reset.test: RESET Method for Non-linear Functional Form

In desk: Didactic Econometrics Starter Kit

RESET Method for Non-linear Functional Form

Description

Ramsey's RESET for non-linear functional form. The object of test results returned by this command can be plotted using the plot() function.

Usage

reset.test(
  mod,
  data = list(),
  m = 2,
  sig.level = 0.05,
  details = FALSE,
  hyp = TRUE
)

Arguments

mod	estimated linear model object or formula.
data	if mod is a formula then the corresponding data frame has to be specified.
m	the number of non-linear terms of fitted y values that should be included in the extended model. Default is m = 2, i.e. to add \widehat{y}^2 and \widehat{y}^3.
sig.level	significance level. Default value: sig.level = 0.05.
details	logical value indicating whether specific details about the test should be returned.
hyp	logical value indicating whether the Hypotheses should be returned.

Value

A list object including:

hyp	character matrix of hypotheses (if hyp = TRUE).
results	a data frame of basic test results.
SSR0	SSR of the H0-model.
SSR1	SSR of the extended model.
L	numbers of parameters tested in H0.
nulldist	null distribution of the test.

References

Ramsey, J.B. (1969): Tests for Specification Error in Classical Linear Least Squares Regression Analysis. Journal of the Royal Statistical Society, Series B 31, 350-371.

See Also

resettest.

Examples

## Numerical illustration 14.2. of the textbook
X <- reset.test(milk ~ feed, m = 4, data = data.milk)
X

## Plot the test result
plot(X)

desk documentation built on May 29, 2024, 6:05 a.m.