IV Estimation of Heterogeneous Spatial Dynamic Panel Models with Interactive Effects, with Jia Chen, Guowei Cui and Takashi Tamagata, 2025.
Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach, with Nektarios Aslanidis, Aurelio Bariviera and George Kapetanios, 2025.
Residual Income Valuation and Stock Returns: Evidence from a Value-to-Price Investment Strategy, with Ahmad Haboub and Aris Kartsaklas, 2025.
Estimation and Inference in Panel Data Models with Large Networks, with George Kapetanios, 2024. Working paper under preparation. Slides are available here.
Model Selection in Large Dimensional Linear Regression using Sequential Multiple Testing, with George Kapetanios and Alexia Ventouri, 2025. Working paper under preparation.
Spillover Effects in Corporate Emissions: Evidence from a Data-Dependent Spatial Panel Model, with Stylianos Asimakopoulos, George Kapetanios and Alexia Ventouri, 2025. Working paper under preparation.
[37] "Estimating Spatial Dynamic Panel Data Models with Unobserved Common Factors in Stata", with Sebastian Kripfganz. Journal of Statistical Software, 2025, Vol. 113(6), pp. 1-27..
[36] "A Method to Evaluate the Rank Condition for CCE Estimators", with Ignace De Vos and Gerdie Everaert. Econometric Reviews, 2024, Vol. 43(2-4), pp. 123-155. DOI: https://doi.org/10.1080/07474938.2023.2292383.
[35] "New results on asymptotic properties of likelihood estimators with persistent data for small and large T", with Arturas Juodis. SERIEs, 2023, Vol. 14, pp. 435-461. (Special Issue in Honor of Professor Manuel Arellano).
[34] "Improved Tests for Granger Non-Causality in Panel Data", with Jiaqi Xiao, Arturas Juodis, Yannis Karavias and Jan Ditzen. Stata Journal, 2023, Vol. 23(1), pp. 230-242.
[33] "IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk", with Guowei Cui and Takashi Yamagata. Econometrics Journal, 2023, Vol. 26(2), pp. 124-146. Online Supplementary Appendix.
[32] An Incidental Parameters Free Inference Approach for Panels with Common Factors, with Arturas Juodis. Journal of Econometrics, 2022, Vol. 229(1), pp. 19-54. Online Supplementary Appendix. DOI: https://doi.org/10.1016/j.jeconom.2021.03.011.
[31] Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects, with Guowei Cui, Milda Norkute and Takashi Yamagata. Econometrics Journal, 2022, Vol. 25(2), pp. 340-361. Online Supplementary Appendix.
[30] Instrument-Free Identification and Estimation of Differentiated Products Models Using Cost Data, with David Byrne, Susumu Imai and Neelam Jain. Journal of Econometrics, 2022, Vol. 228(2), pp. 278-301. DOI: https://doi.org/10.1016/j.jeconom.2021.12.006.
[29] The Longer-Term Impacts of Trading Restrictions on Alcohol Related Violence: Insights from New South Wales, Australia, with George Athanasopoulos, Don Weatherburn and Rohan Miller. Addiction, 2022, Vol. 117(5), pp. 1304-1311. DOI: https://doi.org/10.1111/add.15774.
[28] A Linear Estimator for Factor-Augmented Fixed-T Panels with Endogenous Regressors, with Arturas Juodis. Journal of Business & Economic Statistics, 2022, Vol. 40(1), pp. 1-15. Online Supplementary Appendix.
[27] Instrumental Variable Estimation of Large-T Panel Data Models with Common Factors, with Sebastian Kripfganz. Stata Journal, 2021, Vol. 21(3), pp. 1-28.
[26] Essays in Honor of Professor Badi H Baltagi: Editorial, with Qi Li and Joakim Westerlund. Special Issue in Empirical Economics, 2021, Vol 60. pp. 1-11.
[25] A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels, with Arturas Juodis and Yannis Karavias. Empirical Economics (Special Issue in Honor of Professor Badi Baltagi), 2021, Vol. 60, pp. 93-112.
[24] Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure, with Milda Norkute, Takashi Yamagata and Guowei Cui. Journal of Econometrics, 2021, Vol. 220(1), pp. 416-446. Online Supplementary Appendix.
[23] 40 years of panel data analysis: past, present and future, with Tom Wansbeek. Journal of Econometrics, 2021, Vol. 220(1), pp. 215-226.
[22] A New Structural Break Test for Panels with Common Factors, with Huanjun Zhu and Mervyn Silvapulle. The Econometrics Journal, 2020, Vol. 23(1), pp. 137-155. Online Supplementary Appendix.
[21] Crime, Deterrence and Punishment Revisited, with Maurice Bun, Richard Kelaher and Don Weatherburn. Empirical Economics, 2020, Vol. 59, pp. 2303-2333.
[20] Income Inequality Increases Racial Bias in the United States: Evidence from Project Implicit and Google Trends, with Paul Connor, Michael Zyphur, Dacher Keltner and Serena Chen. Psychological Science, 2019, Vol. 30(2), pp. 205-222. Online Supplementary Appendix.
