R help - Nov 2009 - KhmaladzeTest - quantreg

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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