Scandinavian Working Papers in Economics
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Department of Economics, Lund University Working Papers, Department of Economics, Lund University

No 2003:15:
A Panel CUSUM Test of the Null of Cointegration

Joakim Westerlund ()

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; (follow links to similar papers)

JEL-Codes: C12; C32; C33; (follow links to similar papers)

11 pages, November 10, 2003

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This paper is published as:
Westerlund, Joakim, (2005), 'A Panel CUSUM Test of the Null of Cointegration', Oxford Bulletin of Economics and Statistics, Vol. 67, No. 2, pages 231-262

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