A new t-test for the R/S analysis and long memory in agricultural commodity prices
This article tests for long memory in daily and weekly agricultural cash price returns, using the modified rescaled range (R/S) test. A new corrected t-test is constructed for the R/S test to measure statistical significance properly. Empirical results indicate evidence of long memory in more than half of the agricultural commodities analysed. However, the values of estimated H statistics are less than 0.6, indicating relatively weak memory. The corrected t-test reduces type-I error for H statistics on the persistent long memory side and increases the power of the test for H statistics on the anti-persistent side.
Year of publication: |
2004
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Authors: | Jin, Hyun ; Frechette, Darren |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 11.2004, 11, p. 661-667
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Publisher: |
Taylor & Francis Journals |
Saved in:
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