Jtest: J-test of overidentifying restrictions under local...

Description Usage Arguments Value

Description

Computes J-test 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.

Usage

1
Jtest(eo, B, M, p = 2, alpha = 0.05)

Arguments

eo

List containing initial estimates with the following components:

Sig

Estimate of variance of the moment condition, matrix with dimension d_g by d_g, where d_g is the number of moments

G

Estimate of derivative of the moment condition, matrix with dimension d_g by d_theta, where d_theta is the dimension of theta

H

Estimate of derivative of h(theta). A vector of length d_theta

n

sample size

h_init

Estimate of h(theta)

k_init

Initial sensitivity

g_init

Moment condition evaluated at initial estimate

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 1, 2, or Inf.

alpha

determines confidence level, 1-alpha, for constructing/optimizing confidence intervals.

Value

List with three elements:

J

Value of J statistic

p0

P-value of usual J test

pC

P-value for J-test that allows for local misspecification

Mmin

Minimum value of M for which the J-test would not reject


kolesarm/GMMSensitivity documentation built on May 31, 2019, 1:51 a.m.