Description Usage Arguments Value
Computes Jtest of overidentifying restrictions with critical value adjusted
to allow for local misspecification, when the parameter c takes the
form c=B*gamma with the lp norm of
gamma bounded by M. Assumes initial estimator in
eo
is optimal under correct specification.
1  Jtest(eo, B, M, p = 2, alpha = 0.05)

eo 
List containing initial estimates with the following components:

B 
matrix B with full rank and dimension d_g by d_gamma that determines the set C, where d_gamma is the number of invalid moments, and d_g is the number of moments 
M 
Bound on the norm of gamma 
p 
Parameter determining which lp norm to use, must equal

alpha 
determines confidence level, 
List with three elements:
Value of J statistic
Pvalue of usual J test
Pvalue for Jtest that allows for local misspecification
Minimum value of M for which the Jtest would not reject
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