The sensitivity of nonparametric misspecification tests to disturbance autocorrelation

We show that some nonparametric specification tests can be robust to disturbance autocorrelation. This robustness can be affected by the specification of the true model and by the sample size. Once applied to the prediction of changes in the Euro Repo rate by means of an index based on ECB wording, we find that the least sensitive nonparametric tests can have a comparable performance to a RESET test with robust standard errors.

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Year of publication:	2008-04-11
Authors:	Vaona, Andrea
Institutions:	USI Università della Svizzera italiana
Subject:	nonparametric misspecification tests \| serial correlation \| central bank communication

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Extent:	application/pdf
Series:	Quaderni della facoltà di Scienze economiche dell'Università di Lugano.
Type of publication:	Book / Working Paper
Notes:	24 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; E5 - Monetary Policy, Central Banking and the Supply of Money and Credit
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005030051