T_stat

the moments m_bar for the different instrumental functions h considered

m_bar

the matrix of all the variances of the moments m_bar for the different instrumental functions h considered

Sigma_bar

vector of weigths for the test statistic

prob_weight

number of instrumental functions h considered

This function implements the Computation of the test statistic T given in section 3. "Statistical tests" of "Rationalizing Rational Expectations? Tests and Deviations".

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.

T_stat: Computation of the test statistic

Description

Usage

Arguments

Value