Hi,

I would like to test the null hypothesis that the skewness/kurtosis of 2 times series variable are the same. Anyone knows how to do that? Here is the data I want to test:


Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input double(ym CAR_S CAR_O_nfa_ldc)
193   -4.955649465375698 -3.8222908876249586
194   -6.339490131920598  .45080273892962125
195  -2.2085909105983883  -.6179821263780844
196   5.0697072999447546   4.853603749382459
197   1.5230009468702013  1.6698689437690393
198    .4465776036932692  1.2858155950786008
199   1.6849011886329255  1.9788028967835165
200   -.3153071843080411  3.7838106689085174
201   1.0034142523957397  3.8224226684251192
202    3.173579966108508   5.880899632945267
203    .3626220170161193   .4629327062299496
204   3.7606463036604745    2.35712170275687
205   1.6097575927271197  2.6067080524400974
206   1.5511188873208348  1.8095973829902647
207   -.5901847848517586  -.8446729661241642
208    1.022720013505459  .08610774837424598
209    .8956018347505074  1.5274298112871345
210    -9.06956574407067  -8.409000032998636
211   -4.356956415343178  -5.393923770336309
212    .8692812643197029   .7733618521825194
213    2.155593145782702   .5354039158925037
214   -1.105166282830968 -.31180861527652454
215  -1.9155843469957576   2.583693221826199
216    2.394801626547746  .28177318987638145
217   .24130812262438894  1.3063442762314672
218    4.677405785053766   4.625623603692582
219   2.5613313637882698   .1466051060229383
220    .9572651020898989  1.0524654754674234
221    .5885842700802983 -.03266648743937006
222   -2.341790344477331      1.493709019443
223   1.0768635318696078 -1.1502935208915193
224    .5129555054158106  1.9117178759084181
225   1.8504713044698482  1.9835807333741196
226    5.721799946508766  -.2902109454957138
227  -.40342807934669833  1.0154955813198254
228    3.986336890125122  1.8690407305968473
229    .8113956057296925  1.1571709089150841
230       4.813445457096  3.6293097678105912
231     2.45576711718332   1.957067104112343
232   .21289686762756188  -.2351977529984821
233    1.712487596677481  2.4569489937697067
234   1.1436768405005182  1.2824974670075853
235   2.6345094579980612   .2697967996157327
236 -.007732036831873401  -.5947900148144188
237    3.590608189676082  1.6101753747026455
238   1.2159039510371559   2.691045356085326
239   -.5466841823464981  .40658558469195055
240   1.5514306796014525  .45316660174931284
241    2.894552477629012  1.9713206862606931
242   -.9724231404096386 -.22528384709012084
243   -3.388116209394454 -2.2039914725119307
244   2.2770837124208687  2.4592793257762535
245 -.047009329370436115   .1601925543385086
246   1.1231010098306924   .4103199092875782
247   1.0156940088288544  1.0233592179250084
248    .9350310254615996  2.2624786337386804
249   1.4001954350949577   .8236373715254515
250  -.19086276571913174  -.5886176037433576
251   -1.730841501540115    3.53589482017064
252   3.3265604119056746   3.558965532919196
253   -.6055385093723238  2.1916018183876487
254   -.2330857297221054  1.2016143982143226
255   2.0090884593451213  1.0958436485618637
256    .8087691581694171    1.19532710587656
257    -.860190504754828   3.581939545650443
258    2.783416631801735    1.13010422151994
259    .4189224092838906  1.7072894243048575
260   2.5616379593537895   5.041305946210544
261  -1.7545000467375578  1.3139345644494669
262  -2.4181270254237512  -2.557769799245747
263   1.3396784957990593  1.5085871886990436
264   1.1709206337278675 -.27773807834185277
265   -1.320829458386171 -1.2886039709061508
266     .462360687258057  1.8805558991954812
267   1.9000914417279373  1.5772835433767274
268   2.9679684801061432   1.911257790288837
269   -.9998566749570248  -.5736862403666915
270    1.012491305122047  1.3793226534332548
271  -.13482369096798166   .4290034560102027
272   1.4429577138271052  1.3484736023952417
273    .4836774477703438 -.42005381381439155
274  -1.9621027902266837  3.5066590907054405
275  -1.7251334281134019   .8796126623387898
276    .8021924416397117  1.6578914094836674
277   1.5691281499534069   2.199078233723447
278  -1.7022888575502682   .3234252794616052
279    1.046120612915143  -1.432332740230652
280    .9219742775645444   .5533483607959503
281   -.7226977368491909  -.6685529269399398
282   1.1101008297093193   .6270276862676745
283   1.0807732720386911   .5688294967534715
284    -.543479577743237  1.3019349744926854
285    .9559707941618126   .6803757887043081
286     1.29348537214153   1.265905459152967
287   .25298857629446225  .25250016714643936
288   1.9385891487724078   1.770469223092431
289   .14288137609656726   1.086710791285562
290    .7208830272759534    1.19936252229292
291    2.251307370696712    .614204951239065
292    .7799676743364827   .6663006579543699
end
format %tm ym