S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
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

Download Statistics


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



Questions (including download problems) about the papers in this series should be directed to David Edgerton ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:lunewp:2003_015 This page was generated on 2014-12-14 19:24:51