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The sensitivity of nonparametric misspecification tests to disturbance autocorrelation

  • Vaona, Andrea Istituto di ricerche economiche (IRE), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
    2008

17 p.

Nonparametric misspecification tests
Serial correlation
Central bank communication
English 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.
Language
  • English
Classification
Economics
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  • RERO DOC 9119
  • ARK ark:/12658/srd1318110
Persistent URL
https://n2t.net/ark:/12658/srd1318110
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