boot_stat: Compute the bootstrap test statistic for parallel...

In RationalExp: Rationalizing Rational Expectations. Tests and Deviations

Description

This is an internal function to separately compute the bootsrap test statsitic.

Usage

boot_stat(u, Y_tilde, X, D, epsilon, N3, p, prec, N, sample_mat,
  generalized, weights, y_grid, phi_n, M_bar, DX)

Arguments

u	bootstrap index;
Y_tilde	the vector stacking the realisations y then the anticipated values psi of respective sizes n_y and n_p.
X	the matrix of covariates. Set to a vector of 1 by default (in which case the test without covariates is performed).
D	the vector stacking the dummies for the dataset of realisation : n_y ones then n_p zeros
epsilon	the parameter epsilonon in Section 3 of DGM. Default value is 0.05.
N3	equals to N if covariates, to 1 other wise.
p	the parameter p in Section 3 of DGM. Default is 0.05.
prec	the number of points to be tested. Default is 30.
N	the total numeber of obs
sample_mat	matrix of bootrap indexes
generalized	"Add" if additive shocks for the generalized test
weights	survey weights
y_grid	the grid points. Default is quantile(Y_tilde,seq(0,1,length.out=30)).
phi_n	the GMS function in DGM
M_bar	the quantilty bar m in section 2 of DGM
DX	the total number of covariates

Details

By default, the test is implemented without covariates. To perform the test with covariates, one has to indicate in X a non-constant vector or matrix. Also, one can perform the <c2><ab> generalized <c2><bb> tests allowing for aggregate shocks by using the dummy variable generalized. Survey weights can be added. The user can modify the number of cores used by R to reduce the computational time. Tuning parameters used in the test can also be modified.

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