Wright

The function returns R1, R2 and S1 tests statistics 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 function

<dl> <dt>y</dt>
<dd>a vector of time series, typically financial return</dd> <dt>kvec</dt>
<dd>a vector of holding periods</dd></dl>

Arguments

Author

Wright's Rank and Sign Tests — Wright

<dl>

 <dt>y</dt>
<dd>a vector of time series, typically financial return</dd>

 <dt>kvec</dt>
<dd>a vector of holding periods</dd>

</dl>

Wright: Wright's Rank and Sign Tests

Description

Usage

Value

Arguments

Author

Details

References

Examples