Title:

Comparing changes over time for two phenomena

Group publication title:

Mathematical Economics

Creator:

Miłek, Michał

Subject and Keywords:

time series comparing ; permutation test ; distance measure

Description:

Mathematical Economics, 2015, Nr 11 (18), s. 89-98

Abstrakt:

Statistical analyses in economics are often based on explaining the phenomena by comparing time series. The purpose of such types of analyses is to find out the similarity and schematic behavior of phenomena which appear in the data. Usual time series are compared with the use of a different similarity measure which, in accordance with the literature, could be divided into four categories. In this article, I propose a method that allows to indicate whether two time series are generated by the same stochastic processes. For this purpose, I analyze a method based on a permutation test. The idea of this test is much simpler than the tests based on theoretical distributions. I also conducted a simulation analysis based on the data generated according to different scenarios, subsequently comparing the results of that analysis.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2015

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/me.2015.11.08

Language:

eng

Relation:

Mathematical Economics, 2015, Nr 11 (18)

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND

Location:

Uniwersytet Ekonomiczny we Wrocławiu