caa a22 4500 467896208 CHVBK 20180406152805.0 cr unu---uuuuu 170328e20060901xx s 000 0 eng 10.1007/s00181-005-0039-0 doi (NATIONALLICENCE)springer-10.1007/s00181-005-0039-0 Empirical size and power of some diagnostic tests applied to a distributed lag model [Elektronische Daten] [Dimitris Hatzinikolaou, Athanassios Stavrakoudis] 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. Springer-Verlag, 2006 Size nationallicence Power nationallicence Simulation nationallicence RESET nationallicence Diagnostic tests nationallicence Hatzinikolaou Dimitris Department of Economics, University of Ioannina, 451 10, Ioannina, Greece aut Stavrakoudis Athanassios Department of Economics, University of Ioannina, 451 10, Ioannina, Greece aut Empirical Economics Physica-Verlag 31/3(2006-09-01), 631-643 0377-7332 31:3<631 2006 31 181 https://doi.org/10.1007/s00181-005-0039-0 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0039-0 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Hatzinikolaou Dimitris Department of Economics, University of Ioannina, 451 10, Ioannina, Greece aut NATIONALLICENCE 700 1- Stavrakoudis Athanassios Department of Economics, University of Ioannina, 451 10, Ioannina, Greece aut NATIONALLICENCE 773 0- Empirical Economics Physica-Verlag 31/3(2006-09-01), 631-643 0377-7332 31:3<631 2006 31 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer