dc.contributor.author | Kasparis, Ioannis | en |
dc.creator | Kasparis, Ioannis | en |
dc.date.accessioned | 2019-05-03T05:22:21Z | |
dc.date.available | 2019-05-03T05:22:21Z | |
dc.date.issued | 2008 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/47471 | |
dc.description.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, 43-61) are considered as means of testing for functional form in long-run cointegrating relations. It is shown that both tests are consistent under functional form misspecification and lack of cointegration. A simulation experiment is carried out to assess the properties of the tests in finite samples. The Dickey-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. © 2008 Cambridge University Press. | en |
dc.language.iso | eng | en |
dc.source | Econometric Theory | en |
dc.title | Detection of functional form misspecification in cointegrating relations | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1017/S0266466608080547 | |
dc.description.volume | 24 | |
dc.description.startingpage | 1373 | |
dc.description.endingpage | 1403 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Οικονομικών / Department of Economics | |
dc.type.uhtype | Article | en |
dc.contributor.orcid | Kasparis, Ioannis [0000-0002-9792-4183] | |
dc.description.totalnumpages | 1373-1403 | |
dc.gnosis.orcid | 0000-0002-9792-4183 | |