TY - JOUR
T1 - Testing for unit roots and cointegration in spatial cross-section data
AU - Beenstock, Michael
AU - Feldman, Dan
AU - Felsenstein, Daniel
PY - 2012/6
Y1 - 2012/6
N2 - Spatial impulses are derived for SAR models containing a spatial unit root. Analytical solutions are obtained for lateral space where the number of spatial units tends to infinity. Numerical solutions are obtained for finite regular lattices where edge-effects are shown to influence spatial impulses, and for irregular lattices. Monte Carlo simulation methods are used to compute critical values for spatial unit root tests in SAR models estimated from spatial cross-section data for regular and irregular lattices. We also compute critical SAC values for spatial cointegration tests for cross-section data that happen to be spatially nonstationary. We show that parameter estimates in spatially cointegrated models are 'superconsistent'.
AB - Spatial impulses are derived for SAR models containing a spatial unit root. Analytical solutions are obtained for lateral space where the number of spatial units tends to infinity. Numerical solutions are obtained for finite regular lattices where edge-effects are shown to influence spatial impulses, and for irregular lattices. Monte Carlo simulation methods are used to compute critical values for spatial unit root tests in SAR models estimated from spatial cross-section data for regular and irregular lattices. We also compute critical SAC values for spatial cointegration tests for cross-section data that happen to be spatially nonstationary. We show that parameter estimates in spatially cointegrated models are 'superconsistent'.
KW - Spatial unit roots
KW - spatial cointegration
KW - spatial impulse responses
UR - http://www.scopus.com/inward/record.url?scp=84860322620&partnerID=8YFLogxK
U2 - 10.1080/17421772.2012.669491
DO - 10.1080/17421772.2012.669491
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AN - SCOPUS:84860322620
SN - 1742-1772
VL - 7
SP - 203
EP - 222
JO - Spatial Economic Analysis
JF - Spatial Economic Analysis
IS - 2
ER -