Panel Unit Root Tests and Spatial Dependence

Author(s)/Creator(s)

Badi H. Baltagi, Syracuse UniversityFollow
Georges Bresson, Université Panthéon-Assas Paris IIFollow
Alain Pirotte, Université Panthéon-Assas Paris II

Description/Abstract

This 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.

Document Type

Working Paper

Date

2006

Keywords

Nonstationarity, panel data, spatial dependence, cross-section correlation, unit root tests

Language

English

Series

Working Papers Series

Disciplines

Econometrics

Additional Information

Harvest from RePEc at http://repec.org

Recommended Citation

Baltagi, Badi H.; Bresson, Georges; and Pirotte, Alain, "Panel Unit Root Tests and Spatial Dependence" (2006). Center for Policy Research. 78.
https://surface.syr.edu/cpr/78

Source

Metadata from RePEc

Creative Commons License

This work is licensed under a Creative Commons Attribution 3.0 License.