<b> </b> This paper proposes a test for the null of sphericity in a fixed effects panel data model. It uses the Random Matrix Theory based approach of Ledoit and Wolf to test for the null of sphericity of the error terms in a fixed effects panel model with a large number of cross‐sectional...

This paper considers the estimation of a linear regression involving the spatial autoregressive (SAR) error term, which is nearly nonstationary. The asymptotics properties of the ordinary least squares (OLS), true generalized least squares (GLS) and feasible generalized least squares (FGLS)...

This paper derives the Best Linear Unbiased Predictor (BLUP) for a spatial nested error components panel data model. This predictor is useful for panel data applications that exhibit spatial dependence and a nested (hierarchical) structure. The predictor allows for unbalancedness in the number...

This paper reconsiders the Tobin q investment model studied by Hsiao et al. (1999) using a panel of 337 U.S. firms over the period 1982–1998. It contrasts the out-of-sample forecasts performance of hierarchical Bayes, shrinkage, as well as heterogeneous and homogeneous panel data estimators....

This article applies recent advances in productivity and efficiency measurement to the evaluation of skillbiased technical change. Using the general index approach we are able to establish an explicit and unconstrained time path for nonneutral technical change between production and...

In 1994, Blanchflower and Oswald reported that they have found an ‘empirical law of economics’ – the Wage Curve. According to their empirical results, the elasticity of wages with respect to regional unemployment is -0.1. This holds especially for the Anglo-Saxon countries. Our paper...