I am analysing a time series (stock returns) and I am trying to check whether variance in the second half of my sample is different from the first half. I assigned a period to the observations. Here is an example (not the real data, but this is what it looks like):
Period return Date 1 .02784243 1/8/2010 1 .01478848 1/15/2010 1 -.04267111 1/22/2010 2 -.011348 1/29/2010 2 -.09616897 2/5/2010
I use STATA for the Levene's test, but my question is in the first place whether I can use time series in this way/with this method.
robvar return, by(Periode) Summary of return Periode Mean Std. Dev. Freq. 1 .0000922 .0367802 261 2 .00006544 .02613092 261 Total .00007882 .03187241 522 W0 = 10.8059198 df(1, 520) Pr > F = 0.00108013 W50 = 9.6731110 df(1, 520) Pr > F = 0.0019724 W10 = 9.8870904 df(1, 520) Pr > F = 0.00175953
I am wondering whether using the Levene's test and breaking up the data like this is a valid method for time series? Anyone around here who can help me answer this question? If it isn't, is there another method (that is not too hard for a beginner?) Thanks in advance!!