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On the Small Sample Distribution of the R/S Statistic

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  • Michael Harrison
  • Glenn Treacy
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    Abstract

    This paper gives an account of the R/S statistic and its known properties. It assesses the adequacy of the asymptotic distribution of R/S in the case of samples of small and moderate size, and suggests an improved approximation based on the beta distribution. The results indicate that the proposed beta approximation is superior to the asymptotic distribution for practical purposes. Hence a new table of critical values is presented as an alternative to that of Lo (1991).

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    Bibliographic Info

    Paper provided by Trinity College Dublin, Department of Economics in its series Economics Technical Papers with number 976.

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    Date of creation: 1997
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    Handle: RePEc:tcd:tcduet:976

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    Postal: Trinity College, Dublin 2
    Phone: (+ 353 1) 6081325
    Fax: 6772503
    Web page: http://www.tcd.ie/Economics/
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    Cited by:
    1. Denis Conniffe & John E. Spencer, 1999. "Approximating the Distribution of the R/s Statistic," Papers WP104, Economic and Social Research Institute (ESRI).
    2. Marwan Izzeldin & Anthony Murphy, 2000. "Bootstrapping the Small Sample Critical Values of the Rescaled Range Statistic," The Economic and Social Review, Economic and Social Studies, vol. 31(4), pages 351-359.
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," Discussion Papers of DIW Berlin 891, DIW Berlin, German Institute for Economic Research.
    4. Saralees Nadarajah & Samuel Kotz, 2006. "Beta trigonometric distributions," Portuguese Economic Journal, Springer, vol. 5(3), pages 207-224, December.

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