Details about Vassilis Hajivassiliou

Access statistics for papers by Vassilis Hajivassiliou.

Last updated 2024-11-07. Update your information in the RePEc Author Service.

Short-id: pha537

Working Papers

2024

1. Simultaneously incomplete and incoherent (SII) dynamic LDV models: with an application to financing constraints and firms’ decision to innovate
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   See also Journal Article Simultaneously Incomplete and Incoherent (SII) Dynamic LDV Models: With an Application to Financing Constraints and Firms’ Decision to Innovate, Journal of Econometrics, Elsevier (2024) (2024)

2019

2. Estimation and Specification Testing of Panel Data Models with Non-Ignorable Persistent Heterogeneity, Contemporaneous and Intertemporal Simultaneity, and Observable and Unobservable Dynamics
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2019)
3. Novel Approaches to Coherency Conditions in Dynamic LDV Models: Quantifying Financing Constraints and a Firm's Decision and Ability to Innovate
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (4)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2019) View citations (2)
4. Switching Regressions with Imperfect Regime Classification Information: Theory and Applications
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2019)

2008

5. Financing Constraints and a Firm's Decision and Ability to Innovate: Establishing Direct and Reverse Effects
   Working papers, Banque de France View citations (33)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (5)
   FMG Discussion Papers, Financial Markets Group (2007) View citations (14)

2007

6. Inference and Thick Tails: Some Surprising Results
   UNIMI - Research Papers in Economics, Business, and Statistics, Universitá degli Studi di Milano

1999

7. Unemployment and Liquidity Constraints
   Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University
   Also in CEP Discussion Papers, Centre for Economic Performance, LSE (1995)
   Working Papers, Yale University (1993) View citations (1)
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1995) View citations (3)
   See also Journal Article Unemployment and liquidity constraints, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2007) View citations (17) (2007)

1997

8. Some Practical Issues in Maximum Simulated Likelihood
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (11)
9. Testing Game-Theoretic Models of Price Fixing Behaviour
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1990)
   Working Papers, Yale University (1993) View citations (2)
10. The Method of Simulated Scores for the Estimation of LDV Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (1)
    Also in Working Papers, Yale University (1993) View citations (7)
    See also Journal Article The Method of Simulated Scores for the Estimation of LDV Models, Econometrica, Econometric Society (1998) View citations (167) (1998)

1994

11. Advances in Random Utility Models
    MPRA Paper, University Library of Munich, Germany View citations (5)
12. Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)

1993

13. A Simulation Estimation Analysis of the External Debt Crises of Developing Countries
    Working Papers, Yale University View citations (8)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1993) View citations (5)
    See also Journal Article A Simulation Estimation Analysis of the External Debt Crises of Developing Countries, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1994) View citations (34) (1994)
14. An Empirical Investigation on the Dynamics of Qualitative Decisions of Firms
    Working Papers, Yale University View citations (1)
15. Classical Estimation Methods for LDV Models Using Simulation
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley View citations (5)
    Also in Econometrics, University Library of Munich, Germany (1993) View citations (4)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1993) View citations (4)
    Economics Working Papers, University of California at Berkeley (1993) View citations (4)
    See also Chapter Classical estimation methods for LDV models using simulation, Handbook of Econometrics, Elsevier (1986) View citations (73) (1986)
16. Duality, Consumption Decisions Under Uncertainty, and Liquidity Constraints: A Note
    Working Papers, Yale University View citations (1)
17. Handbook of Econometrics: Classical Estimation Methods for LDV Models Using Simulation
    Working Papers, Yale University View citations (6)
18. Macroeconomic Shocks in an Aggregative Disequilibrium Model
    Working Papers, Yale University
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1993)
19. Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
    Also in Working Papers, Yale University (1993) View citations (6)
20. Simulation of Multivariate Normal Rectangle Probabilities and their Derivatives: Theoretical and Computational Results
    Working Papers, Yale University View citations (6)
    See also Journal Article Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results, Journal of Econometrics, Elsevier (1996) View citations (254) (1996)

1992

21. A Note on the Dual Approach to the Existence and Characterization of Optimal Consumption Decisions Under Uncertainty and Liquidity Constraints
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

1991

22. Simulation Estimation Methods for Limited Dependent Variable Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (22)

1990

23. Health, Children, and Elderly Living Arrangements: A Multiperiod-Multinomial Probit Model with Unobserved Heterogeneity and Autocorrelated Errors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
    See also Chapter Health, Children, and Elderly Living Arrangements: A Multiperiod-Multinomial Probit Model with Unobserved Heterogeneity and Autocorrelated Errors, NBER Chapters, National Bureau of Economic Research, Inc (1992) View citations (34) (1992)
24. Smooth Unbiased Multivariate Probability Simulators for Maximum Likelihood Estimation of Limited Dependent Variable Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (13)
    See also Journal Article Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models, Journal of Econometrics, Elsevier (1993) View citations (292) (1993)
25. The Method of Simulated Scores for the Estimation of LDV Models with an Application to External Debt Crisis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (47)

