spatialunitroot: Spatial Unit Root Diagnostic Tests and Transformations

Implements spatial unit root diagnostic tests and spatial differencing transformations from Muller and Watson (2024, Econometrica). Provides functions to test for spatial unit roots (I(1) vs I(0) null hypotheses), compute spatial half-life confidence intervals, and apply spatial transformations (LBM-GLS, nearest-neighbor, isotropic, cluster) to remove spatial unit roots. Integrates with the 'fixest' package for fixed-effects regression. Based on the SPUR Stata package by Becker, Boll, and Voth.

Acknowledgements

This R package is based on the SPUR Stata package by Sascha O. Becker, P. David Boll, and Hans-Joachim Voth, who in turn based their code on Matlab replication files from Mueller and Watson (2024).

Main functions

spurtest

Spatial unit root diagnostic tests

spurtransform

Spatial differencing transformations

spurhalflife

Half-life confidence intervals

References

Becker, S. O., Boll, P. D., and Voth, H.-J. (2025). "Spatial Unit Roots in Regressions: A Practitioner's Guide and a Stata Package." Stata Journal, forthcoming.

Mueller, U. K. and Watson, M. W. (2022). "Spatial Correlation Robust Inference." Econometrica, 90, 2901-2935.

Mueller, U. K. and Watson, M. W. (2024). "Spatial Unit Roots and Spurious Regression." Econometrica, 92, 1661-1695.

See also

Useful links:

• https://github.com/basm92/spatialunitroot

• Report bugs at https://github.com/basm92/spatialunitroot/issues

Author

R implementation & maintainer: Bas Machielsen bas@machielsen.org

Original Stata code: Sascha O. Becker, P. David Boll, Hans-Joachim Voth