Testing for Unit Roots and Cointegration in Spatial Cross-Section Data

Michael Beenstock, Dan Feldman, Daniel Felsenstein
2012 Spatial Economic Analysis  
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 lattices where edge-effects are shown to influence spatial impulses. Monte Carlo simulation methods are used to compute critical values for spatial unit root tests in SAR models estimated from spatial cross-section data. We also compute critical SAC values for spatial
more » ... gration tests for cross-section data that happen to be spatially nonstationary. Thanks to Dan Feldman who carried out the simulations.
doi:10.1080/17421772.2012.669491 fatcat:u7g6oodn5rhefkevtvxrcrd5n4