Hellenic Open University Conferences, International Conference on Business & Economics of the Hellenic Open University 2016

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Temporal Aggregation and the Ramsey’s (RESET) Test for Functional Form :results from a Monte Carlo experiment.
Efstratios Tserkezos

##manager.scheduler.building##: Titania
##manager.scheduler.room##: Platon
Date: 2016-04-23 02:00 PM – 04:00 PM
Last modified: 2016-05-25

Abstract


This short paper demonstrates that the use of temporally   aggregated data may affect  the power of the  well known functional specification  Ramsey’s RESET test. This tests is widely used  for testing the functional specification of a model.

Using Monte Carlo techniques, we found  that temporal aggregation could affect seriously the power and the size  of the test.


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