Wright.crit {vrtest}R Documentation

Critical Values for Wright's rank and sign tests

Description

This function returns critical values of Wright's tests based on the simulation method detailed in Wright (2000)

Usage

Wright.crit(n, k, nit)

Arguments

n sample size
k holding period, a scalar
nit number of iterations

Value

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

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

Wright.crit(n=100,k=2,nit=10000)  

[Package vrtest version 0.90 Index]