[R-SIG-Finance] statistical remedy needed

[Mark Leeds]

hi: the paired t-test is used when you want to reduce variance ( by
differencing the
same observational unit ) or reduce the amount of confounding. in this
case, I think it's more appropriate to use a regular t-test on two
populations. that will also get rid of the autocorrelation problem. of
course, if the variances of the 2 series differs greatly,
then you have a new problem ( and should use welch t-test).

                                                                           mark






On Fri, Jul 8, 2011 at 6:23 AM, tonyp <petrovaa at gmail.com> wrote:
> Hi,
>
> I am trying to test for differences in means between two return (time)
> series. However, the Ljung-Box test is significant due to the long-memory
> structure of the series ie. autocorrelation is present. I tried to
> difference twice which is standard (didn't want to overdifference) and still
> I have, as expected, series correlation.
>
> Is there any function in R or a technique some of you guys can suggest me to
> filter the autocorrelation in order to apply my test?
>
> t.test(ts1, ts2 ,alternative='greater',
> paired=TRUE,var.equal=FALSE, conf.level=0.95)
>
> I would totally appreciate if any of you quant minds outthere has done work
> on that. Thank you in advance.
>
> Best,
> TP
>
> --
> View this message in context: http://r.789695.n4.nabble.com/statistical-remedy-needed-tp3653641p3653641.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>