Does every Ordinary Least Squares (OLS) regression model have to pass both the Pregibon Test for Linearity (sometimes called link-test) and the Ramsey RESET tests?
I am working on an OLS model and it passes the Pregibon test when I include all the variables I wanted without squared terms. However, it fails to pass the RESET test.
Do I have to include quadratic terms or is the Pregibon test "enough" to claim that the model is well specified? Ideally would prefer to keep the model simple, so to not include quadratic terms.
thanks!
