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URI: http://hdl.handle.net/10016/222
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ws050702.pdf (581.29 KB)
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2005-02
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In this paper we propose a procedure based on the subsampling techniques for the comparison of stationary time series that are not necessarily independent. We study a test based on the Euclidean distance between the autocorrelation functions of two series. Consistency of the proposed method is established. We present a Monte Carlo study with the size and the power of the proposed test.
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DES - Working Papers. Statistics and Econometrics. WS