A panel CUSUM test of the null of cointegration
(2005) In Oxford Bulletin of Economics and Statistics 67(2). p.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 RTD spillovers, we present evidence suggesting that total factor productivity is heterogeneously cointegrated with foreign and domestic RTD capital stocks.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/246991
- author
- Westerlund, Joakim LU
- organization
- publishing date
- 2005
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Oxford Bulletin of Economics and Statistics
- volume
- 67
- issue
- 2
- pages
- 231 - 262
- publisher
- Wiley-Blackwell
- external identifiers
-
- wos:000227987500005
- scopus:15844389298
- ISSN
- 1468-0084
- DOI
- 10.1111/j.1468-0084.2004.00118.x
- language
- English
- LU publication?
- yes
- id
- 6c35e69f-7ba2-4b19-8def-dff088f54beb (old id 246991)
- date added to LUP
- 2016-04-01 12:08:14
- date last changed
- 2022-04-29 01:07:04
@article{6c35e69f-7ba2-4b19-8def-dff088f54beb, 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.}}, author = {{Westerlund, Joakim}}, issn = {{1468-0084}}, language = {{eng}}, number = {{2}}, pages = {{231--262}}, publisher = {{Wiley-Blackwell}}, series = {{Oxford Bulletin of Economics and Statistics}}, title = {{A panel CUSUM test of the null of cointegration}}, url = {{http://dx.doi.org/10.1111/j.1468-0084.2004.00118.x}}, doi = {{10.1111/j.1468-0084.2004.00118.x}}, volume = {{67}}, year = {{2005}}, }