Usage: |
{t,p} = hhtest(vhat,y,yhat,h,{c,{m}})
|
Input: |
| vhat | n x 1 matrix with the projected index
|
| y | n x 1 matrix
|
| yhat | n x 1 matrix with the parametric estimate of E(Y|X)
|
| h | scalar (positive) -- the bandwidth for kernel
regression with Quartic kernel
|
| c | scalar 0 =< c < 1 (optional) -- proportion of the
sample to be cut in each extreme. Default is 0.05.
|
| m | n x 1 or the scalar 1. m should be given only for
binary responses. If the data is binomial m is the
vector with the binomial coeficients. If the data is
bernouli, m=1. m is necessary to calculate the vari-
ance of y. If y is not binary the variance will be
given by a nonparametric regression of (y-fhat)^2
on vhat.
|
Output: |
| t | scalar -- the statistic value |
| p | scalar -- the p-value of t |