{smcl}
{* *! version 1.1.0 - 18 Feb 2013}{...}
help for {cmd:frm_reset}
{hline}
{title:Title}
{p2colset 5 18 20 2}{...}
{p2col :{cmd: frm_reset} {hline 2}}RESET test for fractional regression models
{p_end}
{p2colreset}{...}
{title:Syntax}
{p 8 12 2}
{cmd:frm_reset} [{it:anything}]
[{cmd:,} {it:options}]
{synoptset 26}{...}
{synopthdr}
{synoptline}
{synopt:{opt l:astpower(#)}}specify the maximum power of the linear predictor to be used in the RESET test{p_end}
{synopt:{opt lm}}specify the LM version of the RESET test to be performed{p_end}
{synopt:{opt w:ald}}specify the Wald version of the RESET test to be performed{p_end}
{synopt:{opt lr}}specify the LR version of the RESET test to be performed{p_end}
{synopt:{cmd:ml}}use maximum likelihood optimization{p_end}
{synopt:{cmd:irls}}iterated, reweighted least-squares optimization of the deviance{p_end}
{synopt:{it:{help frm##maximize_options:maximize_options}}}control the maximization
process{p_end}
{synopt:{opt fisher(#)}}use the Fisher scoring Hessian or expected information matrix (EIM){p_end}
{synopt:{cmd:search}}search for good starting values{p_end}
{synoptline}
{pstd} where {it:anything}, if provided, is the name under which estimation results were saved via {help estimates_store:estimates store}. Otherwise,
{cmd:frm_reset} is applied to the last estimation results, even if these were not already stored.
{title:Description}
{pstd} {cmd:frm_reset} applies the RESET test statistic to fractional regression
models estimated via {help frm:frm}. {cmd:frm_reset} may be used to test the link
specification of: (i) one-part fractional regression models; (ii) the binary
component of two-part fractional regression models; and (iii) the fractional
component of two-part fractional regression models. See Ramalho, Ramalho
and Murteira (2011) for details on the application of the RESET test in the
fractional regression framework.
{title:Options}
{phang} {opt lastpower(#)}} specify the maximum power of the linear predictor
to be used in the RESET test. The default option is {cmd:lastpower(3)}, which
implies that two RESET statistics are computed, one using quadratic powers
of the fitted values as test variable and the other considering quadratic and
cubic powers of the fitted values as test variables.
{phang} {opt lm} specifies that the LM version of the RESET test is to be
performed. Unless the model to be tested is the binary component of a
two-part fractional regression model, a robust version is implemented. This
is the default option.
{phang} {opt wald} specifies that the Wald version of the RESET test is to
be performed. It is implemented taking into account the option chosen for
computing standard errors in the model under evaluation.
{phang} {opt lr} specifies that the LR version of the RESET test is to be
performed. This option is only available for the binary component of a
two-part fractional regression model.
{phang} {cmd:ml} requests that optimization of the alternative model is
carried out using Stata's {cmd:ml} commands and is the default. All
{it:maximize_options} are available. Only useful for Wald and LR tests.
{phang} {cmd:irls} requests iterated, reweighted least-squares (IRLS) optimization
of the deviance of the alternative model. The only available {it:maximize_options} are {opt iterate(#)},
{opt trace} and {opt ltolerance(#)}. Only useful for the Wald test.
{marker maximize_options}{...}
{phang}
{it:maximize_options}:
{opt tech:nique(algorithm_spec)},
{opt iter:ate(#)},
{opt tr:ace},
{opt dif:ficult},
{opt grad:ient},
{opt showstep},
{opt hess:ian},
{opt showtol:erance},
{opt tol:erance(#)},
{opt ltol:erance(#)},
{opt nrtol:erance(#)},
{opt nonrtol:erance},
{opt from(init_specs)}; see {manhelp maximize R} for details.
