Wright {vrtest} | R Documentation |
The function returns R1, R2 and S1 tests statistics detailed in Wright (2000)
Wright(y, kvec)
y |
a vector of time series, typically financial return |
kvec |
a vector of holding periods |
Holding.Period |
holding periods used |
R1.test |
rank test R1 |
R2.test |
rank test R2 |
S1.test |
sign test S1 |
Jae H. Kim
WRIGHT,J.H.,2000,Alternative Variance-Ratio Tests Using Ranks and Signs, Journal of Business & Economic Statistics, 18, 1-9.
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) Wright(r,kvec)