Download the International \(R \& D\) spillovers panel data set used by Kao, Chiang and Chen (1999) along with the GAUSS subroutines from https://sites.google.com/site/chihwakao/programs.

Using this data set, replicate the following results:

(a) Perform the panel unit root tests on total factor productivity, domestic R\&D, and foreign R\&D capital stocks. Show that the null hypothesis of panel unit roots is not rejected for all three variables.

(b) Perform the Kao (1999) and Pedroni (2000) panel cointegration tests on the regression relating total factor productivity to domestic and foreign \(R \& D\) stocks. Show that the null hypothesis of no cointegration is rejected.

(c) Estimate the cointegrating relationship using FMOLS of Phillips and Moon (1999) and Pedroni (2000) and DOLS of Kao and Chiang (2000). This replicates Tables 4 and 5, columns (i) of Kao, Chiang and Chen (1999).