This paper gives a brief survey of forecasting with panel data. Starting with a simple error component regression model and surveying best linear unbiased prediction under various assumptions of the disturbance term. This includes various ARMA models as well as spatial auto-regressive models....

This paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin's (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our...

This paper reconsiders the long-run economic relationship between health care expenditure and income using a panel of 20 OECD countries observed over the period 1971-2004. In particular, the paper studies the non-stationarity and cointegration properties between health care spending and income....

Blanchflower and Oswald (1994) reported that they have found an ‘empirical law of economics' – the Wage Curve. Our paper reconsiders the western German Wage Curve using disaggregated regional data and is based on almost one million employees drawn from the Federal Employment Services of...

This paper proposes a test for sphericity in a fixed effects panel data model. It uses the Random Matrix Theory based approach of Ledoit and Wolf (2002) to test for sphericity of the error terms in a fixed effects panel model with a large number of cross-sectional units and time series...

A wage curve is a decreasing function of wages on the regional unemployment rate. Most empirical studies on the wage curve ignore possible spatial interaction effects between the regions which are the primary units of research. This paper reconsiders the western German wage curve with a special...

This note considers a panel data regression model with spatial autoregressive disturbances and random effects where the weight matrix is normalized and has equal elements. This is motivated by Kelejian, et al. (2005) who argue that such a weighting matrix, having blocks of equal elements, might...

This paper examines the consequences of model misspecification using a panel data model with spatially autocorrelated disturbances. The performance of several maximum likelihood estimators assuming different specifications for this model are compared using Monte Carlo experiments. These include...

This paper updates Baltagi’s (2003, Econometric Theory 19, 165-224) rankings of academic institutions by publication activity in econometrics from 1989-1999 to 1989-2005. This ranking is based on 16 leading international journals that publish econometrics articles. It is compared with the...

This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial error...