suptest {robust2sls}

Supremum proportion test across different cut-offs

Description

suptest() uses the estimations across several cut-offs to test whether the supremum/maximum of the deviations between sample and population FODR differs significantly from its expected value. \[ \sup_{c} |\sqrt{n}(\widehat{\gamma}_{c} - \gamma_{c})| \]

Usage

suptest(robust2sls_object, alpha, iteration, p = c(0.9, 0.95, 0.99), R = 50000)

Arguments

robust2sls_object

A list of "robust2sls" objects.

alpha

A numeric value between 0 and 1 representing the significance level of the test.

iteration

An integer >= 0 or the character "convergence" that determines which iteration is used for the test.

p

A numeric vector of probabilities with values in [0,1] for which the corresponding quantiles are calculated.

R

An integer specifying the number of replications for simulating the distribution of the test statistic.

Value

suptest() returns a data frame with one row storing the iteration that was tested, the value of the test statistic, the corresponding p-value, the significance level, and whether the null hypothesis is rejected. The data frame also contains two named attributes. The first attribute is named "gammas" and records which gammas determining the different cut-offs were used in the scaling sup test. The second attribute is named "critical" and records the critical values corresponding to the different quantiles in the limiting distribution that were specified in p.