help: reset2 dialog:

Title

reset2: 2SLS-IV REgression Specification Error Tests (RESET)

Table of Contents

Syntax

Description

Model

GMM Options

Other Options

Saved Results

References

*** Examples

Author

Syntax

reset2 depvar indepvars (endog = inst) [if] [in] ,

model(2sls, liml, gmm, melo, fuller, kclass)

[ kc(#) kf(#) hetcov(type) noconstant noconexog ]

Description

reset2 computes 2SLS-IV 2SLS-IV REgression Specification Error Tests (RESET) for instrumental variables regression models, via 2sls, liml, melo, gmm, and kclass.

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

Model

model description

2sls Two-Stage Least Squares (2SLS)

liml Limited-Information Maximum Likelihood (LIML)

melo Minimum Expected Loss (MELO)

fuller Fuller k-Class LIML

kclass Theil K-Class LIML

gmm Generalized Method of Moments (GMM)

GMM Options

hetcov Options Description

hetcov(white) White Method

hetcov(bart) Bartlett Method

hetcov(dan) Daniell Method

hetcov(nwest) Newey-West Method

hetcov(parzen) Parzen Method

hetcov(quad) Quadratic spectral Method

hetcov(tent) Tent Method

hetcov(trunc) Truncated Method

hetcov(tukeym) Tukey-Hamming Method

hetcov(tukeyn) Tukey-Hanning Method

Other Options

kf(#) Fuller k-Class LIML Value

kc(#) Theil k-Class LIML Value

noconstant Exclude Constant Term from RHS Equation only

noconexog Exclude Constant Term from all Equations (both RHS and Instrumental Equations). Results of using noconexog option are identical to Stata ivregress and ivreg2.
The default of reset2 is including Constant Term in both RHS and Instrumental Equations

Saved Results

reset2 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.

Greene, William (1993)
"Econometric Analysis",
2nd ed., Macmillan Publishing Company Inc., New York, USA; 616-618.

Greene, William (2007)
"Econometric Analysis",
6th ed., Upper Saddle River, NJ: Prentice-Hall; 387-388.

Griffiths, W., R. Carter Hill & George Judge (1993)
"Learning and Practicing Econometrics",
John Wiley & Sons, Inc., New York, USA; 602-606.

Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988)
"Introduction To The Theory And Practice Of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA.

Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985)
"The Theory and Practice of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA; 615.

Kmenta, Jan (1986)
"Elements of Econometrics",
2nd ed., Macmillan Publishing Company, Inc., New York, USA; 718.

Maddala, G. (1992)
"Introduction to Econometrics",
2nd ed., Macmillan Publishing Company, New York, USA; 358-366.

Park, S. (1982)
"Some Sampling Properties of Minimum Expected Loss (MELO) Estimators of Structural Coefficients",
J. Econometrics, Vol. 18, No. 2, April,; 295-311.

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.

White, Halbert (1980)
"A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity",
Econometrica, 48; 817-838.

William E. Griffiths, R. Carter Hill and George G. Judge (1993)
"Learning and Practicing Econometrics",
John Wiley & Sons, Inc., New York, USA.

Zellner, Arnold (1978)
"Estimation of Functions of Population Means and Regression Coefficients Including Structural Coefficients: A Minimum Expected Loss (MELO) Approach",
J. Econometrics, Vol. 8,; 127-158.

Zellner, Arnold & S. Park (1979)
"Minimum Expected Loss (MELO) Estimators for Functions of Parameters and Structural Coefficients of Econometric Models",
J. Am. Stat. Assoc., Vol. 74; 185-193.

Examples

clear all

sysuse reset2.dta , clear

db reset2

reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(melo)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(liml)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(fuller) kf(0.5)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(kclass) kc(0.5)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(white)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(bart)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(dan)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(nwest)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(parzen)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(quad)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tent)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(trunc)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeym)
reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeyn)

. clear all
. sysuse reset2.dta , clear
. reset2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)

==============================================================================
* Two Stage Least Squares (2SLS)
==============================================================================
y1 = y2 + x1 + x2
------------------------------------------------------------------------------
Sample Size = 17
Wald Test = 79.9520 | P-Value > Chi2(3) = 0.0000
F-Test = 26.6507 | P-Value > F(3 , 13) = 0.0000
(Buse 1973) R2 = 0.8592 | Raw Moments R2 = 0.9954
(Buse 1973) R2 Adj = 0.8267 | Raw Moments R2 Adj = 0.9944
Root MSE (Sigma) = 10.2244 | Log Likelihood Function = -61.3630
------------------------------------------------------------------------------
- R2h= 0.8593 R2h Adj= 0.8268 F-Test = 26.46 P-Value > F(3 , 13) 0.0000
- R2v= 0.8765 R2v Adj= 0.8480 F-Test = 30.75 P-Value > F(3 , 13) 0.0000
------------------------------------------------------------------------------
y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y2 | .237333 .2422811 0.98 0.345 -.2860835 .7607495
x1 | .2821278 .5433329 0.52 0.612 -.8916715 1.455927
x2 | -1.044795 .362648 -2.88 0.013 -1.828248 -.2613411
_cons | 145.8444 61.72083 2.36 0.034 12.50468 279.1842
------------------------------------------------------------------------------
* Y = LHS Dependent Variable: 1 = y1
* Yi = RHS Endogenous Variables: 1 = y2
* Xi = RHS Included Exogenous Vars: 2 = x1 x2
* Xj = RHS Excluded Exogenous Vars: 2 = x3 x4
* Z = Overall Instrumental Vars: 4 = x1 x2 x3 x4

==============================================================================
*** 2SLS-IV REgression Specification Error Tests (RESET) - Model= (2sls)
==============================================================================
Ho: Model is Specified - Ha: Model is Misspecified
------------------------------------------------------------------------------
* Ramsey Specification ResetF Test
- Ramsey RESETF1 Test: Y= X Yh2 = 1.032 P-Value > F(1, 12) 0.3297
- Ramsey RESETF2 Test: Y= X Yh2 Yh3 = 6.942 P-Value > F(2, 11) 0.0112
- Ramsey RESETF3 Test: Y= X Yh2 Yh3 Yh4 = 5.561 P-Value > F(3, 10) 0.0166
------------------------------------------------------------------------------
* DeBenedictis-Giles Specification ResetL Test
- Debenedictis-Giles ResetL1 Test = 4.952 P-Value > F(2, 11) 0.0293
- Debenedictis-Giles ResetL2 Test = 2.960 P-Value > F(4, 9) 0.0813
- Debenedictis-Giles ResetL3 Test = 1.714 P-Value > F(6, 7) 0.2482
------------------------------------------------------------------------------
* DeBenedictis-Giles Specification ResetS Test
- Debenedictis-Giles ResetS1 Test = 2.117 P-Value > F(2, 11) 0.1668
- Debenedictis-Giles ResetS2 Test = 0.438 P-Value > F(4, 9) 0.7786
- Debenedictis-Giles ResetS3 Test = 0.321 P-Value > F(6, 7) 0.9063
------------------------------------------------------------------------------
- White Functional Form Test: E2= X X2 = 9.977 P-Value > Chi2(1) 0.0068
------------------------------------------------------------------------------

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

reset2 Citation

Shehata, Emad Abd Elmessih (2012)

RESET2: "2SLS-IV REgression Specification Error Tests (RESET)"

Online Help:

reset, reset2. (if installed).