Empirical Economics

, Volume 31, Issue 3, pp 631–643 | Cite as

Empirical size and power of some diagnostic tests applied to a distributed lag model

  • Dimitris Hatzinikolaou
  • Athanassios Stavrakoudis
original paper


We produce Monte Carlo evidence on the size and power of the RESET, a heteroscedasticity test, and a test for autocorrelation applied to realistic distributed-lag models. We find that the autocorrelation test has the correct size and high power to detect not only autocorrelation (given a correct model), but also the erroneous omission of several lags of an explanatory variable, whereas the RESET and heteroscedasticity tests are oversized in the presence of positive disturbance autocorrelation, especially when the regressors are also positively autocorrelated, and have no power to detect such misspecification errors. In large samples, size distortion may be avoided by using autocorrelation-robust methods.


Size Power Simulation RESET Diagnostic tests 

JEL Classification

C15 C22 C52 


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Copyright information

© Springer-Verlag 2006

Authors and Affiliations

  • Dimitris Hatzinikolaou
    • 1
  • Athanassios Stavrakoudis
    • 1
  1. 1.Department of EconomicsUniversity of IoanninaIoanninaGreece

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