JWright.crit: Critical Values for the joint versions of Wright's rank and...

In vrtest: Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis

Critical Values for the joint versions of Wright's rank and sign tests

Description

This function runs a simulation to calculate the critical values of the joint versions of Wright's tests.

Usage

JWright.crit(n, kvec, nit)

Arguments

n	sample size
kvec	holding period vector
nit	number of iterations

Value

Holding.Period	holding period used
JR1.crit	Critical values for the joint R1 statistic
JR2.crit	Critical values for the joint R2 statistic
JS1.crit	Critical values for the joint S1 statistic

Author(s)

Jae H. Kim

References

Belaire-Franch G, Contreras D. Ranks and signs-based multiple variance ratio tests, Working paper, University of Valencia 2004.

Kim, J. H. and Shamsuddin, A., 2008, Are Asian Stock Markets Efficient? Evidence from New Multiple Variance Ratio Tests, Journal of Empirical Fiance 15(8), 518-532.

Examples

kvec <- c(2,5,10)
JWright.crit(n=100,kvec,nit=50)

# nit is set to 50 for fast execution in the example. 
# nit=10000 is recommended as in Wright (2000)

vrtest documentation built on Aug. 31, 2023, 9:08 a.m.