Kasparis, Ioannis - In: Econometric Theory 24 (2008) 05, pp. 1373-1403
A simple specification test based on fully modified residuals and the cumulative sum (CUSUM) test for cointegration of Xiao and Phillips (2002, <italic>Journal of Econometrics</italic>, 108, 43–61) are considered as means of testing for functional form in long-run cointegrating relations. It is shown that both...