Browsing BI Open by Author "Juodis, Artūras"
Now showing items 1-3 of 3
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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 ... -
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 ...