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A Panel CUSUM Test of the Null of Cointegration

Joakim Westerlund

Oxford Bulletin of Economics and Statistics, 2005, vol. 67, issue 2, 231-262

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.

Date: 2005
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Citations: View citations in EconPapers (23)

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https://doi.org/10.1111/j.1468-0084.2004.00118.x

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Working Paper: A Panel CUSUM Test of the Null of Cointegration (2003)
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Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

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