vrtest (version 0.97)

JWright.crit: Critical Values for the joint versions of Wright's rank and sign tests

Description

This function runs a simulation to calculate the critical values of the joint versions of Wright's tests.

Usage

JWright.crit(n, kvec, nit)

Arguments

n

sample size

kvec

holding period vector

nit

number of iterations

Value

Holding.Period

holding period used

JR1.crit

Critical values for the joint R1 statistic

JR2.crit

Critical values for the joint R2 statistic

JS1.crit

Critical values for the joint S1 statistic

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., 2008, Are Asian Stock Markets Efficient? Evidence from New Multiple Variance Ratio Tests, Journal of Empirical Fiance 15(8), 518-532.

Examples

kvec <- c(2,5,10)
JWright.crit(n=100,kvec,nit=50)

# nit is set to 50 for fast execution in the example. 
# nit=10000 is recommended as in Wright (2000)