Wright.crit: Critical Values for Wright's rank and sign tests

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

Critical Values for Wright's rank and sign tests

Description

This function returns critical values of Wright's tests based on the simulation method detailed in Wright (2000)

Usage

Wright.crit(n, k, nit)

Arguments

n	sample size
k	holding period, a scalar
nit	number of iterations

Value

Holding.Period	holding period used
R1.crit	Critical values for the R1 statistic
R2.crit	Critical values for the R2 statistic
S1.crit	Critical values for the S1 statistic

Author(s)

Jae H. Kim

References

WRIGHT,J.H.,2000,Alternative Variance-Ratio Tests Using Ranks and Signs, Journal of Business & Economic Statistics, 18, 1-9.

Examples

Wright.crit(n=10,k=2,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.