Description Usage Format References

This data set is used to build up the response surface regressions in order to obtain the p-values for the normal likelihood ratio test. The simulation set-up of the response surface regression method is i.i.d. statistics of length 10^6 with 1000 replications and the interpolated series sizes are c(8:19,seq(20,50,2),seq(55,100,5)).

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A list object with the following components:

`model_matrix`

: A matrix with the estimated coefficents
for the Response Surface Regressions (one row per quantile).

`nc`

: a vectpr of the lengths of the simulated series.

`pc`

: A vector containing all probabilities at which
the quantiles are estimated.

`r`

: the rate in the basis function g(n)=(1/n)^r.

`q`

: the number of parameters (except the intercept) used in
the response surface regression, the intercept term is removed if negative.

MacKinnon, James (2001) : Computing numerical distribution functions in econometrics, Queen's Economics Department Working Paper, No. 1037.

ptest documentation built on May 29, 2017, 7:02 p.m.

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