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Modelling And Testing For Structural Changes In Panel Cointegration Models With Common And Idiosyncratic Stochastic Trend, Chihwa Kao, Lorenzo Trapani, Giovanni Urga
Modelling And Testing For Structural Changes In Panel Cointegration Models With Common And Idiosyncratic Stochastic Trend, Chihwa Kao, Lorenzo Trapani, Giovanni Urga
Center for Policy Research
In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative hypothesis of (at least) one common change point, which is possibly unknown. The limiting distributions of the proposed test statistics are derived. Monte Carlo simulations examine size and power of the proposed tests. We are grateful for discussions with Robert De Jong, Long-Fei Lee, Zongwu Cai, and Yupin Hu. We would also like to thank participants in …
International R&D Spillovers: An Application Of Estimation And Inference In Panel Cointegration, Chihwa Kao, Min-Hsien Chiang, Bangtian Chen
International R&D Spillovers: An Application Of Estimation And Inference In Panel Cointegration, Chihwa Kao, Min-Hsien Chiang, Bangtian Chen
Center for Policy Research
In this paper, we apply the asymptotic theory of panel cointegration developed by Kao and Chiang (1997) to Coe and Helpman's (1995) international R&D spillovers regression. The OLS with bias-correction, the fully-modified (FM) and the dynamic OLS (DOLS) estimations produce different predictions about the impact of foreign R&D on total factor productivity (TFP), although all the estimations support the result that domestic R&D is related to TFP.