Vassilis Hajivassiliou -- Recent Working Papers

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• Note on Other Formats

List of Available Papers

• Estimation and specification testing of panel data models with nonignorable persistent heterogeneity, contemporaneous andintertemporal simultaneity and observable and unobservable dynamics: with a Modified Random Effects Estimator

  Vassilis Hajivassiliou (December 2019)

  • Abstract
  • ldvendog-modifre.pdf [Acrobat (PDF) format] 252 kb

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• Switching Regressionswith Imperfect Regime Classification Information

  Vassilis Hajivassiliou (November 2019)

  • Abstract
  • switching_regressions_with_irci.pdf [Acrobat (PDF) format] 331 kb

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• Novel approaches to coherency conditions in dynamic LDV models:quantifying financing constraints and a firm's decision and ability toinnovate

  Vassilis Hajivassiliou and Frederique Savignac (November 2019)

  • Abstract
  • cohfci.pdf [Acrobat (PDF) format] 2468 kb

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• A Monte-Carlo Analysis of Approaches to Coherency Conditions in LDV Models -- WORKING PAPER

  Vassilis Hajivassiliou (LSE Dept of Econ working paper)

  • Abstract
  • coherency.pdf [Acrobat (PDF) format] 851 kb

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• Macroeconomic Shocks in an Aggregative Disequilibrium Model --- UNDER REVISION

  Vassilis A. Hajivassiliou (Revised February 2019)

  • Abstract
  • agdismac.pdf [Acrobat (PDF) format] 304 kb

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• Bimodal t-ratios -- APPEARED IN: Econometrics Journal

  Carlo Fiorio, Vassilis Hajivassiliou, and Peter Phillips (LSE Dept of Econ working paper)

  • Abstract
  • bimodal_tratio-final.pdf [Acrobat (PDF) format] 623 kb

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• Bimodal t-ratios -- EXTENDED ONLINE VERSION

  Carlo Fiorio, Vassilis Hajivassiliou, and Peter Phillips (LSE Dept of Econ working paper)

  • Abstract
  • bimodal_tratio.pdf [Acrobat (PDF) format] 1485 kb

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• An Empirical Investigation on theDynamics of Qualitative Decisions of Firms -- WORKING PAPER

  Stelios Corres, Vassilis A. Hajivassiliou, and Yannis M. Ioannides (May 2006)

  • Abstract
  • qualfirm.pdf [Acrobat (PDF) format] 268 kb

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• Computational Methods in Econometrics -- APPEARED

  Vassilis Hajivassiliou (Appeared in: The New Palgrave [S. Durlauf and L. Blume, eds.])

  • Abstract
  • palgrave_computational_methods.pdf [Acrobat (PDF) format] 113 kb

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• Unemployment and Liquidity Constraints --- APPEARED

  Vassilis A. Hajivassiliou and Yannis M. Ioannides (Journal of Applied Econometrics 2007)

  • Abstract
  • eulerdsc.pdf [Acrobat (PDF) format] 320 kb

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• Some Practical Issues in Maximum Simulated Likelihood -- APPEARED

  Vassilis A. Hajivassiliou (Appeared in Simulation-Based Inference inEconometrics: Methods and Applications, R. Mariano, M. Weeks, and T.Shuermann, (eds.), March 1999. New York: Cambridge University Press.)

  • Abstract
  • simpract.pdf [Acrobat (PDF) format] 316 kb

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• Simulating Normal Rectangle Probabilities and Their Derivatives:The Effects of Vectorization -- APPEARED

  Vassilis Argyrou Hajivassiliou (Appeared in InternationalJournal of Supercomputer Applications, Fall 1993, pp.231-253)

  • Abstract
  • rectvect.pdf [Acrobat (PDF) format] 645 kb

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• Simulation of Multivariate Normal Rectangle Probabilities and their Derivatives: Theoretical and ComputationalResults -- APPEARED

  Vassilis Hajivassiliou, Daniel McFadden, and Paul Ruud (Appeared in Journal of Econometrics, Vol.72(1&2), 1996, pp.85--134)

  • Abstract
  • rectprb.pdf [Acrobat (PDF) format] 945 kb

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• The Method of Simulated Scores for the Estimation of LDV Models --- APPEARED

  Vassilis A. Hajivassiliou and Daniel L. McFadden (March 1997 Revision -- Appeared in Econometrica, 1998)

  • Abstract
  • mssmeth.pdf [Acrobat (PDF) format] 519 kb

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• A Simulation Estimation Analysis of the External Debt Crises of Developing Countries --- APPEARED

  Vassilis A. Hajivassiliou (September 1993 Revision -- Appeared in Journal of Applied Econometrics, 1996...)

  • Abstract
  • mssdebt.pdf [Acrobat (PDF) format] 393 kb

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• Classical Estimation Methods for LDV Models Using Simulation --- APPEARED

  Vassilis A. Hajivassiliou and Paul A. Ruud (July 1993 version --- Appeared in Handbook of Econometrics Vol.III, ...)

  • Abstract
  • hande.pdf [Acrobat (PDF) format] 653 kb

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• Duality, Consumption Decisions under Uncertainty, and Liquidity Constraints: A Note --- APPEARED

  Vassilis A. Hajivassiliou and Yannis M. Ioannides (May 1992, Revised September 21, 1994 version -- Appeared in Journal of Economic Dynamics and Control, 1993...)

  • Abstract
  • dual.pdf [Acrobat (PDF) format] 417 kb

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