[19] GMM Unit Root Inference In Generally Trending and Cross-Sectionally Correlated Fixed-T Panels, with Donald Robertson and Joakim Westerlund. Journal of Business & Economic Statistics, 2018, Vol. 36(3), pp. 493-504. DOI: 10.1080/07350015.2016.1191501.
[18] Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors, with Arturas Juodis. Econometric Reviews, 2018, Vol. 37(8), pp. 893-929. Online Supplementary Appendix.
[17] When did it go wrong? The case of Greek sovereign debt, with Anastasios Panagiotelis and Theodore Panagiotidis. In C. Floros, I. Chatziantoniou (eds.) The Greek Debt Crisis: In Quest of Growth in Times of Austerity, 2017, Springer, Ch. 1, pp. 1-35.
[16] Regression Clustering for Panel Data Models with Fixed Effects, with Demetris Christodoulou. The Stata Journal, 2017, Vol. 17(2), pp. 274-296.
[15] Does persistence in idiosyncratic risk proxy return-reversals?, with Mindi Nath. Journal of Banking and Financial Economics, 2017, Vol. 2(8), pp. 27-53.
[14] Neighbourhood GMM Estimation of Dynamic Panel Data Models. Computational Statistics and Data Analysis, 2016, Vol. 100, pp. 526-544.
[13] Do Drug Seizures Predict Drug-Related Emergency Department Presentations or Arrests for Drug Use and Possession? with Wai-Yin Wan, Don Weatherburn, Grant Wardlaw and Grant Sara. International Journal of Drug Policy, 2016, Vol. 27, pp. 74-81.
[12] IV Estimation of Panels with Factor Residuals, with Donald Robertson. Journal of Econometrics, 2015, Vol. 185(2), pp. 526-541.
[11] A Partially Heterogeneous Framework for Analysing Panel Data, with Neville Weber. Oxford Bulletin of Economics and Statistics, 2015, Vol. 77(2), pp. 274-296. Online Supplementary Appendix.
[10] Dynamic Panel Data Models, with Maurice Bun. In B. Baltagi (eds.) Oxford Handbook of Panel Data, 2015, Oxford University Press, Ch. 3, pp. 76-110.
[9] A Test of Cross Section Dependence for a Linear Dynamic Panel Model with Regressors, with Donald Robertson and Takashi Yamagata. In B. Baltagi (eds.) Panel Data Econometrics – Series: Critical Concepts in Economics, 2014, Routledge, Ch. 33.
[8] Supply-Side Reduction Policy and Drug-Related Harm, with Wai-Yin Wan, Don Weatherburn, Grant Wardlaw and Grant Sara. Trends & Issues in Crime and Criminal Justice, 2014, Vol. 486, pp. 108.
[7] Cross-Sectional Dependence in Panel Data Analysis, with Tom Wansbeek. Econometric Reviews, 2012, Vol. 31(5), pp. 483-531.
[6] An Econometric Assessment of Pricing Sydney's Residential Water Use, with Barry Abrams, San Kumaradevan and Frank Spaninks. Economic Record, 2012, Vol. 88, pp. 89-105.
[5] A Test of Cross Section Dependence for a Linear Dynamic Panel Model with Regressors, with Donald Robertson and Takashi Yamagata. Journal of Econometrics, 2009, Vol. 148(2), pp. 149-161.
[4] On the Impact of Error Cross-sectional Dependence in Short Dynamic Panel Estimation, with Donald Robertson. The Econometrics Journal, 2009, Vol. 12(1), pp. 62-81.
[3] Dynamic Budgetary Adjustments in the Australian State Government Finance Sector: An Econometric Approach, with Vince Blackburn and Richard Gerlach. Journal of Economics and Management, 2007. Vol 3(2), pp. 125-159.
[2] Testing for Cross-sectional Dependence in Panel Data Models, with Rafael De Hoyos. The Stata Journal, 2006, Vol. 6(4).
[1] An Assessment of Comparative Efficiency Measurement Techniques. Europe Economics: Occasional Paper 2, 2002.
SPXTIVDFREG: This is a wrapper of the XTIVDFREG command and alllows fitting spatial panel data models with spatial lags of the dependent and independent variables, with Sebastian Kripfganz, 2023.
XTGRANGER: Stata module for improved Granger non-causality testing in heterogeneous and homogeneous panel data, with Jiaqi Xiao, Yiannis Karavias and Arturas Juodis. Statistical Software Components S458934, Boston College Department of Economics, 2021.
XTIVDFREG: Stata module to perform defactored instrumental variable estimation of large panel data models, with Sebastian Kripfganz, 2021.
README. Introduction of Methodology (YouTube Video). Stata Illustration (YouTube Video).
XTREGCLUSTER: Stata module to estimate partially heterogeneous linear panel data models with fixed effects, with Demetris Christodoulou, Statistical Software Components S458274, Boston College Department of Economics, 2016.
XTCSD: Stata module to test for cross-sectional dependence in panel data models, with Rafael De Hoyos, Statistical Software Components S456736, Boston College Department of Economics, 2006.