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

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 abaout 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.