Wright {vrtest}R Documentation

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

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                                 # 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) 

[Package vrtest version 0.90 Index]