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A Comparison of Several Specification Error Tests for a General Alternative

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  • Thursby, Jerry G

Abstract

This paper compares several tests for specification error in regression models when the alternative is nonspecific. The author considers the Durbin-Watson, RESET, Chow, and differencing tests. Perhaps not surprisingly, each test tends to perform well only against their "designed" alternatives. That is, with only a few exceptions, the differencing tests perform well against omitted dynamics, the Durbin-Watson test performs well when the omitted is autocorrelated, RESET performs well against incorrect functional form, and the Chow test performs well against structural shifts. These results are disappointing in that the tests have been proposed as tests against "general" or "nonconstructive" alternatives. Copyright 1989 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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  • 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.
    • Handle: RePEc:ier:iecrev:v:30:y:1989:i:1:p:217-30
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    Cited by:

    1. Augustine C. Arize & Ali F. Darrat & Donald J. Meyer, 1990. "Capital Mobility, Monetization, and Money Demand in Developing Economies," The American Economist, Sage Publications, vol. 34(1), pages 69-75, March.
    2. Godfrey, Leslie G & Orme, Chris D, 1996. "On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 263-281, May.
    3. Mullen, John D., 1995. "The Influence of Fat and Weight on the Price of Lamb in the Homebush Livestock and Wholesale Markets," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 63(01), pages 1-13, April.
    4. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5.
    5. Laura Spierdijk, 2023. "Assessing the consistency of the fixed-effects estimator: a regression-based Wald test," Empirical Economics, Springer, vol. 64(4), pages 1599-1630, April.
    6. Godfrey, L G & Orme, C D, 1994. "The Sensitivity of Some General Checks to Omitted Variables in the Linear Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(2), pages 489-506, May.
    7. Linda F. DeBenedictis, & David E. A. Giles, 1998. "Robust Specification Testing in Regression: The FRESET Test and Autocorrelated Disturbances," Econometrics Working Papers 9806, Department of Economics, University of Victoria.
    8. repec:ebl:ecbull:v:3:y:2005:i:56:p:1-4 is not listed on IDEAS
    9. Dimitris Hatzinikolaou & Athanassios Stavrakoudis, 2005. "A New Variant of RESET for Distributed Lag Models," Economics Bulletin, AccessEcon, vol. 3(56), pages 1-4.

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