Abstract This paper considers the problem of prediction in a panel data regression model with spatial autocorrelation in the context of a simple demand equation for liquor. This is based on a panel of 43 states over the period 1965–1994. The spatial autocorrelation due to neighbouring states...

This paper checks the sensitivity of two adaptive heteroskedastic estimators suggested by Li and Stengos (1994) and Roy (2002) for an error component regression model to misspecification of the form of heteroskedasticity. In particular, we run Monte Carlo experiments using the heteroskedasticity...

This paper uses 336 state tax changes across the U.S. spanning 42 years (1956–1997) to provide an updated look at the quasi-experimental price elasticities of cigarette demand. It also studies the sensitivity of these elasticity estimates to changes in the cigarette market over time as well as...

This paper considers testing for cross-sectional dependence in a panel factor model. Based on the model considered by Bai (Econometrica 71: 135–171, <CitationRef CitationID="CR3">2003</CitationRef>), we investigate the use of a simple <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$F$$</EquationSource> </InlineEquation> test for testing for cross-sectional dependence when the factor may be known or unknown. The...</equationsource></inlineequation></citationref>