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Ramsey RESET test

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have any power in explaining the response variable, the model is misspecified in the sense that the data generating process might be better approximated by a
60: 604: 55: 540:; Trivedi, Pravin K. (1993). "Some Specification Tests for the Linear Regression Model". In Bollen, Kenneth A.; Long, J. Scott (eds.). 143: 549: 517: 628: 28: 78: 559:
Thursby, J. G.; Schmidt, P. (1977). "Some Properties of Tests for Specification Error in a Linear Regression Model".
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model. More specifically, it tests whether non-linear combinations of the explanatory variables help to explain the
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Ramsey, J. B. (1969). "Tests for Specification Errors in Classical Linear Least Squares Regression Analysis".
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coefficients are zero is rejected, then the model suffers from misspecification.
44: 20: 39:. The intuition behind the test is that if non-linear combinations of the 582: 490: 354: 219:{\displaystyle (\beta x)^{2},(\beta x)^{3},\ldots ,(\beta x)^{k}} 25:
Ramsey Regression Equation Specification Error Test (RESET) test
506:"Classical model selection through specification error tests" 599:(Sixth ed.). Cengage Learning. pp. 273–278. 429: 393: 363: 242: 146: 81: 478:Journal of the Royal Statistical Society, Series B 438: 415: 379: 342: 218: 129: 130:{\displaystyle {\hat {y}}=E\{y\mid x\}=\beta x.} 562:Journal of the American Statistical Association 230:. This is executed by estimating the following 596:Introductory Econometrics – A Modern Approach 8: 512:. New York: Academic Press. pp. 13–47. 112: 100: 16:Statistical test for model misspecification 423:are zero. If the null-hypothesis that all 428: 401: 392: 368: 362: 325: 314: 313: 300: 281: 270: 269: 262: 241: 210: 182: 160: 145: 83: 82: 80: 61:Journal of the Royal Statistical Society 467: 47:or another non-linear functional form. 7: 58:in 1968, and later published in the 353:and then testing, by a means of an 140:The Ramsey test then tests whether 54:as part of his Ph.D. thesis at the 542:Testing Structural Equation Models 14: 544:. London: Sage. pp. 66–110. 56:University of Wisconsin–Madison 575:10.1080/01621459.1977.10480627 416:{\displaystyle ~\gamma _{k-1}} 319: 275: 207: 197: 179: 169: 157: 147: 88: 1: 380:{\displaystyle \gamma _{1}~} 226:has any power in explaining 508:. In Zarembka, Paul (ed.). 645: 50:The test was developed by 510:Frontiers in Econometrics 439:{\displaystyle \gamma ~} 629:Regression diagnostics 591:Wooldridge, Jeffrey M. 504:Ramsey, J. B. (1974). 