Description Usage Arguments Details Value References
This is an internal function used in the function test to compute the test statistic with survey weights.
1 2 |
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 |
data_test |
the matrix of sample moments |
epsilon |
the parameter epsilonon inSection 3 |
B |
the number of bootstrap samples |
N3 |
a parameter equal to 1 if no covariates, to N otherwise |
c |
the parameter c in Section 3 |
kappa |
the parameter kappapa in Section 3 |
p |
the parameter p in Section 3. Equals 0.0 if generalized RE test. |
N |
total number of observations |
weights |
the vector of survey weights. Uniform by default. |
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.
a list containing, in order:
- T_n : the test statistic
- phi_n: the vector of coresponding GMS functions
- M_bar : the matrix of M_bar in Section 3
D<e2><80><99>Haultfoeuille X, Gaillac C, Maurel A (2018). <e2><80><9c>Rationalizing Rational Expectations? Tests and Deviations.<e2><80><9d> CREST Working paper
Andrews D, Shi X (2017). <e2><80><9c>Inference Based on Many Conditional Moment Inequalities.<e2><80><9d> Journal of Econometrics, 196(2), 275<e2><80><93>287.
Andrews DW, Kim W, Shi X (2017). <e2><80><9c>Commands for testing conditional moment inequalities and equalities.<e2><80><9d> The Stata journal, 17(1).
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