the sample vector of moments for a specified vector $(h_a,r,y)$

m_bar

the sample covariance matrix of m_bar

sigma_bar

index of the $ h_a,r$ function considered

This function implements the core part of the Cramer-von-Mises test statistic T, denoted by S in AS.

We implement a test of the rational expectations hypothesis based on the marginal distributions of realizations and subjective beliefs from D'Haultfoeuille, Gaillac, and Maurel (2018) <doi:10.3386/w25274>. This test can be used in cases where realizations and subjective beliefs are observed in two different datasets that cannot be matched, or when they are observed in the same dataset. The package also computes the estimator of the minimal deviations from rational expectations than can be rationalized by the data.

Christophe Gaillac

S1: Core part of the Statistic T

Description

Usage

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