Blar i BI Open på forfatter "Juodis, Artūras"

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    • A homogeneous approach to testing for Granger non-causality in heterogeneous panels 

      Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis (Peer reviewed; Journal article, 2021)
      This paper develops a new method for testing for Granger non-causality in panel data models with large cross-sectional (N) and time series (T) dimensions. The method is valid in models with homogeneous or heterogeneous ...

    • Improved tests for Granger noncausality in panel data 

      Xiao, Jiaqi; Karavias, Yiannis; Juodis, Artūras; Sarafidis, Vasilis; Ditzen, Jan (Peer reviewed; Journal article, 2023)
      In this article, we introduce the xtgrangert command, which implements the panel Granger noncausality testing approach developed by Juodis, Karavias, and Sarafidis (2021, Empirical Economics 60: 93–112). This test offers ...

    • An incidental parameters free inference approach for panels with common shocks 

      Juodis, Artūras; Sarafidis, Vasilis (Journal article; Peer reviewed, 2021)
      This paper develops a novel Method of Moments approach for panel data models withendogenous regressors and unobserved common factors. The proposed approach doesnot require estimating explicitly a large number of parameters ...

    • A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors 

      Juodis, Artūras; Sarafidis, Vasilis (Peer reviewed; Journal article, 2022)
      A novel method-of-moments approach is proposed for the estimation of factor-augmented panel data models with endogenous regressors when T is fixed. The underlying methodology involves approximating the unobserved common ...