The sensitivity of the RESET tests to disturbance autocorrelation in regression analysis
Siu Leung () and
Empirical Economics, 2001, vol. 26, issue 4, 726 pages
This paper investigates the sensitivity of the RESET tests, proposed by Ramsey (1969) and modified by Thursby and Schmidt (1977), to disturbance autocorrelation in regression analysis. Porter and Kashyap (1984) show that RESET is not robust to autocorrelated disturbance when there is a highly autocorrelated regressor in the model. We show that RESET is sensitive to disturbance autocorrelation even when the regressors are not autocorrelated. We explain the findings of Thursby (1979) and Porter and Kashyap (1984) as well as our result by showing that a spurious correlation between the regressor and the disturbance is responsible for the serious size distortion of the RESET tests.
Keywords: RESET; Autocorrelation; Spurious Relationship; Monte Carlo Simulation. (search for similar items in EconPapers)
Note: received: June 1999/Final version received: November 2000
References: Add references at CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed
Downloads: (external link)
Access to the full text of the articles in this series is restricted
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:26:y:2001:i:4:p:721-726
Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2
Access Statistics for this article
Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund
More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().