A CUSUM Test for Cointegration Using Regression Residuals

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New Simple Tests for Panel Cointegration (2005, background): “…Box 7082, S-220 07 Lund, Sweden; Fax: +46 46 222 4118; E-mail: joakim.westerlund@nek.lu.se have their time series counterparts in Shin (1994) and Xiao and Phillips (2002), respectively.1 A common feature of all existing tests is that they require the researcher to make an explicit assumption…”
COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE (2011, methodology): “The properties of RESET as well as related tests, such as the CUSUM test (see Xiao and Phillips, 2002), have been analyzed in similar settings in a variety of papers, see, e.g., Arai (2004), Hong and Phillips (2010), and Kasparis (2008).”
Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity (2010, unknown): “Also, since ̂vu and ̂vu are Op(M) (see Xiao and Phillips 2002, lemma 1), the two bias correction terms in (7) and (8) diverge at the rate of Op(M) as well.”
Functional-coefficient cointegration models (2009, methodology): “We could consider constructing a test statistic in a similar way as Xiao and Phillips (2002) by examining the uctuation of b ut.”