+-------+ ----+ Title +------------------------------------------------------------
reset: OLS REgression Specification Error Tests (RESET)
+-------------------+ ----+ Table of Contents +------------------------------------------------
Syntax Description Options Saved Results References
*** Examples
Author
+--------+ ----+ Syntax +-----------------------------------------------------------
reset depvar indepvars [if] [in] , [ noconstant coll ]
+-------------+ ----+ Description +------------------------------------------------------
reset computes REgression Specification Error Tests (RESET)
Ho: Model is Specified - Ha: Model is Misspecified - Ramsey RESETF Test - DeBenedictis-Giles Specification ResetL Test - DeBenedictis-Giles Specification ResetS Test - White Functional Form Test
R2, R2 Adjusted, and F-Test, are obtained from 4 ways: 1- (Buse 1973) R2. 2- Raw Moments R2. 3- squared correlation between predicted (Yh) and observed dependent variable (Y). 4- Ratio of variance between predicted (Yh) and observed dependent variable (Y).
- Adjusted R2: R2_a=1-(1-R2)*(N-1)/(N-K-1). - F-Test=R2/(1-R2)*(N-K-1)/(K).
+---------+ ----+ Options +----------------------------------------------------------
noconstant Exclude Constant Term from Equation
coll keep collinear variables; default is removing collinear vari > ables.
+---------------+ ----+ Saved Results +----------------------------------------------------
reset saves the following in e():
*** REgression Specification Error Tests (RESET) Tests: e(resetf1) Ramsey Specification ResetF1 Test e(resetf1p) Ramsey Specification ResetF1 Test P-Value e(resetf2) Ramsey Specification ResetF2 Test e(resetf2p) Ramsey Specification ResetF2 Test P-Value e(resetf3) Ramsey Specification ResetF3 Test e(resetf3p) Ramsey Specification ResetF3 Test P-Value
e(resetl1) DeBenedictis-Giles Specification ResetL1 Test e(resetl1p) DeBenedictis-Giles Specification ResetL1 Test P-Value e(resetl2) DeBenedictis-Giles Specification ResetL2 Test e(resetl2p) DeBenedictis-Giles Specification ResetL2 Test P-Value e(resetl3) DeBenedictis-Giles Specification ResetL3 Test e(resetl3p) DeBenedictis-Giles Specification ResetL3 Test P-Value
e(resets1) DeBenedictis-Giles Specification ResetS1 Test e(resets1p) DeBenedictis-Giles Specification ResetS1 Test P-Value e(resets2) DeBenedictis-Giles Specification ResetS2 Test e(resets2p) DeBenedictis-Giles Specification ResetS2 Test P-Value e(resets3) DeBenedictis-Giles Specification ResetS3 Test e(resets3p) DeBenedictis-Giles Specification ResetS3 Test P-Value
e(lmw) Functional Form White LM Test e(lmwp) Functional Form White LM Test P-Value
+------------+ ----+ References +-------------------------------------------------------
Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill, New York, USA.
DeBenedictis, L. F. & Giles D. E. A. (1998) "Diagnostic Testing in Econometrics: Variable Addition, RESET and Fourier Approximations", In: A. Ullah & D. E. A. Giles (Eds.), Handbook of Applied Economic Statistics. Marcel Dekker, New York; 383-417.
Ramsey, J. B. (1969) "Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis", Journal of the Royal Statistical Society, Series B 31; 350-371.
+----------+ ----+ Examples +---------------------------------------------------------
clear all
sysuse reset.dta , clear
db reset
reset y x1 x2 -------------------------------------------------------------------------------
. clear all . sysuse reset.dta , clear . reset y x1 x2
============================================================================== * Ordinary Least Squares (OLS) ============================================================================== y = x1 + x2 ------------------------------------------------------------------------------ Sample Size = 17 Wald Test = 273.3662 | P-Value > Chi2(2) = 0.0000 F-Test = 136.6831 | P-Value > F(2 , 14) = 0.0000 (Buse 1973) R2 = 0.9513 | Raw Moments R2 = 0.9986 (Buse 1973) R2 Adj = 0.9443 | Raw Moments R2 Adj = 0.9984 Root MSE (Sigma) = 5.5634 | Log Likelihood Function = -51.6471 ------------------------------------------------------------------------------ - R2h= 0.9513 R2h Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000 - R2v= 0.9513 R2v Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000 ------------------------------------------------------------------------------ y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- x1 | 1.061709 .2666739 3.98 0.001 .4897506 1.633668 x2 | -1.382986 .0838143 -16.50 0.000 -1.562749 -1.203222 _cons | 130.7066 27.09429 4.82 0.000 72.59515 188.8181 ------------------------------------------------------------------------------
============================================================================== *** REgression Specification Error Tests (RESET) ============================================================================== Ho: Model is Specified - Ha: Model is Misspecified ------------------------------------------------------------------------------ * Ramsey Specification ResetF Test - Ramsey RESETF1 Test: Y= X Yh2 = 11.787 P-Value > F(1, 13) 0.0044 - Ramsey RESETF2 Test: Y= X Yh2 Yh3 = 5.488 P-Value > F(2, 12) 0.0203 - Ramsey RESETF3 Test: Y= X Yh2 Yh3 Yh4 = 3.604 P-Value > F(3, 11) 0.0494 ------------------------------------------------------------------------------ * DeBenedictis-Giles Specification ResetL Test - Debenedictis-Giles ResetL1 Test = 3.873 P-Value > F(2, 12) 0.0504 - Debenedictis-Giles ResetL2 Test = 1.919 P-Value > F(4, 10) 0.1838 - Debenedictis-Giles ResetL3 Test = 1.052 P-Value > F(6, 8) 0.4598 ------------------------------------------------------------------------------ * DeBenedictis-Giles Specification ResetS Test - Debenedictis-Giles ResetS1 Test = 2.020 P-Value > F(2, 12) 0.1753 - Debenedictis-Giles ResetS2 Test = 0.886 P-Value > F(4, 10) 0.5067 - Debenedictis-Giles ResetS3 Test = 2.437 P-Value > F(6, 8) 0.1215 ------------------------------------------------------------------------------ - White Functional Form Test: E2= X X2 = 4.936 P-Value > Chi2(1) 0.0847 ------------------------------------------------------------------------------
+--------+ ----+ Author +-----------------------------------------------------------
Emad Abd Elmessih Shehata Assistant Professor Agricultural Research Center - Agricultural Economics Research Institute - Eg > ypt Email: emadstat@hotmail.com WebPage: http://emadstat.110mb.com/stata.htm WebPage at IDEAS: http://ideas.repec.org/f/psh494.html WebPage at EconPapers: http://econpapers.repec.org/RAS/psh494.htm
+----------------+ ----+ reset Citation +---------------------------------------------------
Shehata, Emad Abd Elmessih (2012) RESET: "OLS REgression Specification Error Tests (RESET)"
http://ideas.repec.org/c/boc/bocode/s457333.html
http://econpapers.repec.org/software/bocbocode/s457333.htm
Online Help:
reset, reset2. (if installed).