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Test Ramsey RESET na poprawność postaci funkcjonalnej×Test White'a na heteroskedastyczność×
DziedzinaEkonometriaEkonometria
RodzinaRegression modelRegression model
Rok powstania19691980
TwórcaJames B. RamseyHalbert White
TypTest for functional-form misspecificationGeneral test for heteroskedasticity
Źródło pierwotneRamsey, J. B. (1969). Tests for specification errors in classical linear least-squares regression analysis. Journal of the Royal Statistical Society: Series B, 31(2), 350–371. DOI ↗White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838. DOI ↗
Inne nazwyRESET test, regression specification error test, Ramsey RESET fonksiyonel form testiWhite's general heteroskedasticity test, White değişen varyans testi
Pokrewne43
PodsumowanieThe Ramsey RESET test, proposed by James Ramsey in 1969, is a general test for functional-form misspecification in a linear regression — for omitted nonlinear relationships between the response and the regressors. It adds powers of the fitted values to the model and checks whether they significantly improve the fit; if they do, the original linear specification has left systematic structure unexplained.The White test, introduced by Halbert White in 1980, is a general test for heteroskedasticity that makes no assumption about its functional form. It regresses the squared OLS residuals on the regressors, their squares, and their cross-products, so it can detect heteroskedasticity related to any of these terms. The same 1980 paper introduced the heteroskedasticity-consistent ('White') standard errors that are the standard remedy when the test rejects.
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