Hi everyone,
I am analysing a time series (stock returns) and I am trying to check whether variance in the second half of my sample is different from the first half. I assigned a period to the observations. Here is an example (not the real data, but this is what it looks like):
I am wondering whether this is a valid method for time series? Anyone around here who can help me answer this question? If it isn't, is there another method (that is not too hard for a beginner?) Thanks in advance!!
I am analysing a time series (stock returns) and I am trying to check whether variance in the second half of my sample is different from the first half. I assigned a period to the observations. Here is an example (not the real data, but this is what it looks like):
PHP Code:
Period X Date
1 .02784243 1/8/2010
1 .01478848 1/15/2010
1 -.04267111 1/22/2010
2 -.011348 1/29/2010
2 -.09616897 2/5/2010
PHP Code:
robvar Polen, by(Periode)
Summary of X
Periode Mean Std. Dev. Freq.
1 .0000922 .0367802 261
2 .00006544 .02613092 261
Total .00007882 .03187241 522
W0 = 10.8059198 df(1, 520) Pr > F = 0.00108013
W50 = 9.6731110 df(1, 520) Pr > F = 0.0019724
W10 = 9.8870904 df(1, 520) Pr > F = 0.00175953
I am wondering whether this is a valid method for time series? Anyone around here who can help me answer this question? If it isn't, is there another method (that is not too hard for a beginner?) Thanks in advance!!
