Wright.crit | R Documentation |
This function returns critical values of Wright's tests based on the simulation method detailed in Wright (2000)
Wright.crit(n, k, nit)
n |
sample size |
k |
holding period, a scalar |
nit |
number of iterations |
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 |
Jae H. Kim
WRIGHT,J.H.,2000,Alternative Variance-Ratio Tests Using Ranks and Signs, Journal of Business & Economic Statistics, 18, 1-9.
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)
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