T_stat {RationalExp}

Computation of the test statistic

Description

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

Usage

T_stat(m_bar, Sigma_bar, prob_weight, N_g, N_k, p)

Arguments

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.

Value

a real T which is the test statistic