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In this paper, a new frequency‐domain test is proposed to check the equality of spectral densities of two or more stationary time series. The proposed test is able to deal with multiple independent time series of different lengths naturally, based on some regression models of log periodograms. The asymptotic null distribution of the proposed test is obtained. The consistency is shown under any fixed...
An order selection test is proposed to check the equality of two independent stationary time series in their correlation structures. The asymptotic distribution of the order selection test statistic under the null hypothesis is obtained. Furthermore, it is shown that the proposed test is consistent not only under any fixed alternative hypothesis but also under a sequence of local alternative hypotheses...
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