Advanced Search
MyIDEAS: Login to save this paper or follow this series

Spatial autoregressive spillovers vs unobserved common factors models. A panel data analysis of international technology diffusion

Contents:

Author Info

  • Cern Ertur
  • Antonio Musolesi

Abstract

This paper provides an econometric examination of geographic R&D spillovers among countries by focusing on the issue of cross-sectional dependence. By applying several unit root tests, we show that when the number of lags of the autoregressive component of augmented Dickey Fuller test-type speci…cations or the number of common factors is estimated in a model selection framework, the variables (total factor productivity and the R&D capital stocks) appear to be stationary. Then, we estimate the model using two complementary approaches, focusing on generalised spatial autoregression and unobserved common correlated factors. These approaches account for different types of cross-sectional dependence and are related to the notions of weak and strong cross-sectional dependence recently developed in the literature.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www2.dijon.inra.fr/cesaer/workingpapers/RePEc/ceo/wpaper/wp2012_9.pdf
File Function: First version
Download Restriction: no

Bibliographic Info

Paper provided by INRA UMR CESAER, Centre d'’Economie et Sociologie appliquées à l'’Agriculture et aux Espaces Ruraux in its series INRA UMR CESAER Working Papers with number 2012/9.

as in new window
Length: 37
Date of creation: 19 Dec 2012
Date of revision:
Handle: RePEc:ceo:wpaper:41

Contact details of provider:
Postal: UMR CESAER 26 bd Docteur Petitjean 21000 Dijon France
Phone: +33380772580
Fax: +33380772571
Email:
Web page: http://www2.dijon.inra.fr/cesaer
More information through EDIRC

Related research

Keywords: Panel data; Cross-section correlation; Spatial models; Factor models; Unit root;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. M. Hashem Pesaran & Elisa Tosetti, 2007. "Large Panels with Common Factors and Spatial Correlations," CESifo Working Paper Series 2103, CESifo Group Munich.
  2. M. Hashem Pesaran, 2006. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," Econometrica, Econometric Society, vol. 74(4), pages 967-1012, 07.
  3. Lichtenberg, Frank R. & Pottelsberghe de la Potterie, Bruno v., 1998. "International R&D spillovers: A comment," European Economic Review, Elsevier, vol. 42(8), pages 1483-1491, September.
  4. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
  5. Georges Bresson & Cheng Hsiao, 2011. "A functional connectivity approach for modeling cross-sectional dependence with an application to the estimation of hedonic housing prices in Paris," AStA Advances in Statistical Analysis, Springer, vol. 95(4), pages 501-529, December.
  6. Krugman, Paul R & Venables, Anthony J, 1995. "Globalization and the Inequality of Nations," The Quarterly Journal of Economics, MIT Press, vol. 110(4), pages 857-80, November.
  7. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
  8. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
  9. ERTUR, Cem & KOCH, Wilfried, 2005. "Growth, Technological Interdependence and Spatial Externalities: Theory and Evidence," LEG - Document de travail - Economie 2005-03, LEG, Laboratoire d'Economie et de Gestion, CNRS, Université de Bourgogne.
  10. Psacharopoulos, George, 1994. "Returns to investment in education: A global update," World Development, Elsevier, vol. 22(9), pages 1325-1343, September.
  11. Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011. "Panels with non-stationary multifactor error structures," Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
  12. Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers 350, Princeton, Department of Economics - Econometric Research Program.
  13. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  14. Bruno Van Pottelsberghe De La Potterie & Frank Lichtenberg, 2001. "Does Foreign Direct Investment Transfer Technology Across Borders?," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 490-497, August.
  15. Nicolas Debarsy & Cem Ertur, 2009. "Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model," Post-Print halshs-00414133, HAL.
  16. Francesco Moscone & Elisa Tosetti, 2009. "A Review And Comparison Of Tests Of Cross-Section Independence In Panels," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 528-561, 07.
  17. Badi H. Baltagi & Georges Bresson & Alain Pirotte, 2006. "Panel Unit Root Tests and Spatial Dependence," Center for Policy Research Working Papers 88, Center for Policy Research, Maxwell School, Syracuse University.
  18. Chudik, A. & Pesaran, M.H. & Tosetti, E., 2009. "Weak and Strong Cross Section Dependence and Estimation of Large Panels," Cambridge Working Papers in Economics 0924, Faculty of Economics, University of Cambridge.
  19. Pesaran, M.H. & Smith, R., 1992. "Estimating Long-Run Relationships From Dynamic Heterogeneous Panels," Cambridge Working Papers in Economics 9215, Faculty of Economics, University of Cambridge.
  20. Mastromarco Camilla & Laura Serlenga & Yongcheol Shin, 2013. "Globalisation and technological convergence in the EU," Journal of Productivity Analysis, Springer, vol. 40(1), pages 15-29, August.
  21. Markus Eberhardt & Francis Teal, 2010. "Productivity Analysis in Global Manufacturing Production," DEGIT Conference Papers c015_019, DEGIT, Dynamics, Economic Growth, and International Trade.
  22. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
  23. Luciano Gutierrez, 2006. "Panel Unit-root Tests for Cross-sectionally Correlated Panels: A Monte Carlo Comparison," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(4), pages 519-540, 08.
  24. MOON, Hyungsik Roger & PERRON, Benoit., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 2002-18, Universite de Montreal, Departement de sciences economiques.
  25. Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November.
  26. Eberhardt, Markus & Bond, Stephen, 2009. "Cross-section dependence in nonstationary panel models: a novel estimator," MPRA Paper 17692, University Library of Munich, Germany.
  27. Markus Eberhardt & Christian Helmers & Hubert Strauss, 2013. "Do Spillovers Matter When Estimating Private Returns to R&D?," The Review of Economics and Statistics, MIT Press, vol. 95(2), pages 436-448, May.
  28. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
  29. Musolesi, Antonio, 2007. "Basic stocks of knowledge and productivity: Further evidence from the hierarchical Bayes estimator," Economics Letters, Elsevier, vol. 95(1), pages 54-59, April.
  30. repec:fth:iniesr:430 is not listed on IDEAS
  31. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
  32. Michele Cincera & Bruno Van Pottelsberghe, 2001. "International R&D spillovers: a survey," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 169(169), pages 3-31.
  33. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  34. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  35. Robert E. Hall & Charles I. Jones, 1999. "Why Do Some Countries Produce So Much More Output Per Worker Than Others?," The Quarterly Journal of Economics, MIT Press, vol. 114(1), pages 83-116, February.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ceo:wpaper:41. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Corinne DASEN).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.