Abstract:

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 cointegration tests for cross-section data that happen to be spatially nonstationary. [...]

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