Completed Working Papers:
Factor-Augmented Panel Regressions and Variance-Weighted Treatment Effects (with M. Weidner). Paper (arXiv).
Bootstrap Inference for Dynamic Panel Data Models with Common Correlated Effects (with O. Stauskas and S. Tromp).
Misspecification and Identification Robust Predictability Testing with Panel Data (with J. Aguilar and L. Dam), (2025). Permanent working paper. Available upon request.
Work in Progress:
Testing for Peer Effects in Short Panels Without Identifying the Network Structure (with T. Boot).
Almost Uniform Bias Correction for Persistent Panel Local Projections (with G. Dhaene).
The Initial Condition Problem for Restricted Likelihood-based Estimators in Dynamic Panel Data Models (with S. Tromp).
Inference in High-dimensional Short Panel Data after Discretizing Unobserved Heterogeneity (with J. Beyhum and W. Miao).
Publications (almost all open access):
Five Lessons for Applied Researchers from Twenty Years of Common Correlated Effects Estimation (with S. Reese), Journal of Econometrics (Volume 253, 2026). Paper.
This Shock is Different: Estimation and Inference in Misspecified Two-Way Fixed Effects Regressions, Econometric Theory (Volume 42, Issue 4, 2026, Pages 869-902). Paper.
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), Econometric Reviews (Volume 44, Issue 10, 2025, Pages 1617-1646). Paper.
Uniform Inference in Linear Error-in-variables Models: Divide-and-Conquer (with T. Boot), Econometric Reviews (Volume 44, Issue 3, 2025, Pages 335-355). Paper.
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.
Quantifying Noise in Survey Expectations (with S. Kučinskas). Quantitative Economics (Volume 14, Issue 2, 2023, Pages 609-650). Paper.
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.
A Regularization Approach to Common Correlated Effects Estimation. Journal of Applied Econometrics (Volume 37, Issue 4, 2022, Pages 788–810). Paper.
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.
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.
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). (not open access).
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.
Backward Mean Transformation in Unit Root Panel Data Models. (with R. Poldermans). Economics Letters (Volume 201, 2021, Article 109780). Paper.
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.
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.
Optimal Panel Unit Root Testing with Covariates (with J. Westerlund), Econometrics Journal (Volume 22, Issue 1, 2019, Pages 57–72). Paper.
Rank Based Cointegration Testing for Dynamic Panels with Fixed T, Empirical Economics (Volume 55, Issue 2, 2018, Pages 349–389). Paper.
Pseudo Panel Data Models with Cohort Interactive Effects, Journal of Business and Economic Statistics (Volume 36, Issue 1, 2018, Pages 47–61). Paper. (not open access).
Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors (with V. Sarafidis), Econometric Reviews (Volume 37, Issue 8, 2018, Pages 893–929). Paper.
First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference, Econometric Reviews (Volume 37, Issue 6, 2018, Pages 650–693). Paper.
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. (not open access).
A Note on Bias-corrected Estimation in Dynamic Panel Data Models, Economics Letters (Volume 118, Issue 3, 2013, Pages 435–438). Paper. (not open access).
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".