Package: monotonicity 1.3.1
monotonicity: Test for Monotonicity in Expected Asset Returns, Sorted by Portfolios
Test for monotonicity in financial variables sorted by portfolios. It is conventional practice in empirical research to form portfolios of assets ranked by a certain sort variable. A t-test is then used to consider the mean return spread between the portfolios with the highest and lowest values of the sort variable. Yet comparing only the average returns on the top and bottom portfolios does not provide a sufficient way to test for a monotonic relation between expected returns and the sort variable. This package provides nonparametric tests for the full set of monotonic patterns by Patton, A. and Timmermann, A. (2010) <doi:10.1016/j.jfineco.2010.06.006> and compares the proposed results with extant alternatives such as t-tests, Bonferroni bounds, and multivariate inequality tests through empirical applications and simulations.
Authors:
monotonicity_1.3.1.tar.gz
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monotonicity_1.3.1.tgz(r-4.4-any)monotonicity_1.3.1.tgz(r-4.3-any)
monotonicity_1.3.1.tar.gz(r-4.5-noble)monotonicity_1.3.1.tar.gz(r-4.4-noble)
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monotonicity.pdf |monotonicity.html✨
monotonicity/json (API)
# Install 'monotonicity' in R: |
install.packages('monotonicity', repos = c('https://skoestlmeier.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/skoestlmeier/monotonicity/issues
- demo_returns - Asset returns used in Ang, Chen and Xing (RFS, 2006), sorted into ten portfolios.
monotonicityportfolio-analysis
Last updated 3 years agofrom:989d226758. Checks:OK: 7. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Oct 26 2024 |
R-4.5-win | OK | Oct 26 2024 |
R-4.5-linux | OK | Oct 26 2024 |
R-4.4-win | OK | Oct 26 2024 |
R-4.4-mac | OK | Oct 26 2024 |
R-4.3-win | OK | Oct 26 2024 |
R-4.3-mac | OK | Oct 26 2024 |
Exports:monoBonferronimonoRelationmonoSummarymonoUpDownstatBootstrapwolak
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Asset returns used in Ang, Chen and Xing (RFS, 2006), sorted into ten portfolios. | demo_returns |
Test of weak monotonicity using Bonferroni bounds | monoBonferroni |
Testing the monotonic relationship in asset returns | monoRelation |
Summary of Patton and Timmermann monotonicity (JoE, 2010) tests | monoSummary |
Up and Down test | monoUpDown |
Stationary bootstrap method | statBootstrap |
Testing inequality constraints in linear econometric models | wolak |