Hi,
I've implemented the KhmaladzeTest for my linear quantile regression model for
the location-scale shift hypotesis as follow:
>formula=r ~ div + pe + por
>Ktest=KhmaladzeTest(formula,nullH="location-scale")
> Ktest
$nullH
[1] "location-scale"
$Tn
[1] 2.125804
$THn
div pe por
0.7972984 1.4432325 0.7107914
attr(,"class")
Now I have to compare the number 2.125804 with the critical values that I found
in Koenker and Xiao (2002) which are:
- 1% critical value 5.350
- 5% critical value 4.523
So I accept the null.
But if I carry out the test for the location shift hypotesis
the result is:
$Tn
[1] 3.178942
and I accept the null again! How is it possible??? Is there something wrong in
my estimation?
Thank you for your help!
Antonella Cannito
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