International R&D Spillovers: An Application of Estimation and Inference in Panel Cointegration

Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors

“…Kao (1999) further studied the special case in which cointegrating vectors are assumed to be homogeneous, but the asymptotic equivalency result is violated because of the endogeneity of regressors. An example of the application of these techniques for a test of the null of no cointegration in panels that are assumed to be homogeneous is the paper by Kao, Chiang and Chen (1999). By contrast, McCoskey and Kao (1999) examine the reversed null hypothesis of cointegration in their study of urbanization.…”

Modeling and Forecasting of International Tourism Demand in ASEAN Countries

“…This test allows us to accommodate individual specific fixed effects and definite trends and estimate coefficients for each series (Pedroni, 2004). In addition we use Kao residual cointegration test (Kao et al, 1999) to test the cointegration relationship in series. …”

“…***, ** and *rejects the null of no co-integration at the 1, 5 and 10% level, respectively. For the formulas used in the panel co-integration test statistics, it is described in details in Pedroni (1999; and Kao et al (1999). * Indicates that statistics are significant at the 10% level of significance.…”

The monetary approach to exchange rates in the CEECs1

“…Finally, we test whether the estimated relationships are ‘true’ cointegrating vectors, in the sense that the residuals from the relationships are stationary. Following the approach of Engle and Granger, Kao (1999) and Kao et al (1999) proposed several tests based on a homogenous panel version of the residual Dickey–Fuller test. Their first tests are based on a Dickey–Fuller‐type equation for residuals estimated in the above specifications…”