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The sensitivity of nonparametric misspecification tests to disturbance autocorrelation

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  • Andrea Vaona

    (Istituto Ricerche Economiche, Faculty of Economic Sciences, University of Lugano, Switzerland.)

Abstract

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.

Suggested Citation

  • Andrea Vaona, 2008. "The sensitivity of nonparametric misspecification tests to disturbance autocorrelation," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0803, USI Università della Svizzera italiana.
    • Handle: RePEc:lug:wpaper:0803
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    nonparametric misspecification tests; serial correlation; central bank communication.;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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