vrtest (version 0.97)

Wright: 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

Details

Nonparametric tests

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)