This paper considers methods for estimating the slope coefficients in large panel data models that are robust to the presence of various forms of error cross-section dependence. It introduces a general framework where error cross-section dependence may arise because of unobserved common effects...

This paper investigates spatio-temporal variations in ex-post credit risk in the United States, as a function of real estate prices, loan purchases made by government sponsored enterprises, and a set of local characteristics during the recent housing boom and bust.

We propose a HAC estimator for the covariance matrix of the fixed effects estimator in a panel data model with unobserved fixed effects and errors that are both serially and spatially correlated.

We study the relation between workers' skill dispersion and firm productivity using a unique dataset of Italian manufacturing firms from the early eighties to the late nineties with individual records on all their workers. Our measure of skill is the individual worker's effect obtained as a...

This study analyses, through the adoption of a seemingly unrelated regression approach, the temporal evolution of policy interactions among local authorities in England when allocating mental health resources. This new approach in health economics may shed light on the degree of interdependence...

We study the relation between workers' skill dispersion and firm productivity using a unique data set of Italian manufacturing firms with individual records on all their workers. Our measure of skill is the individual worker's effect from a wage equation. We find that a firm's productivity is...