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On the Small Sample Distribution of the R/S Statistic

Author

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  • Michael Harrison
  • Glenn Treacy

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).

Suggested Citation

  • Michael Harrison & Glenn Treacy, 1997. "On the Small Sample Distribution of the R/S Statistic," Economics Technical Papers 976, Trinity College Dublin, Department of Economics.
    • Handle: RePEc:tcd:tcduet:976
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    Cited by:

    1. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
    2. Denis Conniffe & John E. Spencer, 2000. "Approximating the Distribution of the R/s Statistic," The Economic and Social Review, Economic and Social Studies, vol. 31(3), pages 237-248.
    3. 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.
    4. Saralees Nadarajah & Samuel Kotz, 2006. "Beta trigonometric distributions," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 5(3), pages 207-224, December.

    More about this item

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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