c_cube: Instrumental functions computations

In RationalExp: Rationalizing Rational Expectations. Tests and Deviations

Description

This function defines, for each specified value of r_n the set of indicator funtions h(X_i) which are the key elements for the RE test with co covariates

Usage

c_cube(X_adj, N, DX, r_n)

Arguments

X_adj	the standardised version of the covariates X
N	the size of X
DX	the number of covariates
r_n	the parameter indexing the number of instrumental function, which is chosen according the the rule used in AS y default.

Value

a list containing, in order:

- X_adj he standardised version of the covariates X

- r_n the parameter indexing the number of instrumental function, which is chosen according the the rule used in AS y default.

- g_col a vector containing part of the weights

- Q_AR a matrix with the weights that enter the statistic T

- G_X a binary matrix indexing the observations X that fall into the hypercubes indexed by h.

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