Bresson, Georges; Baltagi, Badi H.; Pirotte, Alain - In: Journal of Applied Econometrics 22 (2007) 2, pp. 339-360
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...