A panel CUSUM test of the null of cointegration

Research output: Contribution to journalArticle

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 RTD spillovers, we present evidence suggesting that total factor productivity is heterogeneously cointegrated with foreign and domestic RTD capital stocks.

Details

Authors
Organisations
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics
Original languageEnglish
Pages (from-to)231-262
JournalOxford Bulletin of Economics and Statistics
Volume67
Issue number2
Publication statusPublished - 2005
Publication categoryResearch
Peer-reviewedYes