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.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 24 (2008) Issue (Month): 05 (October) Pages: 1373-1403 Download reference. The following formats are available: HTML
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