In this article we introduce and evaluate testing procedures for specifying the number k of nearest neighbours in the weights matrix of spatial econometric models. The spatial J-test is used for specification search. Two testing procedures are suggested: an increasing neighbours testing...

In this paper we study market segmentation and information flows in China’s stock markets. By using panel data methods we test for a unit root in the price premium of domestic investors' A shares over foreign investors’ B shares as well as cointegration between the prices of the A and B...