Research

Working Papers:

[3] Barassi, M., Karavias, Y., and C. Zhu (2023). Threshold Regression in Heterogeneous Panel Data with Interactive Fixed Effects. arXiv:2308.04057, R&R Journal of Business and Economic Statistics

[2] Ditzen, J., Karavias, Y., and J., Westerlund (2022). Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending. arXiv:2211.06707, R&R Journal of Applied Econometrics

[1] Ditzen, J., Karavias, Y., and J., Westerlund (2021). Testing and Estimating Structural Breaks in Time Series and Panel Data in Stata. arXiv preprint arXiv:2110.14550, R&R The Stata Journal

Publications:

Econometric Methods

Karavias, Y., Narayan, P., and J. Westerlund (2023). Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19. Journal of Business and Economic Statistics, 41(3), 653-666.

Xiao, J., Juodis, A., Karavias, Y., Sarafidis, V.,  and J. Ditzen (2023). Improved Tests for Granger Non-Causality in Panel Data. The Stata Journal, 23(1), 230-242

Chen, P., Karavias, Y., and E. Tzavalis (2022). Panel Unit Root Tests with Structural Breaks. The Stata Journal, 22(3), 664–678. 

Karavias Y., Tzavalis E., H., Zhang (2022). Missing Values in Panel Data Unit Root Tests. Econometrics. 2022; 10(1):12.

Juodis, A., Karavias, Y. and V. Sarafidis (2021). A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels. Empirical Economics, 60, 93–112.

Karavias, Y. (2021). Structural Breaks in Financial Panel Data. Encyclopedia of Finance, 3rd Edition. Lee, Cheng-Few, Lee, Alice C. (Eds.), Springer.

Karavias, Y. and E. Tzavalis (2019). Generalized fixed‐T panel unit root tests. Scandinavian Journal of Statistics, 46(4), 1227-1251.

Juodis, A., and Y. Karavias (2019). Partially Heterogeneous Tests for Granger Non-causality in Panel Data. Bank of Lithuania Working Paper Series, No 59/2019

Karavias, Y., Symeonides, S. and E. Tzavalis (2018). Higher Order Expansions for Error Variance Matrix Estimates in the Gaussian AR(1) Linear Regression Model. Statistics and Probability Letters, 135, 54-59.

Karavias, Y. and E. Tzavalis (2017). Local Power of Panel Unit Root Tests Allowing for Structural Breaks. Econometric Reviews, 36(10), 1123-1156.

Karavias, Y., Symeonides, S. and E. Tzavalis (2017). Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors. Journal of Time Series Econometrics, 9(1).

Karavias Y. (2016). Almost All About Unit Roots: Foundations, Developments, and Applications, by In Choi. Book Review. Journal of Time Series Analysis, 37(1), 143-144.

Karavias, Y. and E. Tzavalis (2016). Local power of fixed-T panel unit root tests with serially correlated errors and incidental trends. Journal of Time Series Analysis, 37(2), 222-239.

Karavias, Y. and E. Tzavalis (2014). Testing for unit roots in short panels allowing for a structural break. Computational Statistics and Data Analysis, 76, 391-407.

Karavias, Y. and E. Tzavalis (2014). A fixed-T Version of Breitung’s Panel Data Unit Root Test. Economics Letters, 124(1), 83-87.

Macro and Financial Econometrics

Karavias, Y., Spillioti, S. and E. Tzavalis (2020). Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals. Review of Quantitative Finance and Accounting, 56, 1593-1621.

Karanasos, M., Koutroumpis, P., Karavias, Y., Kartsaklas, A., and V. Arakelian (2016). Inflation convergence in the EMU. Journal of Empirical Finance, 39(B), 241-253.

Asimakopoulos, S. and Y. Karavias (2016). The impact of government size on economic growth: A threshold analysis. Economics Letters, 139, 65-68.

Delis, M., and Y. Karavias (2015). Optimal versus realized bank credit risk and monetary policy. Journal of Financial Stability, 16, 13-30.

Karavias, Y., Spillioti, S. and E. Tzavalis (2015). A comparison of investors’ sentiments and risk premium effects on valuing shares. Finance Research Letters, 17, 1-6.

Crime Econometrics

Karavias, Y., Bandyopadhyay, S., Christie, C., Bradbury-Jones, C., Taylor, J., Kane, E., and H. D. Flowe (2023). Impact Evaluation and Economic Benefit Analysis of a Domestic Violence and Abuse UK Police Intervention. Frontiers in Psychology, 2023 Feb 16;14:1063701. doi: 10.3389/fpsyg.2023.1063701. PMID: 36874872; PMCID: PMC9978512.

Bandyopadhyay, S., Karavias, Y., Menezes, L., Taylor, J., Rogers, S. A., Kane, E., & Evans E. (2022). Pilot trial protocol: Remedi Restorative Mentors: a Pilot for a Randomised Control Study. Registered study: ISRCTN60787655.

Christie, C., Karavias, Y., Bandyopadhyay, S., Bradbury-Jones, C., Taylor, J., Kane, E., & Flowe, H. D. (2022). The CARA (Cautioning and Relationship Abuse) Service Theory of change, impact evaluation and economic benefits study report. PsyArXiv, 18 Jan. 2022.