Wright {vrtest}

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

Details

Nonparametric tests

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                    
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])  
kvec <- c(2,5,10)
Wright(r,kvec)