伍德里奇计量经济学第三版教师手册CHAPTER 9.docVIP

PAGE  PAGE 94 CHAPTER 9 TEACHING NOTES The coverage of RESET in this chapter recognizes that it is a test for neglected nonlinearities, and it should not be expected to be more than that. (Formally, it can be shown that if an omitted variable has a conditional mean that is linear in the included explanatory variables, RESET has no ability to detect the omitted variable. Interested readers may consult my chapter in Companion to Theoretical Econometrics, 2001, edited by Badi Baltagi.) I just teach students the F statistic version of the test. The Davidson-MacKinnon test can be useful