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| In [[statistics]], the '''Ramsey Regression Equation Specification Error Test (RESET) test''' (Ramsey, 1969) is a general [[specification (regression)|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 variable]]s have any power in explaining the response variable, the model is mis-specified.
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| ==Technical summary==
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| Consider the model
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| : <math>\hat{y}=E\{y|x\}=\beta x.</math>
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| The Ramsey test then tests whether <math>(\beta x)^2, (\beta x)^3...,(\beta x)^k</math> has any power in explaining <math>y</math>. This is executed by estimating the following [[linear regression]]
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| : <math>y=\alpha x + \gamma_1\hat{y}^2+...+\gamma_{k-1}\hat{y}^k+\epsilon</math>, | |
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| and then testing, by a means of a [[F-test]] whether <math>\gamma_1~</math> through <math>~\gamma_{k-1}</math> are zero. If the null-hypothesis that all <math>\gamma~</math> coefficients are zero is rejected, then the model suffers from mis-specification.
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| ==References== | |
| * 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}}
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| *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}}
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| *Murteira, Bento. (2008) ''Introdução à Estatística'', McGraw Hill.
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| *Wooldridge, Jeffrey M. (2006) ''Introductory Econometrics - A Modern Approach'', Thomson South-Western, International Student Edition.
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| [[Category:Statistical tests]]
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| [[Category:Regression diagnostics]]
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The writer is recognized by the name of Figures Lint. Her spouse and her reside in Puerto Rico but she will have to move one day or an additional. My working day occupation is a librarian. What I love performing is doing ceramics but I haven't produced a dime with it.
my web blog: std testing at home