I have a Time Series of 336 monthly observations, from January 1987 to December 2014. I'd like to test for differences in uneven (of different size) segments of this time series. In effect, it would be a comparison of smaller time series.
The overall time series exhibits a positive trend, and has to be differenced in order to work with it for an ARIMA (1,1,2) forecasting.
What would be the proper procedure in order to test for differences in the segments, taking into consideration the segments are of different lengths?
Should I differentiate the segments as well, since they are not normally distributed (the overall series, when differentiated, does)? Or should I test for differences with the segments as the come, with a T-test or a different test?
Edit: a simple two tailed mean difference would be enough.
There are also reasons to believe there could be time dependency in the observations of any particular segment.