resettest           package:lmtest           R Documentation(latin1)

_R_E_S_E_T _T_e_s_t

_D_e_s_c_r_i_p_t_i_o_n:

     Ramsey's RESET test for functional form.

_U_s_a_g_e:

     resettest(formula, power = 2:3, type = c("fitted", "regressor",
       "princomp"), data = list())

_A_r_g_u_m_e_n_t_s:

 formula: a symbolic description for the model to be tested (or a
          fitted '"lm"' object).

   power: integers. A vector of positive integers indicating the powers
          of the variables that should be included. By default, the
          test is for quadratic or cubic influence of the fitted
          response.

    type: a string indicating whether powers of the fitted response,
          the regressor variables (factors are left out), or the first
          principal component of the regressor matrix should be
          included in the extended model.

    data: an optional data frame containing the variables in the model.
          By default the variables are taken from the environment which
          'resettest' is called from.

_D_e_t_a_i_l_s:

     The RESET test is a popular diagnostic for correctness of
     functional form. The basic assumption is that under the
     alternative the model can be written in the form y=X * beta + Z *
     gamma. 'Z' is generated by taking powers either of the fitted
     response, the regressor variables, or the first principal
     component of 'X'. A standard F-Test is then applied to determine
     whether these additional variables have significant influence. The
     test statistic under H_0 follows an F distribution with
     'parameter' degrees of freedom.

     This function was called 'reset' in previous versions of the
     package. Please use 'resettest' instead.

     Examples can not only be found on this page, but also on the help
     pages of the data sets 'bondyield', 'currencysubstitution',
     'growthofmoney', 'moneydemand', 'unemployment', 'wages'.

_V_a_l_u_e:

     An object of class '"htest"' containing: 

statistic: the test statistic.

 p.value: the corresponding p-value.

parameter: degrees of freedom.

  method: a character string with the method used.

data.name: a character string with the data name.

_R_e_f_e_r_e_n_c_e_s:

     J.B. Ramsey (1969), Tests for Specification Error in Classical
     Linear Least Squares Regression Analysis. _Journal of the Royal
     Statistical Society, Series B_ *31*, 350-371

     W. Krmer & H. Sonnberger (1986), _The Linear Regression Model
     under Test_. Heidelberg: Physica

_S_e_e _A_l_s_o:

     'lm'

_E_x_a_m_p_l_e_s:

     x <- c(1:30)
     y1 <- 1 + x + x^2 + rnorm(30)
     y2 <- 1 + x + rnorm(30)
     resettest(y1 ~ x , power=2, type="regressor")
     resettest(y2 ~ x , power=2, type="regressor")

