A test for the equivalence ofk ARMA models

ConclusionThis paper has suggested a method for determining the equivalence of multiple time series when the series are not necessarily independent. By borrowing on the seemingly-unrelated time series structure and employing separate induced tests the researcher is presented with a technique for inferring equivalence between series, and in its absence identifying the structural elements causing non-equivalence. The proposed approach is thought to be simpler to apply than previous methods, less demanding of computational resources and overcomes at least two major difficulties (the assumption of independence and the problem of extending the results to more than two series, inherent in earlier time series equivalence determination strategies.

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