test_base {RationalExp}

The test statistic for the RE test with survey weights

Description

This is an internal function used in the function test to compute the test statistic with survey weights.

Usage

test_base(Y_tilde, X, D, data_test, epsilon, B, N3, c, kappa, p, N,
  weights)

Arguments

Y_tilde

the vector stacking the realisations y then the anticipated values psi of respective sizes n_y and n_p.

X

the matrix of covariates. Set to a vector of 1 by default (in which case the test without covariates is performed).

D

the vector stacking the dummies for the dataset of realisation : n_y ones then n_p zeros

data_test

the matrix of sample moments

epsilon

the parameter epsilonon inSection 3

B

the number of bootstrap samples

N3

a parameter equal to 1 if no covariates, to N otherwise

c

the parameter c in Section 3

kappa

the parameter kappapa in Section 3

p

the parameter p in Section 3. Equals 0.0 if generalized RE test.

N

total number of observations

weights

the vector of survey weights. Uniform by default.

Details

By default, the test is implemented without covariates. To perform the test with covariates, one has to indicate in X a non-constant vector or matrix. Also, one can perform the « generalized » tests allowing for aggregate shocks by using the dummy variable generalized. Survey weights can be added. The user can modify the number of cores used by R to reduce the computational time. Tuning parameters used in the test can also be modified.

Value

a list containing, in order:

- T_n : the test statistic

- phi_n: the vector of coresponding GMS functions

- M_bar : the matrix of M_bar in Section 3

References

D’Haultfoeuille X, Gaillac C, Maurel A (2018). “Rationalizing Rational Expectations? Tests and Deviations.” CREST Working paper

Andrews D, Shi X (2017). “Inference Based on Many Conditional Moment Inequalities.” Journal of Econometrics, 196(2), 275–287.

Andrews DW, Kim W, Shi X (2017). “Commands for testing conditional moment inequalities and equalities.” The Stata journal, 17(1).