Tests for comparing time series of unequal lengths Articles uri icon

publication date

  • December 2012

start page

  • 1715

end page

  • 1725

volume

  • 82

international standard serial number (ISSN)

  • 0094-9655

electronic international standard serial number (EISSN)

  • 1563-5163

abstract

  • This paper deals with hypothesis testing for independent time series with unequal length. It proposes a spectral test based on the distance between the periodogram ordinates and a parametric test based on the distance between the parameter estimates of fitted autoregressive moving average models. Both tests are compared with a likelihood ratio test based on the pooled spectra. In all cases, the null hypothesis is that the two series under consideration are generated by the same stochastic process. The performance of the three tests is investigated by a Monte Carlo simulation study.