T_stat {RationalExp} | R Documentation |
This function implements the Computation of the test statistic T given in section 3. "Statistical tests" of "Rationalizing Rational Expectations? Tests and Deviations".
T_stat(m_bar, Sigma_bar, prob_weight, N_g, N_k, p)
m_bar |
the moments m_bar for the different instrumental functions h considered |
Sigma_bar |
the matrix of all the variances of the moments m_bar for the different instrumental functions h considered |
prob_weight |
vector of weigths for the test statistic |
N_g |
number of instrumental functions h considered |
N_k |
number of moments |
p |
the parameter p in the Statistic. |
a real T which is the test statistic