A Panel CUSUM Test of the Null of Cointegration
Abstract
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 R&D spillovers, we present evidence suggesting that total factor productivity is heterogeneously cointegrated with foreign and domestic R&D capital stocks.Download Info
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Bibliographic Info
Paper provided by Lund University, Department of Economics in its series Working Papers with number 2003:15.Length: 11 pages
Date of creation: 10 Nov 2003
Date of revision:
Publication status: Published in Oxford Bulletin of Economics and Statistics, 2005, pages 231-262.
Handle: RePEc:hhs:lunewp:2003_015
Contact details of provider:
Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund,Sweden
Phone: +46 +46 222 0000
Fax: +46 +46 2224613
Web page: http://www.nek.lu.se/
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Related research
Keywords: Panel Cointegration; Residual Based Cointegration Test; Monte Carlo Simulation; International R&D Spillovers;Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-11-16 (All new papers)
- NEP-ECM-2003-11-16 (Econometrics)
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