Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
type="main" xml:id="obes12072-abs-0001"> <title type="main">Abstract</title> <p>This paper proposes a test for the null that, in a cointegrated panel, the long-run correlation between the regressors and the error term is different from zero. As is well known, in such case the OLS estimator is T-consistent, whereas it is <math xmlns="http://www.w3.org/1998/Math/MathML" xmlns:wiley="http://www.wiley.com/namespaces/wiley/wiley" altimg="urn:x-wiley:03059049:media:obes12072:obes12072-math-0001" wiley:location="equation/obes12072-math-0001.png"><mrow><msqrt><mi>N</mi>< /msqrt><mi>T</mi></mrow></math>-consistent when there is no endogeneity. Other estimators can be employed, such as the FM-OLS, that are <math xmlns="http://www.w3.org/1998/Math/MathML" xmlns:wiley="http://www.wiley.com/namespaces/wiley/wiley" altimg="urn:x-wiley:03059049:media:obes12072:obes12072-math-0002" wiley:location="equation/obes12072-math-0002.png"><mrow><msqrt><mi>N</mi>< /msqrt><mi>T</mi></mrow></math>-consistent irrespective of whether exogeneity is present or not. Using the difference between the former and the latter estimator, we construct a test statistic which diverges at a rate <math xmlns="http://www.w3.org/1998/Math/MathML" xmlns:wiley="http://www.wiley.com/namespaces/wiley/wiley" altimg="urn:x-wiley:03059049:media:obes12072:obes12072-math-0003" wiley:location="equation/obes12072-math-0003.png"><msqrt><mi>N</mi></msqrt ></math> under the null of endogeneity, whilst it is bounded under the alternative of exogeneity, and employ a randomization approach to carry out the test. Monte Carlo evidence shows that the test has the correct size and good power.