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Re: st: Reset test

From   Tirthankar Chakravarty <[email protected]>
To   [email protected]
Subject   Re: st: Reset test
Date   Fri, 11 Sep 2009 22:26:21 +0100

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 ---
  title={{Misspecification tests in econometrics: the Lagrange
multiplier principle and other approaches}},
  author={Godfrey, LG},
  publisher={Cambridge Univ Pr}

  title={{The sensitivity of some general checks to omitted variables
in the linear model}},
  author={Godfrey, LG and Orme, CD},
  journal={International Economic Review},
  publisher={The Economics Department of the University of
Pennsylvania, and the Osaka University Institute of Social and
Economic Research Association}

  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},
  publisher={American Statistical Association}


On Fri, Sep 11, 2009 at 3:03 PM, Melvyn Weeks <[email protected]> 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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