Ramsey RESET test
In statistics, the Ramsey Regression Equation Specification Error Test (RESET) test (Ramsey, 1969) is a general specification test for the linear regression model. More specifically, it tests whether non-linear combinations of the fitted values help explain the response variable. The intuition behind the test is that if non-linear combinations of the explanatory variables have any power in explaining the response variable, the model is mis-specified.
Consider the model
The Ramsey test then tests whether has any power in explaining . This is executed by estimating the following linear regression
and then testing, by a means of a F-test whether through are zero. If the null-hypothesis that all coefficients are zero is rejected, then the model suffers from mis-specification.
- Ramsey, J.B. (1969) "Tests for Specification Errors in Classical Linear Least Squares Regression Analysis", Journal of the Royal Statistical Society, Series B., 31(2), 350–371. JSTOR 2984219
- Thursby, J.G., Schmidt, P. (1977) "Some Properties of Tests for Specification Error in a Linear Regression Model", Journal of the American Statistical Association, 72, 635–641. JSTOR 2286231
- Murteira, Bento. (2008) Introdução à Estatística, McGraw Hill.
- Wooldridge, Jeffrey M. (2006) Introductory Econometrics - A Modern Approach, Thomson South-Western, International Student Edition.