Panel unit root tests and spatial dependence

Georges Bresson, Badi Baltagi and Alain Pirotte
Additional contact information
Alain Pirotte: Ermes (CNRS), Université Paris II, France, Postal: Ermes (CNRS), Université Paris II, France

Journal of Applied Econometrics, 2007, vol. 22, issue 2, 339-360

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. Copyright © 2007 John Wiley & Sons, Ltd.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (125)

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.950 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2007-v22.2/ Supporting data files and programs (text/html)

Related works:
Working Paper: Panel Unit Root Tests and Spatial Dependence (2006)
Working Paper: Panel Unit Root Tests and Spatial Dependence (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:22:y:2007:i:2:p:339-360

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

DOI: 10.1002/jae.950

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().