Wright                package:vrtest                R Documentation

_W_r_i_g_h_t'_s _R_a_n_k _a_n_d _S_i_g_n _T_e_s_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     The function returns R1, R2 and S1 tests statistics detailed in
     Wright (2000)

_U_s_a_g_e:

     Wright(y, kvec)

_A_r_g_u_m_e_n_t_s:

       y: a vector of time series, typically  financial return 

    kvec: a vector of holding periods 

_D_e_t_a_i_l_s:

_V_a_l_u_e:

Holding.Period : holding periods used

R1.test : rank test R1

R2.test : rank test R2

S1.test : sign test S1

_A_u_t_h_o_r(_s):

     Jae H. Kim

_R_e_f_e_r_e_n_c_e_s:

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

_E_x_a_m_p_l_e_s:

     y <- rnorm(100)
     kvec <- c(2,5,10)
     Wright(y,kvec) 

