Joint.Wright {vrtest}R Documentation

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., Are Asian Stock Markets Efficient? Evidence from New Multiple Variance Ratio Tests, Working Paper, Monash University.

Examples

data(exrates)
y <- exrates$ca                                # read Canadian exchange rate
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])           # log return calculation
kvec <- c(2,5,10)
Joint.Wright(r,kvec) 

[Package vrtest version 0.90 Index]