Alternative Specification Error Tests: A Comparative Study
作者： Jerry G. Thursby
DOI: 10.1080/01621459.1979.10481641
关键词: Statistics 、 Algorithm 、 Specification 、 Ramsey RESET test 、 Monte Carlo method 、 Regression analysis 、 Uniformly most powerful test 、 Autocorrelation 、 Reset (computing) 、 Residual 、 Mathematics
摘要: Abstract This article compares the power of test RESET to that a number autocorrelation tests in detecting errors omitted variables or incorrect functional form regression analysis. The considered are Durbin-Watson and chi-squared on first H autocorrelations residual vector. Monte Carlo experiments reveal is most powerful for specification robust autocorrelation.
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