My co-authors:
Publications:
On the Robustness of the Pooled CCE Estimator (with H. Karabiyik and J. Westerlund). Optimal Panel Unit Root Testing with Covariates (with J. Westerlund), (Volume 22 Issue 1, 2019, Pages 57–72). Rank Based Cointegration Testing for Dynamic Panels with Fixed T, (Volume 55 Issue 2, 2018, Pages 349–389). Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors (with V. Sarafidis), (Volume 37 Issue 8, 2018, Pages 893–929). First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference, Econometric Reviews (Volume 37 Issue 6, 2018, Pages 650–693). Pseudo Panel Data Models with Cohort Interactive Effects, Journal of Business and Economic Statistics (Volume 36, Issue 1, January 2018, Pages 47–61). On Maximum Likelihood Estimation of Dynamic Panel Data Models (with M. Bun and M. Carree), Oxford Bulletin of Economics and Statistics - A Note on Bias-corrected Estimation in Dynamic Panel Data Models, Economics Letters (Volume 118, Issue 3, March 2013, Pages 435–438).
Paper
Working Papers: - A Regularization Approach to Cross-section Average-Augmented Panel Data Models, (latest update February, 2020), submitted. Paper.
- An Incidental Parameters Free Inference Approach for Panels with Common Shocks (with V. Sarafidis), (latest update February, 2020). R&R Journal of Econometrics.
- A Linear Estimator for Factor-Augmented Fixed-T Panels with Endogenous Regressors (with V. Sarafidis), (latest update January, 2020). 2nd R&R
Journal of Business and Economic Statistics - Quantifying Noise (with S. Kučinskas). (latest update October, 2019). Paper.
- The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation (with S. Reese), (latest update October, 2019), submitted. ArXiv.
- Partially Heterogeneous Tests for Granger Non-causality in Panel Data (with Y. Karavias). Bank of Lithuania working paper series. 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".
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