What's new?
July 2025: Our paper on "Estimating Spatial Dynamic Panel Data Models with Unobserved Common Factors in Stata" is now available online. We introduce the spxtivdfreg package in Stata, which implements a general instrumental variables (IV) approach for estimating dynamic spatial panel data models with unobserved common factors or interactive effects, when the number of both cross-sectional and time series observations is large. The spxtivdfreg package allows for both homogeneous and heterogeneous slope coefficients. In addition, the spxtivdfreg package allows estimation of short-run and long-run direct and indirect effects.
June 2025: New research on "Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach". We analyse realized return behavior across a broad set of crypto assets by estimating heterogeneous exposures to idiosyncratic and systematic risk. A key challenge arises from the latent nature of broader economy-wide risk sources: macro-financial proxies are unavailable at high-frequencies, while the abundance of low-frequency candidates offers limited guidance on empirical relevance. To address this, we develop a novel two-stage ``divide-and-conquer'' approach. Details are available at the link provided.
June 2025: The program is now available for the upcoming conference on "Social and Sustainable Finance: Bridging Methods, Policy and Practice" taking place at Brunel University London on June 23–24, 2025. We look forward to welcoming participants to two days of engaging presentations and discussions, featuring keynote addresses by George Kapetanios and Steven Ongena! To view the program, click here.
May 2025: New research on "Residual Income Valuation and Stock Returns: Evidence from a Value-to-Price Investment Strategy". We hypothesize that sorting portfolios by the V/P ratio yields excess returns by capturing persistently undervalued firms. In the US market, high V/P portfolios outperform low V/P ones over one- to three-year horizons. The V/P ratio predicts future returns even after controlling for standard risk factors. Profitability and investment improve the explanatory power of the Fama-French model, particularly for stocks with V/P near 1, but fail to account fully for excess returns in years two and three, especially among high V/P stocks. These high V/P portfolios identify firms significantly mispriced relative to future investment and profitability growth.
February 2025: New research on "IV Estimation of Heterogeneous Spatial Dynamic Panel Models with Interactive Effects". The paper develops a Mean Group Instrumental Variables (MGIV) estimator for spatial dynamic panel data models with interactive effects, under large N and T asymptotics. Unlike existing approaches that typically impose slope-parameter homogeneity, MGIV accommodates cross-sectional heterogeneity in slope coefficients. The proposed estimator is linear, making it computationally efficient and robust. Furthermore, it avoids the incidental parameters problem, enabling asymptotically valid inferences without requiring bias correction.
January 2025: Excited to announce the conference on "Social and Sustainable Finance: Bridging Methods, Policy and Practice", hosted by Brunel University London on June 23-24, 2025. The keynote speakers are: George Kapetanios (King’s College London), Steven Ongena (University of Zurich), and Hashem Pesaran (University of Cambridge). The conference is organised by Stylianos Asimakopoulos (Brunel University of London), Manthos Delis (Audencia Business School) and Vasilis Sarafidis, Brunel University of London. Papers presented at the conference will be considered for a Special Issue of the Journal of Money, Credit and Banking (JMCB), with the Editor being Luc Laeven (ECB). For more information see here.
December 2024: Presented our new paper titled 'Estimation and Inference in Panel Data Models with Large Networks at the 2024 CFE-CMStatistics Conference, hosted by King's College London. This work is in collaboration with Arturas Juodis and George Kapetanios. The slides are available here.
November 2024: An update of the xtivdfreg command to version 1.5.0 is available here. The postestimation predict command has 3 new options: yabsorb, xabsorb, and iv: yabsorb and xabsorb create new variables in the data set for the dependent and independent variables net of the absorbed fixed effects. iv creates new variables for the defactored instrumental variables as used in the final estimation stage. Together, these new features allow replication of the xtivdfreg results with ivreg2, and therefore provide access to additional postestimation statistics reported by the latter. For a detailed discussion and examples see here.
June 2024: YouTube demonstration on how to test for the rank condition required for the CCE estimator in heterogeneous panels. In Part 1, I provide a brief introduction to the methodology. In Part 2 I provide an illustration in STATA using the xtdcce2 command of Jan Ditzen.
March 2024: My paper with Sebastian Kripfganz "Estimating Spatial Dynamic Panel Data Models with Unobserved Common Factors in Stata" is forthcoming at the Journal of Statistical Software.
February 2024: YouTube demonstration of the STATA package xtivdfreg. In Part 1, I provide a brief introduction to the methodology. In Part 2 I illustrate the command in STATA. A README file can be found here.
February 2024: The 29th International Panel Data Conference– IPDC 2024 will be held in Orléans, France, during July 4–5, 2024. Papers can be submitted through here. The submission deadline is March 1, 2024.
January 2024: My paper with Ignace De Vos and Gerdie Everaert "A Method to Evaluate the Rank Condition for CCE Estimators" has been accepted by Econometric Reviews and is available open access.
December 2023: Thanks in part to our collaborative efforts in estimating the price elasticity of urban water demand in Australia, my coauthor Arturas Juodis has achieved a remarkable Top-3 ranking among Economists in the Netherlands, based on publications weighted by the United Nations' SDG (Sustainable Development Goals) criteria. Congratulations Arturas!
September 2023: The new xtivdfreg version 1.3.1 in Stata (available here or here) comes with a significant extension. It now allows fitting spatial panel data models with spatial lags of the dependent and independent variables. For this purpose, the package contains the new spxtivdfreg command, which parses the additional spatial features, but otherwise is a wrapper for xtivdfreg.
August 2023: My paper with Arturas Juodis "New results on asymptotic properties of likelihood estimators with persistent data for small and large T", forthcoming in SERIEs for the Special Issue in Honour of Prof. Manuel Arellano, is now available online (open access).
