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The sensitivity of nonparametric misspecification tests to disturbance autocorrelation

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Author Info
Andrea Vaona () (Istituto Ricerche Economiche, Faculty of Economic Sciences, University of Lugano, Switzerland.)

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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.

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Publisher Info
Paper provided by Biblioteca universitaria di Lugano (University Library of Lugano) in its series Quaderni della facoltà di Scienze economiche dell'Università di Lugano with number 0803.

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Length: 24 pages
Date of creation: 11 Apr 2008
Date of revision:
Handle: RePEc:lug:wpaper:0803

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Related research
Keywords: nonparametric misspecification tests; serial correlation; central bank communication.;

Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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  1. Lawrence Dacuycuy, 2006. "On the finite sampling properties of the Zheng test for omitted and irrelevant variable problems," Applied Economics Letters, Taylor and Francis Journals, vol. 13(11), pages 681-684, September. [Downloadable!] (restricted)
  2. E. Guerre & Pascal Lavergne, 2000. "Minimax Rates for Nonparametric Specification Testing in Regression Models," Econometric Society World Congress 2000 Contributed Papers 0644, Econometric Society. [Downloadable!]
  3. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November. [Downloadable!] (restricted)
    Other versions:
  4. Hsiao, Cheng & Li, Qi & Racine, Jeffrey S., 2007. "A consistent model specification test with mixed discrete and continuous data," Journal of Econometrics, Elsevier, vol. 140(2), pages 802-826, October. [Downloadable!] (restricted)
    Other versions:
  5. Siu Fai Leung & Shihti Yu, 2001. "The sensitivity of the RESET tests to disturbance autocorrelation in regression analysis," Empirical Economics, Springer, vol. 26(4), pages 721-726. [Downloadable!] (restricted)
  6. Guay, Alain & Guerre, Emmanuel, 2006. "A Data-Driven Nonparametric Specification Test For Dynamic Regression Models," Econometric Theory, Cambridge University Press, vol. 22(04), pages 543-586, August. [Downloadable!]
  7. Glenn Ellison & Sara Fisher Ellison, 1998. "A Simple Framework for Nonparametric Specification Testing," NBER Technical Working Papers 0234, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Guerre, Emmanuel & Lavergne, Pascal, 2002. "Optimal Minimax Rates For Nonparametric Specification Testing In Regression Models," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1139-1171, October. [Downloadable!]
  9. Miles, Daniel & Mora, Juan, 2003. "On the performance of nonparametric specification tests in regression models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 477-490, March. [Downloadable!] (restricted)
    Other versions:
  10. Rosa, Carlo & Verga, Giovanni, 2007. "On the consistency and effectiveness of central bank communication: Evidence from the ECB," European Journal of Political Economy, Elsevier, vol. 23(1), pages 146-175, March. [Downloadable!] (restricted)
  11. Emmanuel Guerre & Pascal Lavergne, 2004. "Data-Driven Rate-Optimal Specification Testing In Regression Models," Econometrics 0411008, EconWPA. [Downloadable!]
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