Alkhamisi, Mahdi; Khalaf, Ghadban; Shukur, Ghazi - In: Journal of Applied Statistics 35 (2008) 1, pp. 101-113
The small sample properties of the systemwise RESET (Regression Specification Error Test) test for functional misspecification are investigated using normal and non-normal error terms. When using normally distributed or less heavy tailed error terms, we find the Rao's multivariate F-test to be...