R&D spillovers, panel cointegration, dynamic quantile regression
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.
Kao, Chihwa; Chiang, Min-Hsien; and Chen, Bangtian, "International R&D Spillovers: An Application of Estimation and Inference in Panel Cointegration" (1999). Center for Policy Research. Paper 143.
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