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A panel CUSUM test of the null of cointegration

Westerlund, Joakim 2005, A panel CUSUM test of the null of cointegration, Oxford bulletin of economics and statistics, vol. 67, no. 2, pp. 231-262, doi: 10.1111/j.1468-0084.2004.00118.x.

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Title A panel CUSUM test of the null of cointegration
Author(s) Westerlund, Joakim
Journal name Oxford bulletin of economics and statistics
Volume number 67
Issue number 2
Start page 231
End page 262
Total pages 32
Publisher Wiley
Place of publication Chichester, Eng.
Publication date 2005-04
ISSN 1468-0084
Keyword(s) Social Sciences
Science & Technology
Physical Sciences
Economics
Social Sciences, Mathematical Methods
Statistics & Probability
Business & Economics
Mathematical Methods In Social Sciences
Mathematics
CONSISTENT COVARIANCE-MATRIX
RESIDUAL-BASED TEST
UNIT-ROOT TESTS
DEVELOPMENT SPILLOVERS
STATISTICAL-INFERENCE
TIME-SERIES
HETEROSKEDASTICITY
REGRESSIONS
HYPOTHESIS
STATIONARITY
C12
C32
C33
Panel Cointegration
Residual Based Cointegration Test
Monte Carlo Simulation
International R&D Spillovers
Summary 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. © Blackwell Publishing Ltd, 2005.
Language eng
DOI 10.1111/j.1468-0084.2004.00118.x
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2005, Wiley
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078238

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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