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Panel unit root tests and spatial dependence

โœ Scribed by Badi H. Baltagi; Georges Bresson; Alain Pirotte

Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
398 KB
Volume
22
Category
Article
ISSN
0883-7252

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โœฆ Synopsis

Abstract

This paper studies the performance of panel unit root tests when spatial effects are present that account for crossโ€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 1985โ€“1998. Copyright ยฉ 2007 John Wiley & Sons, Ltd.

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