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Journal of Applied Econometrics
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Journal of Applied Econometrics
Article . 2007 . Peer-reviewed
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Research Papers in Economics
Preprint . 2006
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SSRN Electronic Journal
Article . 2006 . Peer-reviewed
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https://dx.doi.org/10.2139/ssr...
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Panel unit root tests and spatial dependence

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Preprint 01 Jan 2006 United States English Publisher:WileyJournal:Journal of Applied Econometrics, volume 22, pages 339-360 (issn: 0883-7252, eissn: 1099-1255, Copyright policy )
Authors: Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain;

doi: 10.1002/jae.950 , 10.2139/ssrn.1815340

Panel unit root tests and spatial dependence

Abstract

AbstractThis paper studies the performance of panel unit root tests when spatial effects are present that account for cross‐section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial error correlation. These tests are applied to a panel data set on net real income from the 1000 largest French communes observed over the period 1985–1998. Copyright © 2007 John Wiley & Sons, Ltd.

Country
United States
Related Organizations
Keywords

panel data, cross-section correlation, spatial dependence, Econometrics, Nonstationarity, Nonstationarity, panel data, spatial dependence, cross-section correlation, unit root tests, unit root tests, jel: jel:C23

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    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 128
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
128
Top 10%
Top 10%
Top 10%
Green
bronze