tableRgEn: The result for the RSR method with respect to the robust g...

Description Usage Format References

Description

This data set is used to build up the response surface regressions in order to obtain the p-values for the robust g test with frequency set "En", En = {j/101 | j=1,…,50 and j/101 ≥ 1/n}. The simulation set-up of the response surface regression method is i.i.d. statistics of length 10^5 with 200 replications and the interpolated series sizes are c(8:19,seq(20,50,2),seq(55,100,5)).

Usage

1

Format

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.

References

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.