A panel CUSUM test of the null of cointegration
Författare
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.
Avdelning/ar
Publiceringsår
2005
Språk
Engelska
Sidor
231-262
Publikation/Tidskrift/Serie
Oxford Bulletin of Economics and Statistics
Volym
67
Issue
2
Länkar
Dokumenttyp
Artikel i tidskrift
Förlag
Wiley-Blackwell
Ämne
- Economics
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1468-0084