Package: monotonicity
Type: Package
Title: Test for Monotonicity in Expected Asset Returns, Sorted by
        Portfolios
Version: 1.3.1
Date: 2019-12-05
Authors@R: c(person(given = "Siegfried", family = "Köstlmeier", role = c("aut", "cre", "trl"), email = "siegfried.koestlmeier@gmail.com", comment = c(ORCID = "0000-0002-7221-6981")))
Maintainer: Siegfried Köstlmeier <siegfried.koestlmeier@gmail.com>
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) <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.
License: BSD_3_clause + file LICENSE
URL: https://github.com/skoestlmeier/monotonicity
Imports: lmtest, MASS, sandwich, stats, methods, utils
Suggests: testthat, xts
Depends: R (>= 3.3)
Encoding: UTF-8
LazyData: true
RoxygenNote: 6.0.1
NeedsCompilation: no
Packaged: 2019-12-05 13:02:27 UTC; LocalAdmin
Author: Siegfried Köstlmeier [aut, cre, trl]
    (<https://orcid.org/0000-0002-7221-6981>)
Repository: CRAN
Date/Publication: 2019-12-05 14:10:02 UTC
Built: R 4.6.0; ; 2026-04-27 18:35:29 UTC; unix
