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Details about Vasilis Sarafidis

Homepage:https://sites.google.com/view/vsarafidis
Workplace:Department of Economics and Finance, Brunel University London, (more information at EDIRC)

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

  1. A method for evaluating the rank condition for CCE estimators
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2021) Downloads
  2. Improved Tests for Granger Non-Causality in Panel Data
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    Also in Discussion Papers, Department of Economics, University of Birmingham (2021) Downloads View citations (7)
    MPRA Paper, University Library of Munich, Germany (2021) Downloads View citations (7)
    Swiss Stata Conference 2022, Stata Users Group (2022) Downloads View citations (7)

    See also Journal Article Improved tests for Granger noncausality in panel data, Stata Journal, StataCorp LP (2023) Downloads View citations (10) (2023)

2021

  1. Instrumental variable estimation of large-T panel data models with common factors
    London Stata Conference 2021, Stata Users Group Downloads View citations (12)
    Also in Economics Virtual Symposium 2021, Stata Users Group (2021) Downloads View citations (11)

    See also Journal Article Instrumental-variable estimation of large-T panel-data models with common factors, Stata Journal, StataCorp LP (2021) Downloads View citations (18) (2021)
  2. Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects
    Bank of Lithuania Working Paper Series, Bank of Lithuania Downloads View citations (9)
    Also in MPRA Paper, University Library of Munich, Germany (2020) Downloads View citations (6)
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2020) Downloads 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) Downloads View citations (9) (2022)

2020

  1. A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels
    MPRA Paper, University Library of Munich, Germany Downloads View citations (7)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2020) Downloads

    See also Journal Article A homogeneous approach to testing for Granger non-causality in heterogeneous panels, Empirical Economics, Springer (2021) Downloads View citations (71) (2021)
  2. 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 Downloads 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) Downloads View citations (5) (2022)
  3. An Incidental Parameters Free Inference Approach for Panels with Common Shocks
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article An incidental parameters free inference approach for panels with common shocks, Journal of Econometrics, Elsevier (2022) Downloads View citations (2) (2022)
  4. 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 Downloads View citations (10)
  5. Essays in Honor of Professor Badi H Baltagi: Editorial
    MPRA Paper, University Library of Munich, Germany Downloads
  6. 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 Downloads View citations (5)
  7. 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 Downloads 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) Downloads View citations (1) (2023)
  8. Identification and Estimation of Differentiated Products Models using Cost Data
    Working Papers, Department of Economics, City University London Downloads
  9. Online Supplement to An Incidental Parameters Free Inference Approach for Panels with Common Shocks
    MPRA Paper, University Library of Munich, Germany Downloads

2019

  1. Identification and Estimation of Differentiated Products Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. 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 Downloads View citations (2)
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2019) Downloads 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) Downloads View citations (32) (2021)

2016

  1. Crime, Deterrence and Punishment Revisited
    UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics Downloads
    See also Journal Article Crime, deterrence and punishment revisited, Empirical Economics, Springer (2020) Downloads View citations (4) (2020)

2015

  1. A Simple Estimator for Short Panels with Common Factors
    UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics Downloads View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2015) Downloads View citations (1)
  2. Instrument-free Identifcation and Estimation of the Diferentiated Products Models
    Department of Economics - Working Papers Series, The University of Melbourne Downloads
    Also in Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney (2015) Downloads View citations (1)
    Working Paper, Economics Department, Queen's University (2015) Downloads View citations (1)
  3. 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 Downloads

2014

  1. Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors
    UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2014) Downloads View citations (6)

    See also Journal Article Fixed T dynamic panel data estimators with multifactor errors, Econometric Reviews, Taylor & Francis Journals (2018) Downloads View citations (10) (2018)
  2. GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)

2013

  1. Dynamic Panel Data Models
    UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics Downloads View citations (49)
  2. IV Estimation of Panels with Factor Residuals
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (5)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (10)

    See also Journal Article IV estimation of panels with factor residuals, Journal of Econometrics, Elsevier (2015) Downloads View citations (47) (2015)

2011

  1. Crime and Punishment Revisited
    MPRA Paper, University Library of Munich, Germany Downloads View citations (7)

2010

  1. Cross-sectional Dependence in Panel Data Analysis
    MPRA Paper, University Library of Munich, Germany Downloads View citations (24)
    See also Journal Article Cross-Sectional Dependence in Panel Data Analysis, Econometric Reviews, Taylor & Francis Journals (2012) Downloads View citations (193) (2012)
  2. Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors under Cross-sectional Dependence
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)

2009

  1. GMM Estimation of Short Dynamic Panel Data Models With Error Cross-Sectional Dependence
    MPRA Paper, University Library of Munich, Germany Downloads View citations (17)
  2. To Pool or Not to Pool: A Partially Heterogeneous Framework
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

Journal Articles

2024

  1. A method to evaluate the rank condition for CCE estimators
    Econometric Reviews, 2024, 43, (2-4), 123-155 Downloads

