Download PDF - Ivie

Table 4
Total Factor Productivity as an endogenous variable
Country
Import
Interaction
Term
Foreign
Stock of
Knowledge
f CH
P ,
t
Domestic
Stock of
Knowledge
f LP
P ,
t
Human
Capital
Cointegration
Test statistics
m
it
H
Model I: Foreign Stock of Knowledge (CH weighting procedure)
France NO -0.13 0.46 2.14
(-1.45) (10.41) (35.1) 0.106 -
Germany NO 0.28 0.40 1.26
(9.03) (8.76) (37.0) 0.075 -
Japan - - - - - -
United
NO 0.07 0.22 0.66
Kingdom
(0.75) (2.52) (3.78) 0.086 -
United States NO -0.11 0.85 4.44
(-3.77) (5.49) (19.6) 0.068 -
Model II: Foreign Stock of Knowledge (CH weighting procedure)
France YES 0.02 0.53 1.90
(0.61) (19.2) (7.73) 0.074 -
Germany YES 0.08 0.36 0.90
(6.49) (3.70) (13.7) 0.070 -
Japan YES 0.35 1.79 2.74
(6.81) (20.1) (6.17) - 0.101 **
United
YES 0.20 -0.64 0.05
Kingdom
(3.41) (-2.78) (0.17) 0.078 -
United States YES -0.36 0.73 11.28
(-14.8) (17.3) (27.5) 0.095 -
Notes:
a t-statistics in brackets. Standard Errors are adjusted for long-run variance. The long-run variance of the
cointegrating regression residual is estimated using the Barlett window which is approximately equal to
INT(T 1/2 ), as proposed in Newey and West (1987).
b We choose q = INT(T 1/3 ), as proposed in Stock and Watson (1993).
c
C μ and C τ are LM statistic for cointegration using the DOLS residuals from the deterministic and
stochastic cointegration, respectively, as proposed in Shin (1994).
d The critical values are taken from Shin (1994), Table 1, for m = 3: a) C μ, 0.121 for the 10%, 0.159 for
the 5% and 0.271 for the 1% levels; b) C τ, 0.069 for the 10%, 0.085 for the 5% and 0.126 for the 1%
levels.
C
μ
C τ
24