| khmaladzize {quantreg} | R Documentation |
Function to compute the recursive least squares transformation
of the quantile regression process for the khmaladze.test procedure.
khmaladzize(tau, atau, Z, nullH)
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 |
Uses adaptive kernel density estimation akj() to estimate score functions.
Returns transformed Z process.
R. Koenker
Koenker, Roger and Zhijie Xiao (2001), "Inference on the Quantile Regression Process'', textit{Econometrica}, 81, 1583–1612. <URL: http://www.econ.uiuc.edu/~roger/research/inference/inference.html>