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

Author

Listed:
  • Sascha O. Becker

    (Monash U, Melbourne, Australia)

  • P. David Boll

    (U Warwick,Coventry, United Kingdom)

  • Hans-Joachim Voth

    (U Zurich, Zurich, Switzerland)

Abstract

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in M ̈uller 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 M ̈uller and Watson (2024) using the same Chetty et al. (2014) data. We present a brief practitioner’s guide for applied researchers.

Suggested Citation

  • Sascha O. Becker & P. David Boll & Hans-Joachim Voth, 2025. "Spatial Unit Roots in Regressions: A Practitioner’s Guide and a Stata Package," Monash Economics Working Papers 2025-01, Monash University, Department of Economics.
    • Handle: RePEc:mos:moswps:2025-01
    as

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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. 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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    spurtest; spurtransform; spurious spatial regression; spatial unit roots;
    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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