Comparison of Non-Stationary Time Series in the Frequency Domain.

In this paper we compare two non-stationary time series using non-parametric procedures. Evolutionary spectra are estimated for the two series. Randomization tests are performed on groups of spectral estimates for both related and independent time series. Simul ation studies show that in certain cases the tests perform reasonably well. The tests are applied to observed geological and financial time series.

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Year of publication:	2001-03
Authors:	Maharaj, E.A.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	Tests \| Time series \| Simulation \| Evolutionary Spectra

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Extent:	application/pdf
Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 1/01 18 pages
Classification:	C32 - Time-Series Models ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005427643