Rationalizing Rational Expectations. Tests and Deviations
Compute the bootstrap test statistic for parallel implementation
Instrumental functions computations
Compute the difference between mean of subvectors of two vectors
Estimation of the minimal deviations from rational expectations with u...
Inverse the function f
Core part of the Statistic T
Computation of the test statistic
Implementation of the RE test with possible survey weights (direct and...
The test statistic for the RE test with survey weights
Find the min of a list starting from the end
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.