doesn't the Levene test assume independence?
Nick
[email protected]
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]]On Behalf Of Dan
> Rodriguez
> Sent: 09 November 2004 20:01
> To: [email protected]
> Subject: st: testing relative changes in volatilities across two time
> series across
>
>
> I employed the Levene test to test the hypotheses for two time series
> and found significant F-statistics in my two tests.
>
> volatility(east returns, 2000 - 2001) > volatility(east rtns, 2001 -
> 2004)
> vol(west rtns, 2000 - 2001) > volatility (west rtns, 2001-2004)
>
> I would like to test the following:
>
> vol(west, 2000-2001)/vol(west, 2001-2004) > vol(east,
> 2000-2001)/vol(east,2001-2004)
>
> Thank you,
> Dan
>
>
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