One easy way may be remove autocorrelation first for both series; then work on the residual series. I am afraid differencing may not be a good way for autocorrelation.

AR(p) could  be sufficient if autocorrelation is your only concern.  However, if you see unit root, then differencing may be helpful.

If it is appropriate, you may attach the time series.

Andy



________________________________
From: tonyp <petrovaa@gmail.com>
To: r-sig-finance@r-project.org
Sent: Friday, July 8, 2011 6:23 AM
Subject: [R-SIG-Finance] statistical remedy needed

Hi, 

I am trying to test for differences in means between two return (time)
series. However, the Ljung-Box test is significant due to the long-memory
structure of the series ie. autocorrelation is present. I tried to
difference twice which is standard (didn't want to overdifference) and still
I have, as expected, series correlation. 

Is there any function in R or a technique some of you guys can suggest me to
filter the autocorrelation in order to apply my test?

t.test(ts1, ts2 ,alternative='greater',
paired=TRUE,var.equal=FALSE, conf.level=0.95)

I would totally appreciate if any of you quant minds outthere has done work
on that. Thank you in advance.

Best,
TP

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