Blar i BI Open på forfatter "Sarafidis, Vasilis"
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A method to evaluate the rank condition for CCE estimators
De Vos, Ignace; Everaert, Gerdie; Sarafidis, Vasilis (Peer reviewed; Journal article, 2023)We develop a binary classifier to evaluate whether the rank condition (RC) is satisfied or not for the Common Correlated Effects (CCE) estimator. The RC postulates that the number of unobserved factors, m, is not larger ... -
Celebrating 40 years of panel data analysis: Past, present and future
Sarafidis, Vasilis; Wansbeek, Tom (Peer reviewed; Journal article, 2021)The present special issue features a collection of papers presented at the 2017 International Panel Data Conference, hosted by the University of Macedonia in Thessaloniki, Greece. The conference marked the 40th anniversary ... -
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 ... -
Instrument-free identification and estimation of differentiated products models using cost data
Byrne, David P.; Imai, Susumu; Jain, Neelam; Sarafidis, Vasilis (Peer reviewed; Journal article, 2022)We propose a new methodology for identifying and estimating demand in differentiated products models when demand and cost data are available. The method deals with the endogeneity of prices to demand shocks and the endogeneity ... -
Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
Norkutė, Milda; Sarafidis, Vasilis; Yamagata, Takashi; Cui, Guowei (Journal article; Peer reviewed, 2021)This paper develops two instrumental variable (IV) estimators for dynamic panel data models with exogenous covariates and a multifactor error structure when both the cross-sectional and time series dimensions, and respectively, ... -
Instrumental-variable estimation of large-T panel-data models with common factors
Kripfganz, Sebastian; Sarafidis, Vasilis (Journal article; Peer reviewed, 2021)In this article, we introduce the xtivdfreg command, which implements a general instrumental-variables (IV) approach for fitting panel-data models with many time-series observations, T, and unobserved common factors or ... -
IV estimation of spatial dynamic panels with interactive effects: large sample theory and an application on bank attitude towards risk
Cui, Guowei; Sarafidis, Vasilis; Yamagata, Takashi (Peer reviewed; Journal article, 2023)This paper develops a new instrumental variables estimator for spatial, dynamic panels with interactive effects under large N and T asymptotics. For this class of models, most approaches available in the literature are ... -
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 ... -
Longer-term impacts of trading restrictions on alcohol-related violence: insights from New South Wales, Australia
Athanasopoulos, George; Sarafidis, Vasilis; Weatherburn, Don; Miller, Rohan (Peer reviewed; Journal article, 2021)Background and Aims:In February 2014, the government of New South Wales (NSW),Australia, introduced new restrictions (known as the‘lockout laws’) on the sale of alco-hol in licensed premises in two of Sydney’s most prominent ... -
Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects
Cui, Guowei; Norkutė, Milda; Sarafidis, Vasilis; Yamagata, Takashi (Peer reviewed; Journal article, 2022)This paper analyses the instrumental variables (IV) approach put forward by Norkute et al. (2021), in the context of static linear panel data models with interactive effects present in the error term and the regressors. ... -
Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects
Cui, Guowei; Norkutė, Milda; Sarafidis, Vasilis; Yamagata, Takashi (Peer reviewed; Journal article, 2022)This paper analyses the instrumental variables (IV) approach put forward by Norkute et al. (2021), in the context of static linear panel data models with interactive effects present in the error term and the regressors. ...