st: testing relative changes in volatilities across two time series across two time periods

[Dan Rodriguez <Dan.Rodriguez@morganstanley.com>]

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


--
NOTICE: If received in error, please destroy and notify sender.  Sender
does not waive confidentiality or privilege, and use is prohibited.


*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/