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Details about Vassilis Hajivassiliou

E-mail:
Homepage:http://econ.lse.ac.uk/staff/vassilis/
Workplace:Economics Department, London School of Economics (LSE), (more information at EDIRC)
Financial Markets Group (FMG), London School of Economics (LSE), (more information at EDIRC)

Access statistics for papers by Vassilis Hajivassiliou.

Last updated 2019-12-24. Update your information in the RePEc Author Service.

Short-id: pha537


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Working Papers

2019

  1. 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 Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2019) Downloads
  2. 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 Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2019) Downloads View citations (2)

2008

  1. Financing Constraints and a Firm's Decision and Ability to Innovate: Establishing Direct and Reverse Effects
    Working papers, Banque de France Downloads View citations (27)
    Also in FMG Discussion Papers, Financial Markets Group (2007) Downloads View citations (12)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (4)

2007

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

1999

  1. Unemployment and Liquidity Constraints
    Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University Downloads
    Also in CEP Discussion Papers, Centre for Economic Performance, LSE (1995)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1995) Downloads View citations (3)
    Working Papers, Yale University (1993) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2007)

1997

  1. Some Practical Issues in Maximum Simulated Likelihood
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (6)
  2. 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) Downloads
    Working Papers, Yale University (1993) Downloads View citations (2)
  3. 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) Downloads View citations (4)

    See also Journal Article in Econometrica (1998)

1994

  1. Advances in Random Utility Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)

1993

  1. A Simulation Estimation Analysis of the External Debt Crises of Developing Countries
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    Also in Working Papers, Yale University (1993) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (1994)
  2. An Empirical Investigation on the Dynamics of Qualitative Decisions of Firms
    Working Papers, Yale University Downloads View citations (1)
  3. Classical Estimation Methods for LDV Models Using Simulation
    Economics Working Papers, University of California at Berkeley View citations (3)
    Also in Econometrics, University Library of Munich, Germany (1993) Downloads View citations (3)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1993) Downloads View citations (2)
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1993) Downloads View citations (4)

    See also Chapter (1986)
  4. Duality, Consumption Decisions Under Uncertainty, and Liquidity Constraints: A Note
    Working Papers, Yale University Downloads View citations (1)
  5. Handbook of Econometrics: Classical Estimation Methods for LDV Models Using Simulation
    Working Papers, Yale University Downloads View citations (1)
  6. Macroeconomic Shocks in an Aggregative Disequilibrium Model
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Working Papers, Yale University (1993) Downloads
  7. Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    Also in Working Papers, Yale University (1993) Downloads View citations (5)
  8. Simulation of Multivariate Normal Rectangle Probabilities and their Derivatives: Theoretical and Computational Results
    Working Papers, Yale University Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (1996)

1992

  1. 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 Downloads

1991

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

1990

  1. 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 Downloads View citations (22)
    See also Chapter (1992)
  2. 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 Downloads View citations (11)
    See also Journal Article in Journal of Econometrics (1993)
  3. 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 Downloads View citations (12)

1989

  1. Do the Secondary Markets Believe in Life After Debt?
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (24)
    Also in Policy Research Working Paper Series, The World Bank (1989) Downloads View citations (28)

1987

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

1986

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

Journal Articles

2010

  1. Bimodal t-ratios: the impact of thick tails on inference
    Econometrics Journal, 2010, 13, (2), 271-289 View citations (6)

2007

  1. Unemployment and liquidity constraints
    Journal of Applied Econometrics, 2007, 22, (3), 479-510 Downloads View citations (13)
    See also Working Paper (1999)

1998

  1. The Method of Simulated Scores for the Estimation of LDV Models
    Econometrica, 1998, 66, (4), 863-896 View citations (138)
    See also Working Paper (1997)

1996

  1. Duality and liquidity constraints under uncertainty
    Journal of Economic Dynamics and Control, 1996, 20, (6-7), 1177-1192 Downloads View citations (2)
  2. Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results
    Journal of Econometrics, 1996, 72, (1-2), 85-134 Downloads View citations (218)
    See also Working Paper (1993)

1994

  1. A Simulation Estimation Analysis of the External Debt Crises of Developing Countries
    Journal of Applied Econometrics, 1994, 9, (2), 109-31 Downloads View citations (30)
    See also Working Paper (1993)

1993

  1. Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
    Journal of Econometrics, 1993, 58, (3), 347-368 Downloads View citations (264)
    See also Working Paper (1990)

1988

  1. Statistical Foundations of Econometric ModellingAris Spanos, Cambridge University Press, 1986
    Econometric Theory, 1988, 4, (2), 341-348 Downloads

1987

  1. The external debt repayments problems of LDC's: An econometric model based on panel data
    Journal of Econometrics, 1987, 36, (1-2), 205-230 Downloads View citations (18)

1986

  1. Two misspecification tests for the simple switching regressions disequilibrium model
    Economics Letters, 1986, 22, (4), 343-348 Downloads View citations (2)
    See also Working Paper (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 Downloads View citations (11)
    See also Working Paper (1990)

1986

  1. Classical estimation methods for LDV models using simulation
    Chapter 40 in Handbook of Econometrics, 1986, vol. 4, pp 2383-2441 Downloads View citations (73)
    See also Working Paper (1993)
 
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