T_stat: Computation of the test statistic

In RationalExp: Rationalizing Rational Expectations. Tests and Deviations

Description

This function implements the Computation of the test statistic T given in section 3. "Statistical tests" of "Rationalizing Rational Expectations? Tests and Deviations".

Usage

T_stat(m_bar, Sigma_bar, prob_weight, N_g, N_k, p)

Arguments

m_bar	the moments m_bar for the different instrumental functions h considered
Sigma_bar	the matrix of all the variances of the moments m_bar for the different instrumental functions h considered
prob_weight	vector of weigths for the test statistic
N_g	number of instrumental functions h considered
N_k	number of moments
p	the parameter p in the Statistic.

Value

a real T which is the test statistic

RationalExp documentation built on May 2, 2019, 2:07 a.m.