The sensitivity of nonparametric misspecification tests to disturbance autocorrelation

Andrea Vaona

Quaderni della facoltà di Scienze economiche dell'Università di Lugano from USI Università della Svizzera italiana

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.

Keywords: nonparametric misspecification tests; serial correlation; central bank communication. (search for similar items in EconPapers)
JEL-codes: C14 C15 E5 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2008-04-11
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://doc.rero.ch/lm.php?url=1000,42,6,20080414122757-FO/wp0803.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lug:wpaper:0803

Access Statistics for this paper

More papers in Quaderni della facoltà di Scienze economiche dell'Università di Lugano from USI Università della Svizzera italiana
Bibliographic data for series maintained by Alessio Tutino ().