I have a long time series data (running several years). I have split the data into several series, each of 1 month duration.
I then perform some custom calculations on each of the 'shortened' time series and collate some robust summary stats (mode, MAD etc on my calculated data).
I then want to see if there are any statistically significant differences between the stats calculated for the shortened series - so I can answer questions like:
- Does the mode change over time
- Does the MAD change over time ... etc?
I am a little rusty, but I think this is what is referred to as Panel data?
My questions then is which statistical test would be most appropriate to use to check if the summary stats change over time.
I would be grateful if someone could post a little snippet/pseudocode in R to show how to do this.
