tableRegLs: The result for the RSR method with respect to
the normal likelihood ratio test
Description
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)).
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.