2023

  1. 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 Downloads 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) Downloads View citations (5) (2020)
  2. Improved tests for Granger noncausality in panel data
    Stata Journal, 2023, 23, (1), 230-242 Downloads View citations (10)
    See also Working Paper Improved Tests for Granger Non-Causality in Panel Data, MPRA Paper (2022) Downloads View citations (5) (2022)
  3. 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 Downloads

2022

  1. A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors
    Journal of Business & Economic Statistics, 2022, 40, (1), 1-15 Downloads 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) Downloads View citations (18) (2020)
  2. An incidental parameters free inference approach for panels with common shocks
    Journal of Econometrics, 2022, 229, (1), 19-54 Downloads View citations (2)
    See also Working Paper An Incidental Parameters Free Inference Approach for Panels with Common Shocks, MPRA Paper (2020) Downloads (2020)
  3. Instrument-free identification and estimation of differentiated products models using cost data
    Journal of Econometrics, 2022, 228, (2), 278-301 Downloads
  4. 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 Downloads 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) Downloads View citations (9) (2021)

2021

  1. A homogeneous approach to testing for Granger non-causality in heterogeneous panels
    Empirical Economics, 2021, 60, (1), 93-112 Downloads View citations (71)
    See also Working Paper A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels, MPRA Paper (2020) Downloads View citations (7) (2020)
  2. Essays in honor of Professor Badi H Baltagi
    Empirical Economics, 2021, 60, (1), 1-11 Downloads
  3. 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 Downloads 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) Downloads View citations (2) (2019)
  4. Instrumental-variable estimation of large-T panel-data models with common factors
    Stata Journal, 2021, 21, (3), 659-686 Downloads View citations (18)
    See also Working Paper Instrumental variable estimation of large-T panel data models with common factors, London Stata Conference 2021 (2021) Downloads View citations (12) (2021)

2020

  1. A new structural break test for panels with common factors
    The Econometrics Journal, 2020, 23, (1), 137-155 Downloads View citations (11)
  2. Crime, deterrence and punishment revisited
    Empirical Economics, 2020, 59, (5), 2303-2333 Downloads View citations (4)
    See also Working Paper Crime, Deterrence and Punishment Revisited, UvA-Econometrics Working Papers (2016) Downloads (2016)

2018

  1. Fixed T dynamic panel data estimators with multifactor errors
    Econometric Reviews, 2018, 37, (8), 893-929 Downloads View citations (10)
    See also Working Paper Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors, UvA-Econometrics Working Papers (2014) Downloads View citations (2) (2014)
  2. Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
    Journal of Business & Economic Statistics, 2018, 36, (3), 493-504 Downloads View citations (5)

2017

  1. Does persistence in idiosyncratic risk proxy return-reversals?
    Journal of Banking and Financial Economics, 2017, 2, (8), 27-53 Downloads
  2. Regression clustering for panel-data models with fixed effects
    Stata Journal, 2017, 17, (2), 314-329 Downloads View citations (7)

2016

  1. Neighbourhood GMM estimation of dynamic panel data models
    Computational Statistics & Data Analysis, 2016, 100, (C), 526-544 Downloads View citations (2)

2015

  1. A Partially Heterogeneous Framework for Analyzing Panel Data
    Oxford Bulletin of Economics and Statistics, 2015, 77, (2), 274-296 Downloads View citations (34)
  2. IV estimation of panels with factor residuals
    Journal of Econometrics, 2015, 185, (2), 526-541 Downloads View citations (47)
    See also Working Paper IV Estimation of Panels with Factor Residuals, Cambridge Working Papers in Economics (2013) Downloads View citations (5) (2013)

2012

  1. An Econometric Assessment of Pricing Sydney’s Residential Water Use
    The Economic Record, 2012, 88, (280), 89-105 Downloads View citations (5)
  2. Cross-Sectional Dependence in Panel Data Analysis
    Econometric Reviews, 2012, 31, (5), 483-531 Downloads View citations (193)
    See also Working Paper Cross-sectional Dependence in Panel Data Analysis, MPRA Paper (2010) Downloads View citations (24) (2010)

2009

  1. A test of cross section dependence for a linear dynamic panel model with regressors
    Journal of Econometrics, 2009, 148, (2), 149-161 Downloads View citations (132)
  2. On the impact of error cross-sectional dependence in short dynamic panel estimation
    Econometrics Journal, 2009, 12, (1), 62-81 View citations (111)

2007

  1. Dynamic Budgetary Adjustments in the Australian State Government Finance Sector: An Econometric Approach
    Journal of Economics and Management, 2007, 3, (2), 125-159 Downloads

2006

  1. Testing for cross-sectional dependence in panel-data models
    Stata Journal, 2006, 6, (4), 482-496 Downloads View citations (491)

Software Items

2024

  1. XTIVDFREG: Stata module to perform defactored instrumental variables estimation of large panel data models
    Statistical Software Components, Boston College Department of Economics Downloads

2023

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

2016

  1. XTREGCLUSTER: Stata module to estimate partially heterogeneous linear panel data with fixed effects
    Statistical Software Components, Boston College Department of Economics Downloads

2007

  1. XTCSD: Stata module to test for cross-sectional dependence in panel data models
    Statistical Software Components, Boston College Department of Economics Downloads
 
Page updated 2025-02-18