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Spatial Unit Roots in Regressions: A Practitioner's Guide and a Stata Package

Author

Listed:
  • Becker, Sascha O.

    (University of Warwick)

  • Boll, P. David

    (University of Warwick)

  • Voth, Hans-Joachim

    (University of Zurich)

Abstract

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in Müller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly replicate results in Müller and Watson (2024) using the same Chetty et al. (2014) data. We present a brief practitioner’s guide for applied researchers.

Suggested Citation

  • Becker, Sascha O. & Boll, P. David & Voth, Hans-Joachim, 2025. "Spatial Unit Roots in Regressions: A Practitioner's Guide and a Stata Package," IZA Discussion Papers 17651, Institute of Labor Economics (IZA).
    • Handle: RePEc:iza:izadps:dp17651
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    References listed on IDEAS

    as
    1. Ulrich K. Müller & Mark W. Watson, 2023. "Spatial Correlation Robust Inference in Linear Regression and Panel Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1050-1064, October.
    2. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
    3. Raj Chetty & Nathaniel Hendren & Patrick Kline & Emmanuel Saez, 2014. "Where is the land of Opportunity? The Geography of Intergenerational Mobility in the United States," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(4), pages 1553-1623.
    4. Ulrich K. Müller & Mark W. Watson, 2008. "Testing Models of Low-Frequency Variability," Econometrica, Econometric Society, vol. 76(5), pages 979-1016, September.
    5. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    6. Ulrich K. Müller & Mark W. Watson, 2024. "Spatial Unit Roots and Spurious Regression," Econometrica, Econometric Society, vol. 92(5), pages 1661-1695, September.
    7. Ulrich K. Müller & Mark W. Watson, 2022. "Spatial Correlation Robust Inference," Econometrica, Econometric Society, vol. 90(6), pages 2901-2935, November.
    8. Conley, T. G., 1999. "GMM estimation with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 92(1), pages 1-45, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    spurtest; spurious spatial regression; spatial unit roots; spurtransform;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • N0 - Economic History - - General
    • P0 - Political Economy and Comparative Economic Systems - - General
    • R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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