IDEAS home Printed from https://ideas.repec.org/p/ucy/cypeua/5-2007.html
   My bibliography  Save this paper

Detection of Functional Form Misspecification in Cointegrating Relations

Author

Listed:
  • Ioannis Kasparis

Abstract

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

Suggested Citation

  • Ioannis Kasparis, 2007. "Detection of Functional Form Misspecification in Cointegrating Relations," University of Cyprus Working Papers in Economics 5-2007, University of Cyprus Department of Economics.
    • Handle: RePEc:ucy:cypeua:5-2007
    as

    Download full text from publisher

    File URL: https://papers.econ.ucy.ac.cy/RePEc/papers/07-05.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucy:cypeua:5-2007. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://www.ucy.ac.cy/econ/?lang=en .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.