《计量经济学导论》ch9.pptVIP

Chapter 9 ;Tests for functional form misspecification One can always test whether explanatory should appear as squares or higher order terms by testing whether such terms can be excluded Otherwise, one can use general specification tests such as RESET Regression specification error test (RESET) The idea of RESET is to include squares and possibly higher order fitted values in the regression (similarly to the reduced White test) ;Example: Housing price equation Discussion One may also include higher order terms, which implies complicated interactions and higher order terms of all explanatory va