Name
reset0 — Ramsey RESET test
CALLING SEQUENCE
[f,f_pvalue]=reset0(r,npow,np)
PARAMETERS
- Input
r = the first stage regression tlist result
npow = degree of non linearity
- Output
f = value of the reset F test
f_pvalue = its p-value
DESCRIPTION
Computes Ramsey (1969) RESET test for non linearity of power 2 to p (see Ramsay (1969) :"Tests for specification errors in classical linear least-squares regression analysis", Journal of the Royal Statistical Society, Series B, n°2, 350-371). Results are given only in constant form and not printed.
EXAMPLE
load(GROCERDIR+'data/bdhenderic.dat');
bounds('1964q3','1989q2');
rols=ols('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet', 'lagts(1,lm1-lp-ly)', 'const');
[fstat,f_pvalue]=reset0(rols,2)
// Useful mainly for programming purpose (since reset does much more).