Details about Yiannis Karavias

Access statistics for papers by Yiannis Karavias.

Last updated 2024-01-24. Update your information in the RePEc Author Service.

Short-id: pka744

Working Papers

2023

1. Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending
   Papers, arXiv.org
   Also in Discussion Papers, Department of Economics, University of Birmingham (2023)
   BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen (2023)
2. Threshold Regression in Heterogeneous Panel Data with Interactive Fixed Effects
   Papers, arXiv.org

2022

3. Improved Tests for Granger Non-Causality in Panel Data
   MPRA Paper, University Library of Munich, Germany View citations (4)
   Also in Discussion Papers, Department of Economics, University of Birmingham (2021) View citations (7)
   Swiss Stata Conference 2022, Stata Users Group (2022) View citations (6)
   MPRA Paper, University Library of Munich, Germany (2021) View citations (7)
   See also Journal Article Improved tests for Granger noncausality in panel data, Stata Journal, StataCorp LP (2023) View citations (7) (2023)

2021

4. Panel Unit Root Tests with Structural Breaks
   Discussion Papers, Department of Economics, University of Birmingham View citations (1)
   Also in London Stata Conference 2021, Stata Users Group (2021) View citations (1)
   See also Journal Article Panel unit-root tests with structural breaks, Stata Journal, StataCorp LP (2022) View citations (6) (2022)
5. Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
   Papers, arXiv.org View citations (3)
   See also Journal Article Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (6) (2023)
6. Testing and Estimating Structural Breaks in Time Series and Panel Data in Stata
   Discussion Papers, Department of Economics, University of Birmingham View citations (29)
   Also in Papers, arXiv.org (2021) View citations (28)

2020

7. A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels
   MPRA Paper, University Library of Munich, Germany View citations (7)
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2020)
   See also Journal Article A homogeneous approach to testing for Granger non-causality in heterogeneous panels, Empirical Economics, Springer (2021) View citations (64) (2021)
8. Firm Heterogeneity and Trade Credit Behaviour
   Discussion Papers, Department of Economics, University of Birmingham
9. Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals
   Discussion Papers, Department of Economics, University of Birmingham
   See also Journal Article Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals, Review of Quantitative Finance and Accounting, Springer (2021) View citations (1) (2021)

2019

10. Partially heterogeneous tests for Granger non-causality in panel data
    Bank of Lithuania Working Paper Series, Bank of Lithuania

2015

11. A comparison of investors' sentiments and risk premium effects on valuing shares
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    See also Journal Article A comparison of investors’ sentiments and risk premium effects on valuing shares, Finance Research Letters, Elsevier (2016) View citations (3) (2016)
12. The impact of government size on economic growth: a threshold analysis
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (18)
    See also Journal Article The impact of government size on economic growth: A threshold analysis, Economics Letters, Elsevier (2016) View citations (71) (2016)

2014

13. A fixed-T version of Breitung's panel data unit root test and its asymptotic local power
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics

2013

14. Optimal versus realized bank credit risk and monetary policy
    MPRA Paper, University Library of Munich, Germany View citations (2)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2013) View citations (1)
    See also Journal Article Optimal versus realized bank credit risk and monetary policy, Journal of Financial Stability, Elsevier (2015) View citations (11) (2015)
15. The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks
    MPRA Paper, University Library of Munich, Germany
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2013)

2012

16. On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors
    MPRA Paper, University Library of Munich, Germany
17. The local power of fixed-T panel unit root tests allowing for serially correlated errors
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics

Journal Articles

2023

1. Improved tests for Granger noncausality in panel data
   Stata Journal, 2023, 23, (1), 230-242 View citations (7)
   See also Working Paper Improved Tests for Granger Non-Causality in Panel Data, MPRA Paper (2022) View citations (4) (2022)
2. Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
   Journal of Business & Economic Statistics, 2023, 41, (3), 653-666 View citations (6)
   See also Working Paper Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19, Papers (2021) View citations (3) (2021)

2022

3. Missing Values in Panel Data Unit Root Tests
   Econometrics, 2022, 10, (1), 1-11
4. Panel unit-root tests with structural breaks
   Stata Journal, 2022, 22, (3), 664-678 View citations (6)
   See also Working Paper Panel Unit Root Tests with Structural Breaks, Discussion Papers (2021) View citations (1) (2021)

2021

5. A homogeneous approach to testing for Granger non-causality in heterogeneous panels
   Empirical Economics, 2021, 60, (1), 93-112 View citations (64)
   See also Working Paper A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels, MPRA Paper (2020) View citations (7) (2020)
6. Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals
   Review of Quantitative Finance and Accounting, 2021, 56, (4), 1593-1621 View citations (1)
   See also Working Paper Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals, Discussion Papers (2020) (2020)

2019

7. Generalized fixed‐T panel unit root tests
   Scandinavian Journal of Statistics, 2019, 46, (4), 1227-1251 View citations (4)

2018

8. Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
   Statistics & Probability Letters, 2018, 135, (C), 54-59

2017

9. Local power of panel unit root tests allowing for structural breaks
   Econometric Reviews, 2017, 36, (10), 1123-1156 View citations (10)
10. Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors
    Journal of Time Series Econometrics, 2017, 9, (1), 41

2016

11. A comparison of investors’ sentiments and risk premium effects on valuing shares
    Finance Research Letters, 2016, 17, (C), 1-6 View citations (3)
    See also Working Paper A comparison of investors' sentiments and risk premium effects on valuing shares, Discussion Papers (2015) (2015)
12. Almost All About Unit Roots: Foundations, Developments, and Applications, by In Choi. Published by Cambridge University Press, Cambridge, 2015. Total number of pages: 295. ISBN: 9781107482500 (paperback), price: 24.99£;(US$39.99) ISBN: 9781107097339 (hardback), price: 60.00£ (US$95.00)
    Journal of Time Series Analysis, 2016, 37, (1), 143-144
13. Inflation convergence in the EMU
    Journal of Empirical Finance, 2016, 39, (PB), 241-253 View citations (8)
14. Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends
    Journal of Time Series Analysis, 2016, 37, (2), 222-239 View citations (13)
15. The impact of government size on economic growth: A threshold analysis
    Economics Letters, 2016, 139, (C), 65-68 View citations (71)
    See also Working Paper The impact of government size on economic growth: a threshold analysis, Discussion Papers (2015) View citations (18) (2015)

2015

16. Optimal versus realized bank credit risk and monetary policy
    Journal of Financial Stability, 2015, 16, (C), 13-30 View citations (11)
    See also Working Paper Optimal versus realized bank credit risk and monetary policy, MPRA Paper (2013) View citations (2) (2013)

2014

17. A fixed-T version of Breitung’s panel data unit root test
    Economics Letters, 2014, 124, (1), 83-87 View citations (4)
18. Testing for unit roots in short panels allowing for a structural break
    Computational Statistics & Data Analysis, 2014, 76, (C), 391-407 View citations (37)

Chapters

2022

1. Structural Breaks in Financial Panel Data
   Springer

Software Items

2027

1. XTBUNITROOT: Stata module to perform unit root tests for panel data with structural breaks
   Statistical Software Components, Boston College Department of Economics

2023

2. XTGRANGERT: Stata module for improved Granger non-causality testing in heterogeneous and homogeneous panel data
   Statistical Software Components, Boston College Department of Economics

2022

3. XTBREAK: Stata module for detecting and dating multiple structural breaks in time series and panel data
   Statistical Software Components, Boston College Department of Economics