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A panel CUSUM test of the null of cointegration

Författare:
Publiceringsår: 2005
Språk: Engelska
Sidor: 231-262
Publikation/Tidskrift/Serie: Oxford Bulletin of Economics and Statistics
Volym: 67
Nummer: 2
Dokumenttyp: Artikel
Förlag: Blackwell

Sammanfattning

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.

Disputation

Nyckelord

  • Business and Economics

Övriga

Published
Yes
  • ISSN: 0305-9049

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