vrtest (version 0.97)

Wright.crit: Critical Values for Wright's rank and sign tests

Description

This function returns critical values of Wright's tests based on the simulation method detailed in Wright (2000)

Usage

Wright.crit(n, k, nit)

Arguments

n

sample size

k

holding period, a scalar

nit

number of iterations

Value

Holding.Period

holding period used

R1.crit

Critical values for the R1 statistic

R2.crit

Critical values for the R2 statistic

S1.crit

Critical values for the S1 statistic

References

WRIGHT,J.H.,2000,Alternative Variance-Ratio Tests Using Ranks and Signs, Journal of Business & Economic Statistics, 18, 1-9.

Examples

Wright.crit(n=10,k=2,nit=50)  

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

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