Scandinavian Working Papers in Economics

Working Papers,
Lund University, Department of Economics

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

Joakim Westerlund ()
Additional contact information
Joakim Westerlund: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden

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

JEL-codes: C12; C32; C33

11 pages, November 10, 2003

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