Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: smoother
See also: epa

Macro: lvtest
Description: This quantlet tests for significance of a subset or of the whole set of continuous regresssors in a nonparametric regression.

Reference(s):

Usage: test = lvtest(y,w,z,hw,hz)
Input:
y n dimensional vector
w n x p matrix
z n x k matrix
hw p1 dimensional vector
hz k dimensional vector
Output:
test test statistic and its P-value

Note:

Example:
; We test here for the significance of the subset of regressors
; z. Since by construction, this subset is significant, the 
; evaluated P-value is equal to zero.
;
library("smoother")
setenv("outputstringformat", "%s")
func("diagrv")
randomize(0)
u = normal(100,1)
w = normal (100,1)
z = normal (100,1)
y = w^3 - w + 2*z + u
test = lvtest (y,w,z,0.4,0.4)
Result:

Contents of result
[1,] Test Statistic   P-Value  
[2,] ________________________  
[3,]  
[4,]      5.8210      0.0000 
Example:

; Here, the subset of regressors z is not significant. Thus, the 
; P-value of the test is high.
library("smoother")
setenv("outputstringformat", "%s")
func("diagrv")
randomize(0)
u = normal(100,1)
w = normal (100,1)
z = normal (100,1)
y = w^3 - w +  u
test = lvtest (y,w,z,0.4,0.4)  
Result:

Contents of result
[1,] Test Statistic   P-Value  
[2,] ________________________  
[3,]  
[4,]      0.0735      0.4707 

Library: smoother
See also: epa

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Pascal Lavergne, Gilles Teyssiere, 980914
(C) MD*TECH Method and Data Technologies, 17.8.2000