Vaona, Andrea 2008 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. application/pdf https://localhost:5000/ark:/12658/srd1318110 https://susi.usi.ch/global/documents/318110 https://susi.usi.ch/documents/318110/files/wp0803.pdf eng info:eu-repo/semantics/altIdentifier/ark/12658/srd1318110 info:eu-repo/semantics/openAccess License undefined Nonparametric misspecification tests Serial correlation Central bank communication info:eu-repo/classification/udc/33 The sensitivity of nonparametric misspecification tests to disturbance autocorrelation http://purl.org/coar/resource_type/c_816b