A new t-test for the R/S analysis and long memory in agricultural commodity prices

Abstract

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.