English, Article edition: IVRESET: Stata module to perform Ramsey/Pesaran-Taylor/Pagan-Hall RESET specification test after IV/GMM/OLS estimation Mark E Schaffer

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Bookmark: http://trove.nla.gov.au/version/103755
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  • English

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Title
  • IVRESET: Stata module to perform Ramsey/​Pesaran-Taylor/​Pagan-Hall RESET specification test after IV/​GMM/​OLS estimation
Author
  • Mark E Schaffer
Physical Description
  • code
Notes
  • ivreset performs various flavors of Ramsey's regression error specification test (RESET) as adapted by Pesaran and Taylor (1999) and Pagan and Hall (1983) for instrumental variables (IV) estimation. The RESET test is sometimes called an "omitted variables test" but probably is best interpreted as a test of neglected nonlinearities in the choice of functional form. Under the null that there are no neglected nonlinearities, the residuals should be uncorrelated with low-order polynomials in y-hat, where the y-hats are the "forecast values" of the dependent variable that are functions of the instruments (exogenous variables) only. The test flavors vary according to the polynomial terms (square, cube, 4th power of y-hat), the choice of forecast values (Pesaran-Taylor optimal forecasts or Pagan-Hall reduced form forecasts), test statistic (Wald or GMM-distance), and large vs. small sample statistic (chi-squared or F-statistic). If the original estimation was heteroskedastic-robust, cluster-robust, autocorrelation-consistent (AC), or heteroskedastic and autocorrelation-consistent (HAC), the RESET test reported will be as well. ivreset can also be used after OLS or HOLS regression with regress or ivreg2, when there are no endogenous regressors. In this case, a standard Ramsey RESET test using fitted values of y is reported. This is version 1.0.06 of ivreset. Keywords: instrumental variables, 2SLS, GMM, RESET, regression specification test, ivreg2, ivhettest, ivendog, Ramsey, Pesaran-Smith, Pagan-Hall
  • RePEc:boc:bocode:s455701
Language
  • English
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