Details about Vasilis Sarafidis
Access statistics for papers by Vasilis Sarafidis.
Last updated 2024-06-22. Update your information in the RePEc Author Service.
Short-id: psa786
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Working Papers
2022
- A method for evaluating the rank condition for CCE estimators
MPRA Paper, University Library of Munich, Germany 
Also in Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2021)
- Improved Tests for Granger Non-Causality in Panel Data
MPRA Paper, University Library of Munich, Germany View citations (5)
Also in Discussion Papers, Department of Economics, University of Birmingham (2021) View citations (7) MPRA Paper, University Library of Munich, Germany (2021) View citations (7) Swiss Stata Conference 2022, Stata Users Group (2022) View citations (7)
See also Journal Article Improved tests for Granger noncausality in panel data, Stata Journal, StataCorp LP (2023) View citations (10) (2023)
2021
- Instrumental variable estimation of large-T panel data models with common factors
London Stata Conference 2021, Stata Users Group View citations (12)
Also in Economics Virtual Symposium 2021, Stata Users Group (2021) View citations (11)
See also Journal Article Instrumental-variable estimation of large-T panel-data models with common factors, Stata Journal, StataCorp LP (2021) View citations (18) (2021)
- Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects
Bank of Lithuania Working Paper Series, Bank of Lithuania View citations (9)
Also in MPRA Paper, University Library of Munich, Germany (2020) View citations (6) ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2020) View citations (3)
See also Journal Article Two-stage instrumental variable estimation of linear panel data models with interactive effects, The Econometrics Journal, Royal Economic Society (2022) View citations (9) (2022)
2020
- 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 (71) (2021)
- A Linear Estimator for FactorAugmented Fixed-T Panels with Endogenous Regressors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (18)
See also Journal Article A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (5) (2022)
- An Incidental Parameters Free Inference Approach for Panels with Common Shocks
MPRA Paper, University Library of Munich, Germany 
See also Journal Article An incidental parameters free inference approach for panels with common shocks, Journal of Econometrics, Elsevier (2022) View citations (2) (2022)
- Celebrating 40 Years of Panel Data Analysis: Past, Present and Future
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (10)
- Essays in Honor of Professor Badi H Baltagi: Editorial
MPRA Paper, University Library of Munich, Germany
- IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
- IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk
MPRA Paper, University Library of Munich, Germany View citations (5)
See also Journal Article IV estimation of spatial dynamic panels with interactive effects: large sample theory and an application on bank attitude towards risk, The Econometrics Journal, Royal Economic Society (2023) View citations (1) (2023)
- Identification and Estimation of Differentiated Products Models using Cost Data
Working Papers, Department of Economics, City University London
- Online Supplement to An Incidental Parameters Free Inference Approach for Panels with Common Shocks
MPRA Paper, University Library of Munich, Germany
2019
- Identification and Estimation of Differentiated Products Models
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2019) View citations (2)
See also Journal Article Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure, Journal of Econometrics, Elsevier (2021) View citations (32) (2021)
2016
- Crime, Deterrence and Punishment Revisited
UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics 
See also Journal Article Crime, deterrence and punishment revisited, Empirical Economics, Springer (2020) View citations (4) (2020)
2015
- A Simple Estimator for Short Panels with Common Factors
UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics View citations (1)
Also in MPRA Paper, University Library of Munich, Germany (2015) View citations (1)
- Instrument-free Identifcation and Estimation of the Diferentiated Products Models
Department of Economics - Working Papers Series, The University of Melbourne 
Also in Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney (2015) View citations (1) Working Paper, Economics Department, Queen's University (2015) View citations (1)
- Testing for a Structural Break in Dynamic Panel Data Models with Common Factors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
2014
- Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors
UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics View citations (2)
Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (6)
See also Journal Article Fixed T dynamic panel data estimators with multifactor errors, Econometric Reviews, Taylor & Francis Journals (2018) View citations (10) (2018)
- GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels
MPRA Paper, University Library of Munich, Germany View citations (6)
2013
- Dynamic Panel Data Models
UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics View citations (49)
- IV Estimation of Panels with Factor Residuals
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (10)
See also Journal Article IV estimation of panels with factor residuals, Journal of Econometrics, Elsevier (2015) View citations (47) (2015)
2011
- Crime and Punishment Revisited
MPRA Paper, University Library of Munich, Germany View citations (7)
2010
- Cross-sectional Dependence in Panel Data Analysis
MPRA Paper, University Library of Munich, Germany View citations (24)
See also Journal Article Cross-Sectional Dependence in Panel Data Analysis, Econometric Reviews, Taylor & Francis Journals (2012) View citations (193) (2012)
- Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors under Cross-sectional Dependence
MPRA Paper, University Library of Munich, Germany View citations (6)
2009
- GMM Estimation of Short Dynamic Panel Data Models With Error Cross-Sectional Dependence
MPRA Paper, University Library of Munich, Germany View citations (17)
- To Pool or Not to Pool: A Partially Heterogeneous Framework
MPRA Paper, University Library of Munich, Germany View citations (2)
