A panel CUSUM test of the null of cointegration
Author
Summary, in English
This paper proposes a simple residual-based panel CUSUM test of the null hypothesis of cointegration. The test has a limiting normal distribution that is free of nuisance parameters, it is robust to heteroskedasticity and it allows for mixtures of cointegrated and spurious alternatives. Our Monte Carlo results suggest that the test has small-size distortions and reasonable power. In our empirical application to international RTD spillovers, we present evidence suggesting that total factor productivity is heterogeneously cointegrated with foreign and domestic RTD capital stocks.
Department/s
Publishing year
2005
Language
English
Pages
231-262
Publication/Series
Oxford Bulletin of Economics and Statistics
Volume
67
Issue
2
Links
Document type
Journal article
Publisher
Wiley-Blackwell
Topic
- Economics
Status
Published
ISBN/ISSN/Other
- ISSN: 1468-0084