Temporal Aggregation and the Ramseyâï¿½ï¿½s (RESET) Test for Functional Form : results from Empirical and Monte Carlo experiment

This short paper demonstrates that the use of temporally aggregated data may affect the power and the size of the well known the Ramsey's (1969) RESET test. This test is widely used for testing the functional specification of a model. Using Empirical data and Monte Carlo techniques we found that temporal aggregation could affect seriously the power and the size of the test.

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Year of publication:	2013-12-01
Authors:	Tserkezos, Dikaios
Institutions:	Department of Economics, University of Crete
Subject:	temporally aggregated data \| RESET \| Empirical data \| Monte Carlo Experiment

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1309 14 pages
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011145196