TC,
Tnx,
RY
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Tirthankar Chakravarty <[email protected]>
Date: Friday, September 11, 2009 10:27 pm
Subject: Re: st: Reset test
To: [email protected]
> This is covered in Godfrey's book (1991, p. 106-107; full ref. below).
> Increasing p, where p is the max. power of the fitted values, need not
> increase asymptotic local power. For purely spherical errors (when the
> test is exact), the choice of p=3 was found to have good power
> properties in the simulations of Ramsey & Gilbert (1972). Godfrey &
> Orme (1994) suggest the use of p=2 over p=4.
>
> You might prefer the flexibility offered by -ivreset- due to Mark
> Schaffer (SSC):
> ******************
> sysuse auto, clear
> reg price mpg weight length, robust
> ivreset, poly(2)
> ivreset, poly(3)
> ivreset, poly(4)
> ******************
>
> --- References ---
> @book{godfrey1991misspecification,
> title={{Misspecification tests in econometrics: the Lagrange
> multiplier principle and other approaches}},
> author={Godfrey, LG},
> year={1991},
> publisher={Cambridge Univ Pr}
> }
>
> @article{godfrey1994sensitivity,
> title={{The sensitivity of some general checks to omitted variables
> in the linear model}},
> author={Godfrey, LG and Orme, CD},
> journal={International Economic Review},
> pages={489--506},
> year={1994},
> publisher={The Economics Department of the University of
> Pennsylvania, and the Osaka University Institute of Social and
> Economic Research Association}
> }
>
> @article{ramsey1972monte,
> title={{A Monte Carlo study of some small sample properties of tests
> for specification error}},
> author={Ramsey, J. and Gilbert, R.},
> journal={Journal of the American Statistical Association},
> pages={180--186},
> year={1972},
> publisher={American Statistical Association}
> }
>
> T
>
> On Fri, Sep 11, 2009 at 3:03 PM, Melvyn Weeks <[email protected]> wrote:
> > My understanding is that the RESET test in STATA has a default (and
> > fixed) setting based upon adding a 4th degree polynomial in predicted
> > values.
> >
> > I can obviously specifiy the test myself.
> >
> > However, I have noted that using either a robust or non-robust variant,
> > that inference can very much depend - especially in small samples -
> on
> > the order of the polynomial.
> > Does anyone have experience with this and is there any useful references
> > I should check out.
> >
> > M.
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
>
> --
> To every ω-consistent recursive class κ of formulae there correspond
> recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
> belongs to Flg(κ) (where v is the free variable of r).
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
