Wright: Wright's Rank and Sign Tests

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

Wright's Rank and Sign Tests

Description

The function returns R1, R2 and S1 tests statistics detailed in Wright (2000)

Usage

Wright(y, kvec)

Arguments

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

Details

Nonparametric tests

Value

Holding.Period	holding periods used
R1.test	rank test R1
R2.test	rank test R2
S1.test	sign test S1

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

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

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