Robust Specification Testing in Regression: The FRESET Test and Autocorrelated Disturbances
AbstractThis study investigates the degree of size-distortion of the RESET, FRESETL and FRESETS tests, and their ability to reject falsely specified models in terms of an omitted variable, in the presence of autocorrelation. Specifically, in the presence of AR(1) and MA(1) processes, respectively. We also explore the properties of the corresponding tests when the robust error covariance matrix estimator of Newey and West (1987) is used in the construction of the tests. Our results indicated that the FRESET tests performed equally as well as, and in many cases yield higher "power" than the comparable RESET test. The dominance of the FRESET tests was even more pronounced when a Newey-West correction for autocorrelation was used as evidenced by higher rejection rates.
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Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 9806.
Length: 13 pages
Date of creation: 27 May 1998
Date of revision:
Note: ISSN 1485-6441
Contact details of provider:
Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Web page: http://web.uvic.ca/econ
More information through EDIRC
Specification Analysis; RESET test; Autocorrelation;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-1998-10-19 (All new papers)
- NEP-ECM-1998-08-31 (Econometrics)
- NEP-EEC-1998-10-19 (European Economics)
- NEP-ETS-1998-10-23 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Local vs. Global Approximations
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-07-08 16:56:00
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Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
1541, Cowles Foundation for Research in Economics, Yale University.
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