diff --git a/matlab/+mom/Jtest.m b/matlab/+mom/Jtest.m
new file mode 100644
index 0000000000000000000000000000000000000000..0cf41df5dd8b51189662d5e53fd78a21af20a933
--- /dev/null
+++ b/matlab/+mom/Jtest.m
@@ -0,0 +1,67 @@
+function oo_ = Jtest(xparam, objective_function, Woptflag, oo_, options_mom_, bayestopt_, Bounds, estim_params_, M_, nobs)
+% function oo_ = Jtest(xparam, objective_function, Woptflag, oo_, options_mom_, bayestopt_, Bounds, estim_params_, M_, nobs)
+% -------------------------------------------------------------------------
+% Computes the J-test statistic and p-value for a GMM/SMM estimation
+% =========================================================================
+% INPUTS
+% xparam: [vector] estimated parameter vector
+% objective_function: [function handle] objective function
+% Woptflag: [logical] flag if optimal weighting matrix has already been computed
+% oo_: [struct] results
+% options_mom_: [struct] options
+% bayestopt_: [struct] information on priors
+% Bounds: [struct] bounds on parameters
+% estim_params_: [struct] information on estimated parameters
+% M_: [struct] information on the model
+% nobs: [scalar] number of observations
+% -------------------------------------------------------------------------
+% OUTPUT
+% oo_: [struct] updated results
+% -------------------------------------------------------------------------
+% This function is called by
+% o mom.run
+% -------------------------------------------------------------------------
+% This function calls
+% o mom.objective_function
+% o mom.optimal_weighting_matrix
+% =========================================================================
+% Copyright © 2023 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
+% =========================================================================
+
+if options_mom_.mom.mom_nbr > length(xparam)
+ % Get optimal weighting matrix for J test, if necessary
+ if ~Woptflag
+ W_opt = mom.optimal_weighting_matrix(oo_.mom.m_data, oo_.mom.model_moments, options_mom_.mom.bartlett_kernel_lag);
+ oo_J = oo_;
+ oo_J.mom.Sw = chol(W_opt);
+ fval = feval(objective_function, xparam, Bounds, oo_J, estim_params_, M_, options_mom_, bayestopt_);
+ else
+ fval = oo_.mom.Q;
+ end
+ % Compute J statistic
+ if strcmp(options_mom_.mom.mom_method,'SMM')
+ Variance_correction_factor = options_mom_.mom.variance_correction_factor;
+ elseif strcmp(options_mom_.mom.mom_method,'GMM')
+ Variance_correction_factor = 1;
+ end
+ oo_.mom.J_test.j_stat = nobs*Variance_correction_factor*fval/options_mom_.mom.weighting_matrix_scaling_factor;
+ oo_.mom.J_test.degrees_freedom = length(oo_.mom.model_moments)-length(xparam);
+ oo_.mom.J_test.p_val = 1-chi2cdf(oo_.mom.J_test.j_stat, oo_.mom.J_test.degrees_freedom);
+ fprintf('\nValue of J-test statistic: %f\n',oo_.mom.J_test.j_stat);
+ fprintf('p-value of J-test statistic: %f\n',oo_.mom.J_test.p_val);
+end
\ No newline at end of file
diff --git a/matlab/+mom/run.m b/matlab/+mom/run.m
index 6e8e81994f2a20f418e4feff1032ddbf7ff85eda..846bcea13e32489365dff58023ded5e5519a3baa 100644
--- a/matlab/+mom/run.m
+++ b/matlab/+mom/run.m
@@ -569,39 +569,14 @@ if strcmp(options_mom_.mom.mom_method,'GMM') || strcmp(options_mom_.mom.mom_meth
end
-% -------------------------------------------------------------------------
-% Step 8: J test
-% -------------------------------------------------------------------------
-if options_mom_.mom.mom_nbr > length(xparam1)
- %get optimal weighting matrix for J test, if necessary
- if ~Woptflag
- W_opt = mom.optimal_weighting_matrix(oo_.mom.m_data, oo_.mom.model_moments, options_mom_.mom.bartlett_kernel_lag);
- oo_j=oo_;
- oo_j.mom.Sw = chol(W_opt);
- [fval] = feval(objective_function, xparam1, Bounds, oo_j, estim_params_, M_, options_mom_);
- end
-
- % Compute J statistic
- if strcmp(options_mom_.mom.mom_method,'SMM')
- Variance_correction_factor = options_mom_.mom.variance_correction_factor;
- elseif strcmp(options_mom_.mom.mom_method,'GMM')
- Variance_correction_factor=1;
- end
- oo_.mom.J_test.j_stat = dataset_.nobs*Variance_correction_factor*fval/options_mom_.mom.weighting_matrix_scaling_factor;
- oo_.mom.J_test.degrees_freedom = length(oo_.mom.model_moments)-length(xparam1);
- oo_.mom.J_test.p_val = 1-chi2cdf(oo_.mom.J_test.j_stat, oo_.mom.J_test.degrees_freedom);
- fprintf('\nvalue of J-test statistic: %f\n',oo_.mom.J_test.j_stat)
- fprintf('p-value of J-test statistic: %f\n',oo_.mom.J_test.p_val)
-end
-
-
% -------------------------------------------------------------------------
% display final estimation results
% -------------------------------------------------------------------------
if strcmp(options_mom_.mom.mom_method,'SMM') || strcmp(options_mom_.mom.mom_method,'GMM')
% Store results in output structure
oo_.mom = display_estimation_results_table(xparam1,SE,M_,options_mom_,estim_params_,bayestopt_,oo_.mom,prior_dist_names,options_mom_.mom.mom_method,lower(options_mom_.mom.mom_method));
-
+ % J test
+ oo_ = mom.Jtest(xparam1, objective_function, Woptflag, oo_, options_mom_, bayestopt_, Bounds, estim_params_, M_, dataset_.nobs);
title = ['Comparison of data moments and model moments (',options_mom_.mom.mom_method,')'];
headers = {'Moment','Data','Model'};
for jm = 1:size(M_.matched_moments,1)