A Panel CUSUM Test of the Null of Cointegration

Joakim Westerlund

No 2003:15, Working Papers from Lund University, Department of Economics

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.

Keywords: Panel Cointegration; Residual Based Cointegration Test; Monte Carlo Simulation; International R&D Spillovers (search for similar items in EconPapers)
JEL-codes: C12 C32 C33 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2003-11-10
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Published in Oxford Bulletin of Economics and Statistics, 2005, pages 231-262.

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Journal Article: A Panel CUSUM Test of the Null of Cointegration (2005)
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