Joint.Wright: A Joint Version of Wight's Rank and Sign Test

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

A Joint Version of Wight's Rank and Sign Test

Description

This function returns joint or multiple version of Wright's rank and sign tests. The test takes the maximum value of the individual rank or sign tests, in the same manner as Chow-Denning test

Usage

Joint.Wright(y, kvec)

Arguments

y	a vector of time series, typically financial return
kvec	a vector of holding periods

Value

Holding.Period	holding periods used
JR1	Joint test based on R1 statistics
JR2	Joint test based on R2 statistics
JS1	Joint test based on S1 statistics

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

data(exrates)
y <- exrates$ca                           
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])    
kvec <- c(2,5,10)
Joint.Wright(r,kvec) 

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