How to judge Ramsey Reset test

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

你好，求助Ramsey Reser Test相关内容

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Ramsey RESET Judge test AMS test How Ramsey Judge RESET

同问

Ramsey RESET testFrom Wikipedia, the free encyclopediaJump to: navigation, search
In statistics, the Ramsey Regression Equation Specification Error Test (RESET) test (Ramsey, 1969) is a general specification test for the linear regression model. More specifically, it tests whether non-linear combinations of the fitted values help explain the response variable. The intuition behind the test is that if non-linear combinations of the explanatory variables have any power in explaining the response variable, the model is mis-specified.

[edit] Technical summaryConsider the model


The Ramsey test then tests whether (β1x)2,(β2x)3...,(βk − 1x)k has any power in explaining y. This is executed by estimating the following linear regression

,
and then testing, by a means of a F-test whether  through  are zero. If the null-hypothesis that all regression coefficients of the non-linear terms are zero is rejected, then the model suffers from mis-specification.

For a univariate x the test can also be performed by regressing on the truncated power series of the explanatory variable and using an F-Test for


Test rejection implies the same insight as the first version mentioned above.


The F-test compares both regressions, the original one and the Ramsey's auxiliary one, as done with the evaluation of linear restrictions. The original model is the restricted one opposed to the Ramsey's unrestricted model.

~ F(k − 1,n − k), where:
is the determination coefficient of the original linear model regression;

is the determination coefficient of the Ramsey's auxiliary regression;

n is the sample size;

k is number of parameters in the Ramsey's model.

Furthermore, the linear model


and the model with the non-linear power terms

,
are sujected to the F-test, similarly as before:

~ F(k − 1,n − m − k) ,
where m + k is number of parameters in the Ramsey's model, which are k − 1 variables in the Ramsey group (non-linear ) plus m + 1 the number of parameters in the original model.

The critical (rejection) region is on the right side of the F distribution, thus

.
[edit] ReferencesRamsey, J.B. (1969) "Tests for Specification Errors in Classical Linear Least Squares Regression Analysis", Journal of the Royal Statistical Society, Series B., 31(2), 350–371. JSTOR 2984219
Thursby, J.G., Schmidt, P. (1977) "Some Properties of Tests for Specification Error in a Linear Regression Model", Journal of the American Statistical Association, 72, 635–641. JSTOR 2286231
Murteira, Bento. (2008) Introdução à Estatística, McGraw Hill.
Wooldridge, Jeffrey M. (2006) Introductory Econometrics - A Modern Approach, Thomson South-Western, International Student Edition.