DeBenedictis, Linda F.; Giles, David E. A. - Department of Economics, University of Victoria - 1998
This study investigates the degree of size-distortion of the RESET, FRESETL and FRESETS tests, and their ability to reject falsely specified models in terms of an omitted variable, in the presence of autocorrelation. Specifically, in the presence of AR(1) and MA(1) processes, respectively. We...