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The Comparison of Two or More Stationary Time Series

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journal contribution
posted on 07.06.2017, 04:32 authored by Maharaj, Ann
In this paper we propose a test statistic to compare two or more stationary time series that are not necessarily independent The test is based on the difference between estimated parameters of the autoregressive models that are fitted to the series.

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1997

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Department of Econometrics and Business Statistics.

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