Panel Unit Root Tests and Spatial Dependence

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.

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Year of publication:	2006-12
Authors:	Baltagi, Badi H. ; Bresson, Georges ; Pirotte, Alain
Institutions:	Center for Policy Research, Maxwell School
Subject:	Nonstationarity \| panel data \| spatial dependence \| cross-section correlation \| unit root tests

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Extent:	application/pdf
Series:	Center for Policy Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 88 37 pages
Classification:	C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005504091