The effect of fat-tailed error terms on the properties of systemwise RESET test

Journal of Applied Statistics

Volumn 35, Issue 1, 2008, Pages 101-113

  Alkhamisi, Mahdi ^a   Khalaf, Ghadban ^b   Shukur, Ghazi ^a,c  

^a LINNAEUS UNIVERSITY   (Sweden)

^b KING KHALID UNIVERSITY   (Saudi Arabia)

^c JÖNKÖPING UNIVERSITY   (Sweden)

Author keywords

Non normal error terms; Small sample properties; Systemwise test of functional misspecification

Indexed keywords

EID: 38049138616     PISSN: 02664763     EISSN: 13600532     Source Type: Journal    
DOI: 10.1080/02664760701683676     Document Type: Article

References (7)

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2. Edgerton, D. L. and Shukur, G. (1999) Testing autocorrelation in a system perspective. Econometric Rev., 18:4, pp. 343-386.
3. Ramsey, J. B. (1969) Test for specification error in classical linear least squares regression analysis. J. R. Stat. Soc. B, 31, pp. 350-371.
4. Rao, C. R. (1973) Linear Statistical Inference and its Applications. Wiley, New York
5. Shukur, G. (1999) The robustness of the systemwise Breauch-Godfrey autocorrelation test for non-normal distributed error terms. Commun. Stat., 29:2
6. Shukur, G. and Edgerton, D. L. (2002) The small sample properties of the RESET test as applied to systems of equations. J. Stat. Comput. Simul., 72:12, pp. 909-924.
7. Shukur, G. and Mantalos, P. (2004) Size and power of the RESET test as applied to systems of equations: A bootstrap approach. J. Mod. Appl. Stat. Methods, 3:2