August 2023: I am thrilled to announce that as of early August 2023, I have taken a new role as Professor of Finance at Brunel University London, in the School of Economics and Finance.
April 2023: The paper "Improved tests for Granger noncausality in panel data" has been published with open access at the Stata Journal.
January 2023: Updated version of the user-written command xtgrangert, a Stata module for testing for Granger causality in homogeneous and heterogeneous panels. The updated version allows for unbalanced panels.
January 2023: Call for papers for the 2023 International Panel Data Conference, Amsterdam. The deadline for submission is the 28th of February 2023. Papers can be submitted via email to IPDC-eb@uva.nl. Please include “IPDC2023 paper submission” as the subject line. Keynote speakers are Raffaella Giacomini (University College London), Thierry Magnac (Toulouse School of Economics), Elena Manresa (New York University) and Liangjun Su (Tsinghua University).
December 2022: Call for submissions of papers for the 2023 Annual Conference of the International Association for Applied Econometrics (IAAE). The deadline for submitting papers is February 15. All papers are to be submitted via Conference Maker here. The conference Program Chairs are Monica Costa-Dias (University of Bristol) and Michael McCracken (Federal Reserve Bank of Saint Louis). Confirmed keynote speakers so far are Tim Bollerslev (IAAE lecture, Duke University), Lars Peter Hansen (JAE lecture, University of Chicago), Hilde Bjornland (BI Norwegian Business School), Todd Clark (Federal Reserve Bank of Cleveland), Ana Maria Herrera (University of Kentucky) and Magne Mogstad (University of Chicago).
November 2022: The paper "IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk" has appeared online at the Econometrics Journal and it is open access.
October 2022: We are organising the 2023 Annual Conference of the International Association for Applied Econometrics (IAAE), which will be hosted by the BI Norwegian Business School in Oslo during 27 June - 30 June 2023. For more details see here.
September 2022: New version of the user-written command xtgranger, a Stata module for testing for Granger causality in homogeneous and heterogeneous panels. The updated version fixes some bugs and employs a bootstrap variance estimator that allows for cross-sectional dependence in the errors. The command can be downloaded by typing "ssc install xtgranger" in Stata. If the command is already installed, users can type "ado update xtgranger, update".
September 2022: According to the open database exaly, the paper "Cross-Sectional Dependence in Panel Data Analysis" (joint with Tom Wansbeek) is ranked as the most cited article of Econometric Reviews for 2012. Due to the same paper, Tom and I are listed as the most cited authors of Econometrics Reviews for the same year.
August 2022: The paper "Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects" has been published at the Econometrics Journal, Volume 25, Issue 2, pages 340-361.
July 2022: The paper "IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk" has been accepted for publication at the Econometrics Journal.
May 2022: The paper "An incidental parameters free inference approach for panels with common factors" has been published at the Journal of Econometrics, Volume 229, Issue 1, pages 19-54.
April 2022: The paper "Instrument-Free Identification and Estimation of Differentiated Products Models Using Cost Data" has been published at the Journal of Econometrics, Volume 228, Issue 2, pages 278-301.
January 2022: The paper "A Linear Estimator for Factor-Augmented Fixed-T Panels with Endogenous Regressors" has appeared as a lead article at the Journal of Business & Economic Statistics, Vol. 40(1), pp. 1-15.
December 2021: The paper "The Longer-Term Impacts of Trading Restrictions on Alcohol Related Violence: Insights from New South Wales, Australia" has been accepted for publication at Addiction.
October 2021: The paper "Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects" has been accepted for publication at the Econometrics Journal.
August 2021: The paper "Instrumental Variable Estimation of large-T Panel Data Models with Common Factors" has been published at the Stata Journal.
July 2021: The 26th International Panel Data Conference will take place fully online during the period July 1-2, 2021. Confirmed keynote speakers are Stéphane Bonhomme (University of Chicago), Antonio Galvao (University of Arizona), Stefanie Schurer (University of Sydney) and Martin Weidner (University of Oxford). The deadline for paper submissions is Friday, April 30. More information is available at the 2021 IPDC website.
May 2021: Release of the xtgranger Stata program. The command implements a new test for Granger causality in panel data models.
April 2021: The paper "An incidental parameters free inference approach for panels with common factors" has been accepted for publication at the Journal of Econometrics.
April 2021: New working paper on "Improved Tests for Granger Non-Causality in Panel Data".
March 2021: The paper "Instrumental Variable Estimation of Large-T Panel Data Models with Common Factors" has been accepted for publication at the Stata Journal.
February 2021: The paper "Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure" is now available online by the Journal of Econometrics.
February 2021: A special issue on panel data analysis, edited by Tom Wansbeek and myself, is now published at the Journal of Econometrics, Volume 220, Issue 2, pages 215-606.
January 2021: An Incidental Parameters Free Inference Approach for Panels with Common Shocks, new working paper with Arturas Juodis, available as an MPRA Paper 104906.
December 2020: Qi Li, Joakim Westerlund and I guest-edited a special issue of Empirical Economics to celebrate Badi Baltagi's myriad contributions to the field of econometrics. The issue contains nineteen peer-reviewed, state-of-the-art articles, written by some of the leading researchers in econometrics. We believe we can speak on behalf of the community of econometric scholars when we express our gratitude for all the inspiring work Badi has contributed to the field. We look forward to many more years of his leadership and mentorship.
November 2020: A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels, accepted for publication at Empirical Economics (Special Issue in Honor of Professor Badi Baltagi), 2020, DOI: https://doi.org/10.1007/s00181-020-01970-9.
October 2020: Release of an updated version of the xtivdfreg Stata program, which is joint work with Sebastian Kripfganz and implements flexible strategies for instrumental variable estimation of large panel data models with common factors.