Panel unit root tests and spatial dependence

Badi H. Baltagi, Georges Bresson, Alain Pirotte

Research output: Contribution to journalArticle

88 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)339-360
Number of pages22
JournalJournal of Applied Econometrics
Volume22
Issue number2
DOIs
StatePublished - Mar 2007

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Panel unit root tests and spatial dependence'. Together they form a unique fingerprint.

  • Cite this