Journal Articles
2024
- A method to evaluate the rank condition for CCE estimators
Econometric Reviews, 2024, 43, (2-4), 123-155
2023
- IV estimation of spatial dynamic panels with interactive effects: large sample theory and an application on bank attitude towards risk
The Econometrics Journal, 2023, 26, (2), 124-146 View citations (1)
See also Working Paper IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk, MPRA Paper (2020) View citations (5) (2020)
- Improved tests for Granger noncausality in panel data
Stata Journal, 2023, 23, (1), 230-242 View citations (10)
See also Working Paper Improved Tests for Granger Non-Causality in Panel Data, MPRA Paper (2022) View citations (5) (2022)
- New results on asymptotic properties of likelihood estimators with persistent data for small and large T
SERIEs: Journal of the Spanish Economic Association, 2023, 14, (3), 435-461
2022
- A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors
Journal of Business & Economic Statistics, 2022, 40, (1), 1-15 View citations (5)
See also Working Paper A Linear Estimator for FactorAugmented Fixed-T Panels with Endogenous Regressors, Monash Econometrics and Business Statistics Working Papers (2020) View citations (18) (2020)
- An incidental parameters free inference approach for panels with common shocks
Journal of Econometrics, 2022, 229, (1), 19-54 View citations (2)
See also Working Paper An Incidental Parameters Free Inference Approach for Panels with Common Shocks, MPRA Paper (2020) (2020)
- Instrument-free identification and estimation of differentiated products models using cost data
Journal of Econometrics, 2022, 228, (2), 278-301
- Two-stage instrumental variable estimation of linear panel data models with interactive effects
(Eigenvalue ratio test for the number of factors)
The Econometrics Journal, 2022, 25, (2), 340-361 View citations (9)
See also Working Paper Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects, Bank of Lithuania Working Paper Series (2021) View citations (9) (2021)
2021
- A homogeneous approach to testing for Granger non-causality in heterogeneous panels
Empirical Economics, 2021, 60, (1), 93-112 View citations (71)
See also Working Paper A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels, MPRA Paper (2020) View citations (7) (2020)
- Essays in honor of Professor Badi H Baltagi
Empirical Economics, 2021, 60, (1), 1-11
- Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
Journal of Econometrics, 2021, 220, (2), 416-446 View citations (32)
See also Working Paper Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure, Monash Econometrics and Business Statistics Working Papers (2019) View citations (2) (2019)
- Instrumental-variable estimation of large-T panel-data models with common factors
Stata Journal, 2021, 21, (3), 659-686 View citations (18)
See also Working Paper Instrumental variable estimation of large-T panel data models with common factors, London Stata Conference 2021 (2021) View citations (12) (2021)
2020
- A new structural break test for panels with common factors
The Econometrics Journal, 2020, 23, (1), 137-155 View citations (11)
- Crime, deterrence and punishment revisited
Empirical Economics, 2020, 59, (5), 2303-2333 View citations (4)
See also Working Paper Crime, Deterrence and Punishment Revisited, UvA-Econometrics Working Papers (2016) (2016)
2018
- Fixed T dynamic panel data estimators with multifactor errors
Econometric Reviews, 2018, 37, (8), 893-929 View citations (10)
See also Working Paper Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors, UvA-Econometrics Working Papers (2014) View citations (2) (2014)
- Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
Journal of Business & Economic Statistics, 2018, 36, (3), 493-504 View citations (5)
2017
- Does persistence in idiosyncratic risk proxy return-reversals?
Journal of Banking and Financial Economics, 2017, 2, (8), 27-53
- Regression clustering for panel-data models with fixed effects
Stata Journal, 2017, 17, (2), 314-329 View citations (7)
2016
- Neighbourhood GMM estimation of dynamic panel data models
Computational Statistics & Data Analysis, 2016, 100, (C), 526-544 View citations (2)
2015
- A Partially Heterogeneous Framework for Analyzing Panel Data
Oxford Bulletin of Economics and Statistics, 2015, 77, (2), 274-296 View citations (34)
- IV estimation of panels with factor residuals
Journal of Econometrics, 2015, 185, (2), 526-541 View citations (47)
See also Working Paper IV Estimation of Panels with Factor Residuals, Cambridge Working Papers in Economics (2013) View citations (5) (2013)
2012
- An Econometric Assessment of Pricing Sydney’s Residential Water Use
The Economic Record, 2012, 88, (280), 89-105 View citations (5)
- Cross-Sectional Dependence in Panel Data Analysis
Econometric Reviews, 2012, 31, (5), 483-531 View citations (193)
See also Working Paper Cross-sectional Dependence in Panel Data Analysis, MPRA Paper (2010) View citations (24) (2010)
2009
- A test of cross section dependence for a linear dynamic panel model with regressors
Journal of Econometrics, 2009, 148, (2), 149-161 View citations (132)
- On the impact of error cross-sectional dependence in short dynamic panel estimation
Econometrics Journal, 2009, 12, (1), 62-81 View citations (111)
2007
- Dynamic Budgetary Adjustments in the Australian State Government Finance Sector: An Econometric Approach
Journal of Economics and Management, 2007, 3, (2), 125-159
2006
- Testing for cross-sectional dependence in panel-data models
Stata Journal, 2006, 6, (4), 482-496 View citations (491)
Software Items
2024
- XTIVDFREG: Stata module to perform defactored instrumental variables estimation of large panel data models
Statistical Software Components, Boston College Department of Economics
2023
- XTGRANGERT: Stata module for improved Granger non-causality testing in heterogeneous and homogeneous panel data
Statistical Software Components, Boston College Department of Economics
2016
- XTREGCLUSTER: Stata module to estimate partially heterogeneous linear panel data with fixed effects
Statistical Software Components, Boston College Department of Economics
2007
- XTCSD: Stata module to test for cross-sectional dependence in panel data models
Statistical Software Components, Boston College Department of Economics
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