A Panel CUSUM Test of the Null of Cointegration*
提出一个基于残差的面板CUSUM检验，用于检验协整原假设，该检验稳健异方差且允许混合协整与伪回归，蒙特卡洛显示其尺寸扭曲小且功效合理，应用于国际研发溢出发现全要素生产率与国内外研发资本存量异质协整。
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.