{phang} {opt fisher(#)} specifies the number of Newton-Raphson steps that should
use the Fisher scoring Hessian or EIM before switching to the observed information
matrix (OIM). This option is useful only for Newton-Raphson optimization and can
only be used in association with {cmd:ml} and not with {cmd:irls}. Only useful for Wald and LR tests.
{phang} {cmd:search} specifies that the command search for good starting values.
This option is useful only for Newton-Raphson optimization and can
only be used in association with {cmd:ml} and not with {cmd:irls}. Only useful for Wald and LR tests.
{title:Examples}
{pstd}Setup - data used in Ramalho, Ramalho and Henriques (2010){p_end}
{phang2}{cmd:. use http://evunix.uevora.pt/~jsr/stata/JPA-2010.dta}{p_end}
{pstd}Testing the logit specification of a standard fractional regression
model{p_end}
{phang2}{cmd:. frm SCORE LANDLORD LIVESTOCK CROP SIZE SUBSIDIES ALTO CENTRAL BAIXO}{p_end}
{phang2}{cmd:. frm_reset}{p_end}
{pstd}Testing probit and cloglog specifications of binary regression models using
LR-based RESET tests with quadratic, cubic and fourth powers of the linear predictor{p_end}
{phang2}{cmd:. frm SCORE LANDLORD LIVESTOCK CROP SIZE SUBSIDIES ALTO CENTRAL BAIXO, m(2Pbin) linkb(probit) inf(1)}{p_end}
{phang2}{cmd:. estimates store a1}{p_end}
{phang2}{cmd:. frm SCORE LANDLORD LIVESTOCK CROP SIZE SUBSIDIES ALTO CENTRAL BAIXO, m(2Pbin) linkb(cloglog) inf(1)}{p_end}
{phang2}{cmd:. estimates store a2}{p_end}
{phang2}{cmd:. frm_reset a1, lr l(4)}{p_end}
{phang2}{cmd:. frm_reset a2, lr l(4)}{p_end}
{title:Saved results}
{pstd}
{cmd:frm_reset} saves results of the following type in {cmd:r()}:
{synoptset 20 tabbed}{...}
{p2col 6 20 24 2: Scalars}{p_end}
{synopt:{cmd:r(LM2)}}LM-based RESET statistic that uses only quadratic powers of the
linear predictor as test variable{p_end}
{synopt:{cmd:r(LM2p)}}p-value for the statistic {cmd:r(LM2)}{p_end}
{p2colreset}{...}
{pstd} If {cmd:lastpower({it:#})} is higher than 2, then {cmd:r(LM3)}, {cmd:r(LM3p)},
etc. are also saved. If Wald and LR versions of the RESET test are computed, then
{cmd:r(W2)}, {cmd:r(LR2)}, etc. are also saved.
{title:Author}
{pstd}Joaquim J.S. Ramalho{p_end}
{pstd}Department of Economics{p_end}
{pstd}University of Evora{p_end}
{pstd}Portugal{p_end}
{pstd}jsr@uevora.pt{p_end}
{title:Remarks}
{pstd} {cmd:frm_reset} is not an official Stata command. For further help and
support, please contact the author. Please notice that this software
is provided as is, without warranty of any kind, expressed or implied,
including but not limited to the warranties of merchantability, fitness
for a particular purpose, and noninfringement. In no event shall the
author be liable for any claim, damages, or other liability, whether in
an action of contract, tort, or otherwise, arising from, out of, or
in connection with the software or the use or other dealings in the
software.
{title:References}
{phang}
Ramalho, E.A., J.J.S. Ramalho and J.M.R. Murteira (2011), "Alternative
estimating and testing empirical strategies for fractional regression models",
Journal of Economic Surveys, 25(1), 19-68.
{phang}
Ramalho, E.A., J.J.S. Ramalho and P.D. Henriques (2010), "Fractional
regression models for second stage DEA efficiency analyses", Journal of
Productivity Analysis, 34(3), 239-255.
{title:Also see}
{pstd} Online: help for {help frm:frm}