1989

26. Do the Secondary Markets Believe in Life After Debt?
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (35)
    Also in Policy Research Working Paper Series, The World Bank (1989) View citations (39)

1987

27. An Aggregative Disequilibrium Model of the U.S. Labour Market
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
28. Bimodal t-Ratios
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)

1986

29. Temporal Dependence in Limited Dependent Variable Models: Theoretical and Monte-Carlo Results
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
30. Two Misspecification Tests for the Simple Switching Regressions Disequilibrium Model
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
    See also Journal Article Two misspecification tests for the simple switching regressions disequilibrium model, Economics Letters, Elsevier (1986) View citations (2) (1986)

Journal Articles

2024

1. Simultaneously Incomplete and Incoherent (SII) Dynamic LDV Models: With an Application to Financing Constraints and Firms’ Decision to Innovate
   Journal of Econometrics, 2024, 238, (1)
   See also Working Paper Simultaneously incomplete and incoherent (SII) dynamic LDV models: with an application to financing constraints and firms’ decision to innovate, LSE Research Online Documents on Economics (2024) (2024)

2010

2. Bimodal t-ratios: the impact of thick tails on inference
   Econometrics Journal, 2010, 13, (2), 271-289 View citations (9)

2007

3. Unemployment and liquidity constraints
   Journal of Applied Econometrics, 2007, 22, (3), 479-510 View citations (17)
   See also Working Paper Unemployment and Liquidity Constraints, Discussion Papers Series, Department of Economics, Tufts University (1999) (1999)

1998

4. The Method of Simulated Scores for the Estimation of LDV Models
   Econometrica, 1998, 66, (4), 863-896 View citations (167)
   See also Working Paper The Method of Simulated Scores for the Estimation of LDV Models, STICERD - Econometrics Paper Series (1997) View citations (1) (1997)

1996

5. Duality and liquidity constraints under uncertainty
   Journal of Economic Dynamics and Control, 1996, 20, (6-7), 1177-1192 View citations (2)
6. Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results
   Journal of Econometrics, 1996, 72, (1-2), 85-134 View citations (254)
   See also Working Paper Simulation of Multivariate Normal Rectangle Probabilities and their Derivatives: Theoretical and Computational Results, Working Papers (1993) View citations (6) (1993)

1994

7. A Simulation Estimation Analysis of the External Debt Crises of Developing Countries
   Journal of Applied Econometrics, 1994, 9, (2), 109-31 View citations (34)
   See also Working Paper A Simulation Estimation Analysis of the External Debt Crises of Developing Countries, Working Papers (1993) View citations (8) (1993)

1993

8. Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
   Journal of Econometrics, 1993, 58, (3), 347-368 View citations (292)
   See also Working Paper Smooth Unbiased Multivariate Probability Simulators for Maximum Likelihood Estimation of Limited Dependent Variable Models, Cowles Foundation Discussion Papers (1990) View citations (13) (1990)

1988

9. Statistical Foundations of Econometric Modelling Aris Spanos, Cambridge University Press, 1986
   Econometric Theory, 1988, 4, (2), 341-348

1987

10. The external debt repayments problems of LDC's: An econometric model based on panel data
    Journal of Econometrics, 1987, 36, (1-2), 205-230 View citations (31)

1986

11. Two misspecification tests for the simple switching regressions disequilibrium model
    Economics Letters, 1986, 22, (4), 343-348 View citations (2)
    See also Working Paper Two Misspecification Tests for the Simple Switching Regressions Disequilibrium Model, Cowles Foundation Discussion Papers (1986) View citations (3) (1986)

Chapters

1992

1. Health, Children, and Elderly Living Arrangements: A Multiperiod-Multinomial Probit Model with Unobserved Heterogeneity and Autocorrelated Errors
   A chapter in Topics in the Economics of Aging, 1992, pp 79-108 View citations (34)
   See also Working Paper Health, Children, and Elderly Living Arrangements: A Multiperiod-Multinomial Probit Model with Unobserved Heterogeneity and Autocorrelated Errors, National Bureau of Economic Research, Inc (1990) View citations (24) (1990)

1986

2. Classical estimation methods for LDV models using simulation
   Chapter 40 in Handbook of Econometrics, 1986, vol. 4, pp 2383-2441 View citations (73)
   See also Working Paper Classical Estimation Methods for LDV Models Using Simulation, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1993) View citations (5) (1993)