DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
基于Xiao和Phillips的修正残差和累积和检验，提出检测长期协整关系中函数形式误设定的方法，模拟显示前两种检验效果良好，而Dickey-Fuller检验在误设定下表现不佳。
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.