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monotonicity  

Test for Monotonicity in Expected Asset Returns, Sorted by Portfolios
View on CRAN: Click here


Download and install monotonicity package within the R console
Install from CRAN:
install.packages("monotonicity")

Install from Github:
library("remotes")
install_github("cran/monotonicity")

Install by package version:
library("remotes")
install_version("monotonicity", "1.3.1")



Attach the package and use:
library("monotonicity")
Maintained by
Siegfried Köstlmeier
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-04-18
Latest Update: 2019-12-05
Description:
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) and compares the proposed results with extant alternatives such as t-tests, Bonferroni bounds, and multivariate inequality tests through empirical applications and simulations.
How to cite:
Siegfried Köstlmeier (2018). monotonicity: Test for Monotonicity in Expected Asset Returns, Sorted by Portfolios. R package version 1.3.1, https://cran.r-project.org/web/packages/monotonicity
Previous versions and publish date:
1.0 (2018-04-18 10:34), 1.1 (2018-05-23 11:36), 1.2 (2019-02-14 12:50), 1.3 (2019-08-20 11:40)
Other packages that cited monotonicity R package
View monotonicity citation profile
Other R packages that monotonicity depends, imports, suggests or enhances
Functions, R codes and Examples using the monotonicity R package
Some associated functions: demo_returns . monoBonferroni . monoRelation . monoSummary . monoUpDown . statBootstrap . wolak . 
Some associated R codes: SB_variance.R . matrix_conversion.R . monoBonferroni.R . monoRelation.R . monoSummary.R . monoUpDown.R . newey_west.R . specify_decimal.R . statBootstrap.R . wolak.R .  Full monotonicity package functions and examples
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