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ptest (version 1.0-8)

tableRegL1Even: The result for the RSR method with respect to the laplace likelihood ratio test (Even series length)

Description

This data set is used to build up the response surface regressions in order to obtain the p-values for the laplace likelihood ratio test. The simulation set-up of the response surface regression method is i.i.d. statistics of length 10^5 with 100 replications and the interpolated series sizes are c(seq(8,50,2),seq(54,98,4),100).

Usage

tableRegL1Even

Arguments

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.