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st: -ivreset- available on SSC-IDEAS


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: -ivreset- available on SSC-IDEAS
Date   Tue, 20 Sep 2005 11:05:50 +0100

Thanks to Kit Baum, -ivreset- is available on SSC-IDEAS.

-ivreset- performs various flavors of Ramsey's regression error 
specification test (RESET) as adapted by Pesaran and Taylor (1999) 
and Pagan and Hall (1983) for instrumental variables (IV) estimation. 
The RESET test is sometimes called an "omitted variables test" but 
probably is best interpreted as a test of neglected nonlinearities in 
the choice of functional form.  P-T and P-H devised forms of the 
RESET test that can be used for equations estimated by IV or GMM.
-ivreset- can also be used after OLS or HOLS regression with -regress-
or -ivreg2-; in these cases, a standard Ramsey RESET test is reported 
but with options for the user that are not available with Stata's 
official -ovtest-.  

Stata 8 is required.

Mark Schaffer
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert

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