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Spurious Spatial Regression: Some Monte Carlo Results with a Spatial Unit Root and Spatial Cointegration
Author(s) -
Fingleton Bernard
Publication year - 1999
Publication title -
journal of regional science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.171
H-Index - 79
eISSN - 1467-9787
pISSN - 0022-4146
DOI - 10.1111/1467-9787.00121
Subject(s) - spurious relationship , cointegration , monte carlo method , unit root , econometrics , regression , statistics , regression analysis , mathematics
In this paper I introduce the concepts of spatial unit roots and spatial cointegration, and via Monte‐Carlo simulation I illustrate their implications for spatial regression. It is shown that spatial unit roots lead to spurious (spatial) regression, as in the well‐known case involving time‐series. Spatial cointegration is similar to its time‐series counterpart, although I demonstrate that OLS estimation of spatial error‐correction models is not consistent.