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The small sample properties of the reset test as applied to systems of equations

In English

Författare

Summary, in English

The RESET test for functional misspecification is generalised to cover systems of equations, and the properties of 7 versions are studied using Monte Carlo methods. The Rao F -test clearly exhibits the best performance as regards correct size, whilst the commonly used LRT (uncorrected for degrees-of-freedom), and LM and Wald tests (both corrected and uncorrected) behave badly even in single equations. The Rao test exhibits correct size even in ten equation systems, which is better than previous research concerning autocorrelation tests. The power of the test is low, however, when the number of equations grows and the correlation between the omitted variables and the RESET proxies is small.

Publiceringsår

2002

Språk

Engelska

Sidor

909-924

Publikation/Tidskrift/Serie

Journal of Statistical Computation and Simulation

Volym

72

Issue

12

Dokumenttyp

Artikel i tidskrift

Förlag

Taylor & Francis

Ämne

  • Economics

Nyckelord

  • small
  • tests of functional misspecification
  • systems of equations
  • sample properties
  • Monte Carlo methods

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 1563-5163