Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
Asymptotic distributions and critical values are computed for several residual‐based tests of the null of no cointegration in panels for the case of multiple regressors, including regressions with individual‐specific fixed effects and time trends. The associated cointegrating vectors and the dynamics of the underlying error processes are permitted considerable heterogeneity across individual members of the panel.