Panel Unit Root Tests and Spatial Dependence
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.
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Bibliographic InfoPaper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 88.
Length: 37 pages
Date of creation: Dec 2006
Date of revision:
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More information through EDIRC
Nonstationarity; panel data; spatial dependence; cross-section correlation; unit root tests;
Other versions of this item:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-11 (All new papers)
- NEP-ECM-2007-06-11 (Econometrics)
- NEP-ETS-2007-06-11 (Econometric Time Series)
- NEP-GEO-2007-06-11 (Economic Geography)
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