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Unit Roots and Deterministic Trends in Spatial Econometric Models

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  • JesúS Mur
  • F. Javier Trívez

Abstract

This article reflects on the relevance of the concept of unit roots in the spatial context. The initial introduction of this topic in the time-series literature caused significant changes in the mainstream econometric methodology. However, the literature specialized in spatial econometric modeling has not extensively dealt with this issue. The current article continues the discussion of the concept of unit roots employed in a spatial context and presents a series of peculiarities that should be noticed. Subsequently, attention focuses on the topic of deterministic trends associated with the scale factor that intervenes in autoregressive spatial processes. The incidence of this type of trend should not be neglected. It induces the risk of finding spurious correlation that should be taken into account.

Suggested Citation

  • JesúS Mur & F. Javier Trívez, 2003. "Unit Roots and Deterministic Trends in Spatial Econometric Models," International Regional Science Review, , vol. 26(3), pages 289-312, July.
    • Handle: RePEc:sae:inrsre:v:26:y:2003:i:3:p:289-312
    DOI: 10.1177/0160017603253790
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    References listed on IDEAS

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    1. Luc Anselin & Raymond J. G. M. Florax, 1995. "Small Sample Properties of Tests for Spatial Dependence in Regression Models: Some Further Results," Advances in Spatial Science, in: Luc Anselin & Raymond J. G. M. Florax (ed.), New Directions in Spatial Econometrics, chapter 2, pages 21-74, Springer.
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    5. Daniel A. Griffith, 1992. "Simplifying The Normalizing Factor In Spatial Autoregressions For Irregular Lattices," Papers in Regional Science, Wiley Blackwell, vol. 71(1), pages 71-86, January.
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    7. Harry H. Kelejian & Dennis P. Robinson, 1995. "Spatial Correlation: A Suggested Alternative to the Autoregressive Model," Advances in Spatial Science, in: Luc Anselin & Raymond J. G. M. Florax (ed.), New Directions in Spatial Econometrics, chapter 3, pages 75-95, Springer.
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    Cited by:

    1. Pino, Gabriel & Herrera, Rodrigo & Rodríguez, Alejandro, 2019. "Geographical spillovers on the relation between risk-taking and market power in the US banking sector," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 351-364.
    2. Baltagi, Badi H. & Fingleton, Bernard & Pirotte, Alain, 2014. "Spatial lag models with nested random effects: An instrumental variable procedure with an application to English house prices," Journal of Urban Economics, Elsevier, vol. 80(C), pages 76-86.
    3. repec:asg:wpaper:1013 is not listed on IDEAS
    4. Jesus Mur & Ana Angulo, 2004. "Vuong and Wald tests. Simplicity vs. Complexity," ERSA conference papers ersa04p36, European Regional Science Association.
    5. Jesus Mur & Ana Angulo, 2005. "A closer look at the Spatial Durbin Model," ERSA conference papers ersa05p392, European Regional Science Association.
    6. Kun Duan & Tapas Mishra & Mamata Parhi & Simon Wolfe, 2019. "How Effective are Policy Interventions in a Spatially-Embedded International Real Estate Market?," The Journal of Real Estate Finance and Economics, Springer, vol. 58(4), pages 596-637, May.
    7. J. Paul Elhorst, 2003. "Specification and Estimation of Spatial Panel Data Models," International Regional Science Review, , vol. 26(3), pages 244-268, July.
    8. Luc Anselin, 2010. "Thirty years of spatial econometrics," Papers in Regional Science, Wiley Blackwell, vol. 89(1), pages 3-25, March.
    9. Miguel Márquez & Julián Ramajo & Geoffrey Hewings, 2010. "A spatio-temporal econometric model of regional growth in Spain," Journal of Geographical Systems, Springer, vol. 12(2), pages 207-226, June.
    10. Tony Smith & Ka Lee, 2012. "The effects of spatial autoregressive dependencies on inference in ordinary least squares: a geometric approach," Journal of Geographical Systems, Springer, vol. 14(1), pages 91-124, January.
    11. Andrea Vaona, 2010. "Spatial autocorrelation and the sensitivity of RESET: a simulation study," Journal of Geographical Systems, Springer, vol. 12(1), pages 89-103, March.
    12. Alicja Olejnik, 2008. "Using the spatial autoregressively distributed lag model in assessing the regional convergence of per‐capita income in the EU25," Papers in Regional Science, Wiley Blackwell, vol. 87(3), pages 371-384, August.
    13. Jørgen Lauridsen & Reinhold Kosfeld, 2007. "Spatial cointegration and heteroscedasticity," Journal of Geographical Systems, Springer, vol. 9(3), pages 253-265, September.
    14. Raymond J. G. M. Florax & Arno J. Van der Vlist, 2003. "Spatial Econometric Data Analysis: Moving Beyond Traditional Models," International Regional Science Review, , vol. 26(3), pages 223-243, July.

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