DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS

Ioannis Kasparis

Econometric Theory, 2008, vol. 24, issue 05, pages 1373-1403

Abstract: A simple specification test based on fully modified residuals and the cumulative sum (CUSUM) test for cointegration of Xiao and Phillips (2002, Journal of Econometrics, 108, 43 Fuller test is also considered. The simulation results reveal that the first two tests perform reasonably well. However, the Dickey Fuller test performs poorly under functional form misspecification.

Date: 2008
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466608080547 link to article abstract page (text/html)

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: http://EconPapers.repec.org/RePEc:cup:etheor:v:24:y:2008:i:05:p:1373-1403_08

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().