Panel unit root tests and spatial dependence

被引：89

作者：

Baltagi, Badi H.

Bresson, Georges

Pirotte, Alain

机构：

[1] Syracuse Univ, Ctr Policy Res, Dept Econ, Syracuse, NY 13244 USA

[2] Univ Paris 02, Ermes, CNRS, F-75231 Paris 05, France

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2007年 / 22卷 / 02期

关键词：

D O I：

10.1002/jae.950

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. Copyright (c) 2007 John Wiley & Sons, Ltd.

引用

页码：339 / 360

页数：22

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