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A New Variant of RESET for Distributed Lag Models

Author

Listed:
  • Dimitris Hatzinikolaou

    (University of Ioannina, Department of Economics)

  • Athanassios Stavrakoudis

    (University of Ioannina, Department of Economics)

Abstract

We propose a new variant of RESET that is appropriate for distributed lag models. Monte Carlo evidence on size and power strongly supports the use of the new variant instead of the traditional RESET.

Suggested Citation

  • Dimitris Hatzinikolaou & Athanassios Stavrakoudis, 2005. "A New Variant of RESET for Distributed Lag Models," Economics Bulletin, AccessEcon, vol. 3(56), pages 1-4.
    • Handle: RePEc:ebl:ecbull:eb-05c10023
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    File URL: http://www.accessecon.com/pubs/EB/2005/Volume3/EB-05C10023A.pdf
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    References listed on IDEAS

    as
    1. Adrian R Pagan & Anthony D Hall, 1983. "Diagnostic tests as residual analysis," Published Paper Series 1983-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Thursby, Jerry G, 1989. "A Comparison of Several Specification Error Tests for a General Alternative," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(1), pages 217-230, February.
    3. Porter, Richard D. & Kashyap, Anil K., 1984. "Autocorrelation and the sensitivity of reset," Economics Letters, Elsevier, vol. 14(2-3), pages 229-233.
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    Cited by:

    1. Andrea Vaona, 2008. "Inflation persistence, structural breaks and omitted variables: a critical view," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0802, USI Università della Svizzera italiana.

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    More about this item

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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