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A panel CUSUM test of the null of cointegration

Westerlund, Joakim LU (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.
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author
organization
publishing date
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
2007-08-06 11:56:53
date last changed
2017-08-27 04:05:52
@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},
  volume       = {67},
  year         = {2005},
}