crs (version 0.15-46)

crssigtest: Regression Spline Significance Test with Mixed Data Types

Description

crssigtest implements a consistent test of significance of an explanatory variable in a nonparametric regression setting that is analogous to a simple \(t\)-test in a parametric regression setting. The test is based on Ma and Racine (2011).

Usage

crssigtest(model = NULL,
           index = NULL,
           boot = TRUE,
           boot.num = 399,
           boot.type = c("residual","reorder"),
           random.seed = 42)

Value

crssigtest returns an object of type

sigtest. summary supports sigtest

objects. It has the following components:

index

the vector of indices input

P

the vector of bootstrap P-values for each statistic in F

P.asy

the vector of asymptotic P-values for each statistic in index

F

the vector of pseudo F-statistics F

F.boot

the matrix of bootstrapped pseudo F-statistics generated under the null (one column for each statistic in F)

df1

the vector of numerator degrees of freedom for each statistic in F (based on the smoother matrix)

df2

the vector of denominator degrees of freedom for each statistic in F (based on the smoother matrix)

rss

the vector of restricted sums of squared residuals for each statistic in F

uss

the vector of unrestricted sums of squared residuals for each statistic in F

boot.num

the number of bootstrap replications

boot.type

the boot.type

xnames

the names of the variables in model$xz

Arguments

Data, Model Inputs And Formula Interface

These arguments identify the fitted model and tested indices.

index

a vector of indices for the columns of model$xz for which the test of significance is to be conducted. Defaults to (1,2,...,\(p\)) where \(p\) is the number of columns in model$xz.

model

a crs model object.

Bootstrap Controls

These arguments control bootstrap execution and reproducibility settings.

boot

a logical value (default TRUE) indicating whether to compute the bootstrap P-value or simply return the asymptotic P-value.

boot.num

an integer value specifying the number of bootstrap replications to use. Defaults to 399.

boot.type

whether to conduct ‘residual’ bootstrapping (iid) or permute (reorder) in place the predictor being tested when imposing the null.

random.seed

an integer used to seed R's random number generator. This is to ensure replicability. Defaults to 42.

Author

Jeffrey S. Racine

Usage Issues

This function should be considered to be in ‘beta status’ until further notice.

Caution: bootstrap methods are, by their nature, computationally intensive. This can be frustrating for users possessing large datasets. For exploratory purposes, you may wish to override the default number of bootstrap replications, say, setting them to boot.num=99.

References

Li, Q. and J.S. Racine (2007), Nonparametric Econometrics: Theory and Practice, Princeton University Press.

Ma, S. and J.S. Racine, (2011), “Inference for Regression Splines with Categorical and Continuous Predictors,” Working Paper.

Examples

if (FALSE) {
options(crs.messages=FALSE)
set.seed(42)

n <- 1000
z <- rbinom(n,1,.5)
x1 <- rnorm(n)
x2 <- runif(n,-2,2)
z <- factor(z)
## z is irrelevant
y <- x1 + x2 + rnorm(n)

model <- crs(y~x1+x2+z,complexity="degree",segments=c(1,1))
summary(model)

model.sigtest <- crssigtest(model)
summary(model.sigtest)
}