Wright.crit

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

  htest  

A collection of statistical tests for martingale difference hypothesis, including automatic portmanteau test (Escansiano and Lobato, 2009) <doi:10.1016/j.jeconom.2009.03.001> and automatic variance ratio test (Kim, 2009) <doi:10.1016/j.frl.2009.04.003>.

Jae Kim

vrtest

Variance Ratio Tests and Other Tests for Martingale Difference
Hypothesis

Wright.crit function

<dl> <dt>n</dt>
<dd>sample size</dd> <dt>k</dt>
<dd>holding period, a scalar</dd> <dt>nit</dt>
<dd>number of iterations</dd></dl>

Arguments

Author

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

<dl>

 <dt>n</dt>
<dd>sample size</dd>

 <dt>k</dt>
<dd>holding period, a scalar</dd>

 <dt>nit</dt>
<dd>number of iterations</dd>

</dl>

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

Description

Usage

Value

Arguments

Author

References

Examples