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Author: V A Hajivassiliou

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Econometrics Paper
Switching Regressions with Imperfect Regime Classification Information: Theory and Applications

V A Hajivassiliou

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8 January 2020

Econometrics Paper
Estimation and Specification Testing of Panel Data Models with Non-Ignorable Persistent Heterogeneity, Contemporaneous and Intertemporal Simultaneity, and Observable and Unobservable Dynamics

V A Hajivassiliou

This paper proposes efficient estimation methods for panel data limited dependent variables (LDV) models possessing a variety of complications: non-ignorable persistent heterogeneity; contemporaneous and intertemporal en...Read more...

3 December 2019

Econometrics Paper
Novel Approaches to Coherency Conditions in Dynamic LDV Models: Quantifying Financing Constraints and a Firm's Decision and Ability to Innovate

V A Hajivassiliou, Frédérique Savignac and Frédérique Savignac

We develop novel methods for establishing coherency conditions in Static and Dynamic Limited Dependent Variables (LDV) Models. We propose estimation strategies based on Conditional Maximum Likelihood Estimation for simul...Read more...

5 November 2019

Econometrics Paper
Some Practical Issues in Maximum Simulated Likelihood

V A Hajivassiliou

In this paper, I explore ways of recapturing the efficiency property for estimators that rely on simulation. In particular, I show that this can be achieved by exploiting two-step maximum stimulated likelihood (SL) estim...Read more...

November 1997

Econometrics Paper
The Method of Simulated Scores for the Estimation of LDV Models

V A Hajivassiliou and DL McFadden

The method of simulated scores (MSS) is presented for estimating limited dependent variables models (LDV) with flexible correlation structure in the unobservables. We propose simulators that are continuous in the unknown...Read more...

May 1997

Econometrics Paper
Testing Game-Theoretic Models of Price Fixing Behaviour

V A Hajivassiliou

This paper analyses price fixing by the Joint Executive Committee railroad cartel from 1880 to 1886 and develops tests of two game-theoretic models of tacit collusion. The first model, due to Abreu, Pearce and Stacchetti...Read more...

March 1997