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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, 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

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