On the Small Sample Distribution of the R/S Statistic
JEL Classification C15
Michael Harrison and Glenn Treacy
Department of Economics, Trinity College, Dublin 2, Ireland.
AbstractThis 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).