Nothing
JWright.crit <-
function(n,kvec,nit)
{
mat <- matrix(NA,nrow=nit,ncol=3)
for (i in 1:nit)
{
ranking <- as.matrix(sample(1:n,n,replace=FALSE))
r1 <- (ranking - 0.5*(n+1) )/sqrt((n-1)*(n+1)/12)
r2 <- qnorm(ranking/(n+1))
y <- as.matrix(rnorm(n))
s <- sign(y)
s[ s == 0] <- -1
statmat <- matrix(NA, nrow=length(kvec), ncol=3)
for (j in 1:length(kvec))
{
k <- kvec[j]
statmat[j,] <- cbind(stat(r1,k),stat(r2,k),stat(s,k))
}
R1 <- max(abs(statmat[,1]))
R2 <- max(abs(statmat[,2]))
S1 <- max(abs(statmat[,3]))
mat[i,] <- c(R1,R2,S1)
}
alpha <- c(0.90,0.95,0.99)
R1crit <- quantile(mat[,1],alpha )
R2crit <- quantile(mat[,2],alpha )
S1crit <- quantile(mat[,3],alpha )
return(list(Holding.Period=kvec,JR1.crit=R1crit,JR2.crit=R2crit,JS1.crit=S1crit))
}
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