A Panel CUSUM Test of the Null of Cointegration
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.
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|Date of creation:||10 Nov 2003|
|Date of revision:|
|Publication status:||Published in Oxford Bulletin of Economics and Statistics, 2005, pages 231-262.|
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