Several empirical studies have dealt with the demand for cigarettes; for a comprehensive review of these studies, see Cameron (1998). Among their
common findings are: first, a statistically significant inelastic price response, which is mucl1 greater in the long-run. Second, the effect of health scares on cigarette consumption have been found to be negative and third, the corresponding effect of advertising was found to be of either sign and generally. inconclusive. Recently, however, questions have been raised about the consistency of the above results as most of previous studies using time-series data paid little or no attention on time-series properties of data used (Cameron, 199R). Empirical results referring to price and income elasticities. and/or the effects of health scares and advertising are highly questionable whenever based on spmious regressions.