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). 

               

AUTHOR

Eric Dubois 2002