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dc.contributor.authorKasparis, Ioannisen
dc.creatorKasparis, Ioannisen
dc.date.accessioned2019-05-03T05:22:21Z
dc.date.available2019-05-03T05:22:21Z
dc.date.issued2008
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/47471
dc.description.abstractA 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.isoengen
dc.sourceEconometric Theoryen
dc.titleDetection of functional form misspecification in cointegrating relationsen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doi10.1017/S0266466608080547
dc.description.volume24
dc.description.startingpage1373
dc.description.endingpage1403
dc.author.facultyΣχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management
dc.author.departmentΤμήμα Οικονομικών / Department of Economics
dc.type.uhtypeArticleen
dc.contributor.orcidKasparis, Ioannis [0000-0002-9792-4183]
dc.description.totalnumpages1373-1403
dc.gnosis.orcid0000-0002-9792-4183


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