Abstract
This paper presents a new test for discerning whether or not two independent time series have the same dynamics. Several methods in the time and spectral domain have previously been devised to conduct such a test. Here, we explore a new approach to the problem by comparing sample arc lengths (ALs) of the two series. Because sample ALs are derived from first-order differences in the series, the proposed methods work for both stationary autoregressive moving average and non-stationary autoregressive integrated moving average processes. This robustness is advantageous when one is unsure about unit root properties in the underlying series.
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Acknowledgements
The authors would like to give special thanks to Hany Bassily for first suggesting the AL idea.
Notes
Most economists pegged June 2009 as the end of the recession.