Research

Working Papers (and nearly completed papers):

5 Lessons for Applied Researchers from the Decades of Common Correlated Effects Estimation (with S. Reese), (latest update February, 2023). Available soon.
This Shock is Different: Estimation and Inference in Misspecified Two-Way Fixed Effects Regressions, (latest update May, 2021), R&R Econometric Theory. Paper. Appendix.
Uniform Inference in Linear Error-in-variables Models: Divide-and-Conquer (with T. Boot), (latest update August, 2022), R&R Econometric Reviews. Paper (ArXiv).
Misspecification and Identification Robust Predictability Testing with Panel Data (with J. Aguilar and L. Dam), (latest update November, 2022), submitted. Available soon.
On the Use of Synthetic Difference-in-differences Approach with (-out) Covariates: The Case Study of Brexit Referendum (with E. de Brabander and G. Szini), (latest update November, 2022), submitted. Available soon.

Publications:

1. New Results on Asymptotic Properties of Likelihood Estimators with Persistent Data for Small and Large T (with V. Sarafidis), SERIEs - Journal of the Spanish Economic Association (Volume 14, Issue 3-4, 2023, Pages 435-461). Paper. (open access).
2. Quantifying Noise in Survey Expectations (with S. Kučinskas). Quantitative Economics (Volume 14, Issue 2, 2023, Pages 609-650). Paper. (open access).
3. Improved Tests for Granger Non-Causality in Panel Data (with J. Ditzen, Y. Karavias, V. Sarafidis, and J. Xiao). Stata Journal (Volume 23, Issue 1, 2023). Paper. (open access).
4. A Regularization Approach to Common Correlated Effects Estimation. Journal of Applied Econometrics (Volume 37, Issue 4, 2022, Pages 788–810). Paper. (open access).
5. The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation (with S. Reese). Journal of Business and Economic Statistics (Volume 40, Issue 3, 2022, Pages 1191–1203). Paper (open access).
6. An Incidental Parameters Free Inference Approach for Panels with Common Shocks (with V. Sarafidis). Journal of Econometrics (Volume 229, Issue 1, 2022, Pages 19–54). Paper (open access).
7. Backward Mean Transformation in Panel Data with Predetermined Regressors. Advances in Econometrics. Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology: Volume 43B. (2022).
8. A Linear Estimator for Factor-Augmented Fixed-T Panels with Endogenous Regressors (with V. Sarafidis). Journal of Business and Economic Statistics (Volume 40, Issue 1, 2022, Pages 1-15). Paper (open access).
9. Backward Mean Transformation in Unit Root Panel Data Models. (with R. Poldermans). Economics Letters (Volume 201, 2021, Article 109780). Paper (open access).
10. A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels (with Y. Karavias and V. Sarafidis). Empirical Economics (Volume 60, Issue 1, 2021, Pages 93–112).Paper (open access).
11. On the Robustness of the Pooled CCE Estimator (with H. Karabiyik and J. Westerlund). Journal of Econometrics (Volume 220, Issue 2, 2021, Pages 325–348). Paper (open access).
12. Optimal Panel Unit Root Testing with Covariates (with J. Westerlund), Econometrics Journal (Volume 22, Issue 1, 2019, Pages 57–72). Paper (open access).
13. Rank Based Cointegration Testing for Dynamic Panels with Fixed T, Empirical Economics (Volume 55, Issue 2, 2018, Pages 349–389). Paper (open access).
14. Pseudo Panel Data Models with Cohort Interactive Effects, Journal of Business and Economic Statistics (Volume 36, Issue 1, 2018, Pages 47–61). Paper
15. Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors (with V. Sarafidis), Econometric Reviews (Volume 37, Issue 8, 2018, Pages 893–929). Paper (open access)
16. First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference, Econometric Reviews (Volume 37, Issue 6, 2018, Pages 650–693). Paper (open access)
17. On Maximum Likelihood Estimation of Dynamic Panel Data Models (with M. Bun and M. Carree), Oxford Bulletin of Economics and Statistics (Volume 79, Issue 4, 2017, Pages 463–494). Paper.
18. A Note on Bias-corrected Estimation in Dynamic Panel Data Models, Economics Letters (Volume 118, Issue 3, 2013, Pages 435–438). Paper.

Permanent Working Papers:

Iterative Bias Correction Procedures Revisited: A Small Scale Monte Carlo Study, Paper.

Mphil Thesis. On the Relative Merits of Bias Correction Methods in Panel VAR models, Paper.

Notes: some of the material from this thesis was later used in papers:

a) "First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference",

b) "Rank Based Cointegration Testing for Panel Data models with Fixed T",

c) "A Note on Bias-corrected Estimation in Dynamic Panel Data Models".