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Re: st: Reset test


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Reset test
Date   Sun, 13 Sep 2009 11:58:27 +0100

TC,
   Tnx,
     RY
    

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
Date: Friday, September 11, 2009 10:27 pm
Subject: Re: st: Reset test
To: statalist@hsphsun2.harvard.edu


> This is covered in Godfrey's book (1991, p. 106-107; full ref. below).
>  Increasing p, where p is the max. power of the fitted values, need not
>  increase asymptotic local power. For purely spherical errors (when the
>  test is exact), the choice of p=3 was found to have good power
>  properties in the simulations of Ramsey & Gilbert (1972). Godfrey &
>  Orme (1994) suggest the use of p=2 over p=4.
>  
>  You might prefer the flexibility offered by -ivreset- due to Mark
>  Schaffer (SSC):
>  ******************
>  sysuse auto, clear
>  reg price mpg weight length, robust
>  ivreset, poly(2)
>  ivreset, poly(3)
>  ivreset, poly(4)
>  ******************
>  
>  --- References ---
>  @book{godfrey1991misspecification,
>    title={{Misspecification tests in econometrics: the Lagrange
>  multiplier principle and other approaches}},
>    author={Godfrey, LG},
>    year={1991},
>    publisher={Cambridge Univ Pr}
>  }
>  
>  @article{godfrey1994sensitivity,
>    title={{The sensitivity of some general checks to omitted variables
>  in the linear model}},
>    author={Godfrey, LG and Orme, CD},
>    journal={International Economic Review},
>    pages={489--506},
>    year={1994},
>    publisher={The Economics Department of the University of
>  Pennsylvania, and the Osaka University Institute of Social and
>  Economic Research Association}
>  }
>  
>  @article{ramsey1972monte,
>    title={{A Monte Carlo study of some small sample properties of tests
>  for specification error}},
>    author={Ramsey, J. and Gilbert, R.},
>    journal={Journal of the American Statistical Association},
>    pages={180--186},
>    year={1972},
>    publisher={American Statistical Association}
>  }
>  
>  T
>  
>  On Fri, Sep 11, 2009 at 3:03 PM, Melvyn Weeks <mw217@cam.ac.uk> wrote:
>  > My understanding is that the RESET test in STATA has a default (and
>  > fixed) setting based upon adding a 4th degree polynomial in predicted
>  > values.
>  >
>  > I can obviously specifiy the test myself.
>  >
>  > However, I have noted that using either a robust or non-robust variant,
>  > that inference can very much depend - especially in small samples - 
> on
>  > the order of the polynomial.
>  > Does anyone have experience with this and is there any useful references
>  > I should check out.
>  >
>  > M.
>  >
>  > *
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>  >
>  
>  
>  
>  -- 
>  To every ω-consistent recursive class κ of formulae there correspond
>  recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
>  belongs to Flg(κ) (where v is the free variable of r).
>  
>  *
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>  

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