estimDev: Estimation of the minimal deviations from rational...

In RationalExp: Rationalizing Rational Expectations. Tests and Deviations

Description

This function estimates of the minimal deviations from rational expectations with unconstrained information set. Both vectors should have the same length. If not, one can randomly select a subset of the longer vector with length equal to that of the shorter one. The function returns a function via the approxfun of the package stats. This function can then be evaluated directly on a desired grid.

Usage

estimDev(psi, y)

Arguments

psi	vector of subjective expectations
y	vector of realisations of an individual outcome.

Examples

n_p=200
n_y=200
sig=0.1
u=1
b=0.10
a=2
rho= 0.4
psi <- rnorm(n_p,0,u)
pp_y <- runif(n_y,0,1)
zeta <- rnorm(n_y,a,sig)
zeta1 <- rnorm(n_y,-a,sig)
pp1_y <- 1*(pp_y <b)
pp2_y <- 1*(pp_y >1-b)
pp3_y <- 1*(pp_y <=(1-b) & pp_y >=b)
psi_y <-rnorm(n_p,0,u)
y = rho*psi_y+ pp1_y*zeta + pp2_y*zeta1

g_star <- estimDev(psi,y)

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