tableEg {ptest}R Documentation

The result for the RSR method with respect to the extended Fisher's G test

Description

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)).

Usage

tableEg

Format

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.

References

MacKinnon, James (2001) : Computing numerical distribution functions in econometrics, Queen's Economics Department Working Paper, No. 1037.


[Package ptest version 1.0-8 Index]