tableEg {ptest} | R Documentation |
This data set is used to build up the response surface regressions in order to obtain the p-values for the extended Fisher's G test. The simulation set-up of the response surface regression method is i.i.d. statistics of length 10^6 with 500 replications and the interpolated series sizes are c(8:19,seq(20,50,2),seq(55,100,5)).
tableEg
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.
MacKinnon, James (2001) : Computing numerical distribution functions in econometrics, Queen's Economics Department Working Paper, No. 1037.