Robust Specification Testing in Regression: The FRESET Test and Autocorrelated Disturbances
This 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.
|Date of creation:||27 May 1998|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://web.uvic.ca/econ
More information through EDIRC
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.:
- Gallant, A. Ronald, 1981. "On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form," Journal of Econometrics, Elsevier, vol. 15(2), pages 211-245, February.
- Thursby, Jerry G, 1982. "Misspecification, Heteroscedasticity, and the Chow and Goldfeld-Quandt Tests," The Review of Economics and Statistics, MIT Press, vol. 64(2), pages 314-21, May.
- Whitney K. Newey & Kenneth D. West, 1986.
"A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix,"
NBER Technical Working Papers
0055, National Bureau of Economic Research, Inc.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Thursby, Jerry G, 1989. "A Comparison of Several Specification Error Tests for a General Alternative," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(1), pages 217-30, February.
- Porter, Richard D. & Kashyap, Anil K., 1984. "Autocorrelation and the sensitivity of reset," Economics Letters, Elsevier, vol. 14(2-3), pages 229-233.
- Mitchell, Karlyn & Onvural, Nur M, 1996. "Economies of Scale and Scope at Large Commercial Banks: Evidence from the Fourier Flexible Functional Form," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(2), pages 178-99, May.
When requesting a correction, please mention this item's handle: RePEc:vic:vicewp:9806. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (David Giles)
If references are entirely missing, you can add them using this form.