Joint.Wright: A Joint Version of Wight's Rank and Sign Test
Description
This function returns joint or multiple version of Wright's rank and sign tests.
The test takes the maximum value of the individual rank or sign tests, in the same manner as Chow-Denning test
Usage
Joint.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
JR1
Joint test based on R1 statistics
JR2
Joint test based on R2 statistics
JS1
Joint test based on S1 statistics
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.