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Spatial Unit Roots in Regressions: A Practitioner’s Guide and a Stata Package

Author

Listed:
  • Sascha Becker

    (Warwick University)

  • David Boll

    (Warwick University)

  • Hans-Joachim Voth

Abstract

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in M ̈uller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly replicate results in M ̈uller and Watson (2024) using the same Chetty et al. (2014) data. We present a brief practitioner’s guide for applied researchers.

Suggested Citation

  • Sascha Becker & David Boll & Hans-Joachim Voth, 2025. "Spatial Unit Roots in Regressions: A Practitioner’s Guide and a Stata Package," RFBerlin Discussion Paper Series 2502, Rockwool Foundation Berlin (RF Berlin).
    • Handle: RePEc:crm:wpaper:2502
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    References listed on IDEAS

    as
    1. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
    2. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    3. Raj Chetty & Nathaniel Hendren & Patrick Kline & Emmanuel Saez, 2014. "Where is the land of Opportunity? The Geography of Intergenerational Mobility in the United States," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(4), pages 1553-1623.
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    More about this item

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • N0 - Economic History - - General
    • P0 - Political Economy and Comparative Economic Systems - - General
    • R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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