quantreg (version 3.52)

khmaladzize: Function to compute Khmaladze Transformation

Description

Function to compute the recursive least squares transformation of the quantile regression process for the khmaladze.test procedure.

Usage

khmaladzize(tau, atau, Z, nullH)

Arguments

tau

quantiles specified in the fitted model

atau

xbar'betahat(tau) at these quantiles

Z

full rq process

nullH

either "location-scale" or "location" null hypothesis

Value

• Returns transformed Z process.

Details

Uses adaptive kernel density estimation akj() to estimate score functions.

References

Koenker, Roger and Zhijie Xiao (2001), "Inference on the Quantile Regression Process'', Econometrica, 81, 1583--1612.

See Also

khmaladze.test