On the Small Sample Distribution of the R/S Statistic

Michael Harrison and Glenn Treacy
Additional contact information
Glenn Treacy: Postal: Department of Economics, Trinity College, Dublin 2, Ireland

Economics Technical Papers from Trinity College Dublin, Economics Department

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).

JEL-codes: C15 (search for similar items in EconPapers)
Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (5)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tcd:tcduet:976

Access Statistics for this paper

More papers in Economics Technical Papers from Trinity College Dublin, Economics Department Contact information at EDIRC.
Bibliographic data for series maintained by Colette Angelov ().