The function returns R1, R2 and S1 tests statistics detailed in Wright (2000)
Wright(y, kvec)
holding periods used
rank test R1
rank test R2
sign test S1
a vector of time series, typically financial return
a vector of holding periods
Jae H. Kim
Nonparametric tests
WRIGHT,J.H.,2000,Alternative Variance-Ratio Tests Using Ranks and Signs, Journal of Business & Economic Statistics, 18, 1-9.
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)
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