help: reset dialog:

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 variables.

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 - Egypt
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).