KhmaladzeFormat.RdThis function provides significance levels of the Khmaladze Test using a (hard-coded) table of asymptotic critical values.
KhmaladzeFormat(object, epsilon)an object of class "KhmaladzeTest".
trimming value. One of c(0.05,0.10,0.15,0.20,0.25,0.30).
This function is applied to an object produced by KhmaladzeTest. The Khmaladze test is used to test for location–shift and location-scale–shift hypotheses (Koenker, 2005). The test statistic is computed over the interval [epsilon, 1 - epsilon], where epsilon is the trimming value.
Appendix B in Koenker R. Quantile regression. New York, NY: Cambridge University Press; 2005.
Koenker R. and Xiao Z. Inference on the quantile regression process. Avalilable at http://www.econ.uiuc.edu/~roger/research/inference/khmal6ap.pdf.
data(barro, package = "quantreg")
eps <- 0.05
kt <- quantreg::KhmaladzeTest( y.net ~ lgdp2 + fse2 + gedy2 + Iy2 + gcony2,
data = barro, taus = seq(.05,.95,by = .01), trim = c(eps, 1 - eps))
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 2 non-positive fis
#> Warning: 3 non-positive fis
#> Warning: 3 non-positive fis
#> Warning: 4 non-positive fis
#> Warning: 3 non-positive fis
#> Warning: 5 non-positive fis
#> Warning: 4 non-positive fis
#> Warning: 5 non-positive fis
#> Warning: 4 non-positive fis
#> Warning: 4 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 2 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 2 non-positive fis
#> Warning: 2 non-positive fis
#> Warning: 2 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 2 non-positive fis
#> Warning: 2 non-positive fis
#> Warning: 3 non-positive fis
#> Warning: 3 non-positive fis
#> Warning: 1 non-positive fis
#> Warning: 2 non-positive fis
#> Warning: 9 non-positive fis
#> Warning: 13 non-positive fis
#> Warning: 14 non-positive fis
class(kt)
#> [1] "KhmaladzeTest"
KhmaladzeFormat(kt, epsilon = eps)
#> Khmaladze test for the location-shift hypothesis
#> Joint test is significant at 1% level
#> Test(s) for individual slopes:
#> lgdp2 not significant at 10% level
#> fse2 significant at 10% level
#> gedy2 not significant at 10% level
#> Iy2 not significant at 10% level
#> gcony2 not significant at 10% level