Qtools (version 1.0)

KhmaladzeFormat: Khmaladze Test

Description

This function provides significance levels of the Khmaladze Test using a (hard-coded) table of asymptotic critical values.

Usage

KhmaladzeFormat(object, epsilon)

Details

This function is applied to an object produced by KhmaladzeTest. The Khmaladze test is used to test for location--shift and location-scale--shift hypotheses (Koenker, 2005). The test statistic is computed over the interval [epsilon, 1 - epsilon], where epsilon is the trimming value.

References

Appendix B in Koenker R. Quantile regression. New York, NY: Cambridge University Press; 2005. Koenker R. and Xiao Z. Inference on the quantile regression process. Avalilable at http://www.econ.uiuc.edu/~roger/research/inference/khmal6ap.pdf.

Examples

data(barro, package = "quantreg")
eps <- 0.05
kt <- quantreg::KhmaladzeTest( y.net ~ lgdp2 + fse2 + gedy2 + Iy2 + gcony2, 
		data = barro, taus = seq(.05,.95,by = .01), trim = c(eps, 1 - eps))
class(kt)
KhmaladzeFormat(kt, epsilon = eps)