rq.test.khmal {quantreg} | R Documentation |
Estimates a model and produces the output necessary to test the location and location-scale shift hypotheses. Returns an object of the class "khmal".
rq.test.khmal( formula, data, taus=seq(0.2,0.8,by=0.002), location.scale = TRUE, trim = c(0.25, 0.75) )
formula |
a symbolic description of the model to be fit. The details of model specification are given below. |
data |
dataframe containing the regressand and regressors. It should not contain a column of ones. |
taus |
vector of quantiles to be estimated. Default range is 0.2 to 0.8, increasing by 0.002 units. |
location.scale |
a logic value indicating whether the location-scale shift hypothesis (default) or the location shift hypothesis (F) should be tested. |
trim |
a vector indicating the lower and upper bound of the quantiles to included in the computation of the test statistics (only, not estimates). This might be required due to tail behavior. |
a R structure is returned
formula |
a symbolic description of the fitted model. |
taus |
vector with estimated quantiles. |
Jn |
X'X of least squares. |
fit |
Estimated coefficients for all quantiles. |
Hfit |
Array with inverse quantile regression covariance matrices. |
vars |
Variables names, useful for plotting functions. |
var.list |
Numerical list of variables to be plotted. By default all variables are plotted. A restricted set of variables can be specified by providing a numerical vector indicating the desired variables. The convention is that 1 corresponds to the intercept, 2 to the first independent variable entered in "formula" and so on. See example for further details. |
location.scale |
a logic value indicating whether the location-scale shift hypothesis (default) or the location shift hypothesis (F) was performed. |
b |
Matrix with the coefficients from the least-squares regression of the estimated quantile regression slopes on the intercept. |
J |
Output of standardize(). |
Vtilde |
Output of khmaladzize() for the joint hypothesis testing. |
vtilde |
Output of khmaladzize() for the individual hypotheses testing. |
Tvtilde |
vtilde appropriately transformed to compute the individual test statistics of the location-scale shift hypothesis. |
trim |
a vector indicating the lower and upper bound of the quantiles included in the computation of the test statistics (only, not estimates). |
Kn |
Joint location-scale shift test statistic. Only returned if location.scale is TRUE. |
KHn |
Individual location-scale shift test statistics. Only returned if location.scale is TRUE. |
Tn |
Joint location shift test statistic. Only returned if location.scale is FALSE. |
THn |
Individual location shift test statistics. Only returned if location.scale is FALSE. |
Koenker, Roger and Zhijie Xiao (2000), "Inference on the Quantile Regression Process'', unpublished. http://www.econ.uiuc.edu/~roger/research/inference/inference.html
data(barro) fit.Lonly <- rq.test.khmal( y.net ~ lgdp2 + fse2 + gedy2 + Iy2 + gcony2, data = barro, location.scale = FALSE )