The sensitivity of nonparametric misspecification tests to disturbance autocorrelation
AbstractWe 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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Bibliographic InfoPaper provided by USI Università della Svizzera italiana in its series Quaderni della facoltà di Scienze economiche dell'Università di Lugano with number 0803.
Length: 24 pages
Date of creation: 11 Apr 2008
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nonparametric misspecification tests; serial correlation; central bank communication.;
Find related papers by 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-24 (All new papers)
- NEP-ECM-2008-05-24 (Econometrics)
- NEP-ETS-2008-05-24 (Econometric Time Series)
- NEP-MAC-2008-05-24 (Macroeconomics)
- NEP-ORE-2008-05-24 (Operations Research)
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