440: 417: 381: 344: 220: 131: 441: 418: 382: 345: 221: 132: 41:explanatory variables 427: 391: 361: 240: 144: 79: 456:Harvey–Collier test 72:Consider the model 436: 413: 377: 340: 216: 127: 624:Statistical tests 606:978-1-305-27010-7 435: 396: 376: 322: 278: 232:linear regression 91: 68:Technical summary 37:response variable 33:linear regression 636: 610: 586: 555: 524: 523: 501: 495: 494: 472: 445: 443: 442: 437: 433: 422: 420: 419: 414: 412: 411: 394: 386: 384: 383: 378: 374: 373: 372: 349: 347: 346: 341: 330: 329: 324: 323: 315: 311: 310: 286: 285: 280: 279: 271: 267: 266: 229: 225: 223: 222: 217: 215: 214: 187: 186: 165: 164: 136: 134: 133: 128: 93: 92: 84: 644: 643: 639: 638: 637: 635: 634: 633: 614: 613: 607: 589: 558: 552: 536: 533: 531:Further reading 528: 527: 520: 503: 502: 498: 474: 473: 469: 464: 452: 425: 424: 397: 389: 388: 364: 359: 358: 312: 296: 268: 258: 238: 237: 227: 206: 178: 156: 142: 141: 77: 76: 70: 52:James B. Ramsey 17: 12: 11: 5: 642: 640: 632: 631: 626: 616: 615: 612: 611: 605: 587: 556: 550: 538:Long, J. Scott 532: 529: 526: 525: 518: 496: 485:(2): 350–371. 466: 465: 463: 460: 459: 458: 451: 448: 432: 410: 407: 404: 400: 371: 367: 351: 350: 339: 336: 333: 328: 321: 318: 309: 306: 303: 299: 295: 292: 289: 284: 277: 274: 265: 261: 257: 254: 251: 248: 245: 213: 209: 205: 202: 199: 196: 193: 190: 185: 181: 177: 174: 171: 168: 163: 159: 155: 152: 149: 138: 137: 126: 123: 120: 117: 114: 111: 108: 105: 102: 99: 96: 90: 87: 69: 66: 15: 13: 10: 9: 6: 4: 3: 2: 641: 630: 627: 625: 622: 621: 619: 608: 602: 598: 597: 592: 588: 584: 580: 576: 572: 568: 564: 563: 557: 553: 551:0-8039-4506-X 547: 543: 539: 535: 534: 530: 521: 519:0-12-776150-0 515: 511: 507: 500: 497: 492: 488: 484: 480: 479: 471: 468: 461: 457: 454: 453: 449: 447: 430: 408: 405: 402: 398: 369: 365: 356: 337: 334: 331: 326: 316: 307: 304: 301: 297: 293: 290: 287: 282: 272: 263: 259: 255: 252: 249: 246: 243: 236: 235: 234: 233: 211: 203: 200: 194: 191: 188: 183: 175: 172: 166: 161: 153: 150: 124: 121: 118: 115: 109: 106: 103: 97: 94: 85: 75: 74: 73: 67: 65: 63: 62: 57: 53: 48: 46: 42: 38: 34: 31:test for the 30: 29:specification 27:is a general 26: 22: 595: 566: 560: 541: 509: 499: 482: 476: 470: 352: 139: 71: 59: 49: 24: 18: 569:: 635–641. 618:Categories 462:References 45:polynomial 21:statistics 431:γ 406:− 399:γ 366:γ 335:ε 320:^ 305:− 298:γ 291:⋯ 276:^ 260:γ 250:α 201:β 192:… 173:β 151:β 119:β 107:∣ 89:^ 64:in 1969. 593:(2016). 450:See also 387:through 357:whether 583:2286231 491:2984219 603:  581:  548:  516:  489:  434:  395:  375:  355:F-test 23:, the 579:JSTOR 487:JSTOR 601:ISBN 546:ISBN 514:ISBN 571:doi 19:In 620:: 577:. 567:72 565:. 483:31 481:. 609:. 585:. 573:: 554:. 522:. 493:. 409:1 403:k 370:1 338:, 332:+ 327:k 317:y 308:1 302:k 294:+ 288:+ 283:2 273:y 264:1 256:+ 253:x 247:= 244:y 228:y 212:k 208:) 204:x 198:( 195:, 189:, 184:3 180:) 176:x 170:( 167:, 162:2 158:) 154:x 148:( 125:. 122:x 116:= 113:} 110:x 104:y 101:{ 98:E 95:= 86:y

Index

statistics
specification
linear regression
response variable
explanatory variables
polynomial
James B. Ramsey
University of Wisconsin–Madison
Journal of the Royal Statistical Society
linear regression
F-test
Harvey–Collier test
Journal of the Royal Statistical Society, Series B
JSTOR
2984219
"Classical model selection through specification error tests"
ISBN
0-12-776150-0
Long, J. Scott
ISBN
0-8039-4506-X
Journal of the American Statistical Association
doi
10.1080/01621459.1977.10480627
JSTOR
2286231
Wooldridge, Jeffrey M.
Introductory Econometrics – A Modern Approach
ISBN
978-1-305-27010-7

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