Elias Tzavalis
Biographic Data
| ID | 5739606 |
|---|---|
| NAME | Elias Tzavalis |
| GIVEN NAMES | Elias |
| FAMILY NAME | Tzavalis |
| SIGNATURE | TZAVALIS E |
| AFFILIATIONS | Athens University of Economics and Business |
| VERIFIED | No |
| TOTAL WORKS | 6 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 5 |
| WORKS AS EDITOR | 1 |
| FIRST PUBLICATION YEAR | 1999 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 0 |
Exploring Okun's law asymmetry
Using a novel methodology, we offer new evidence that a threshold relationship exists for Okun's law (the well‐known output–unemployment co‐movement). We use a logistic smooth transition regression (LSTR) model where threshold endogeneity is addressed using copula transformations of the threshold variable. We also suggest a test of the linearity hypothesis against the LSTR model. In line with Okun's insight (and that of the subsequent literature)…
Dealing With Endogeneity in Threshold Models Using Copulas
We suggest a new method dealing with the problem of endogeneity of the threshold variable in structural threshold regression models based on copula theory. This method enables us to relax the assumption that the threshold variable is normally distributed and to capture the dependence structure between the threshold regression error term and the threshold variable independently of the marginal distribution of the threshold variable. For Gaussian a…
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes
This paper provides clear‐cut evidence that the ECB follows an asymmetric monetary policy rule concerned more with inflation rather than sustaining economic growth. The driving force of interest rate cuts is the fall of the inflation rate below its target level. The paper evaluates the implications of the above policy on real activity by simulating a small New Keynesian model. This clearly indicates that the reaction of the ECB to negative output…
Refinement of Econometric Estimation and Test Procedures
The Refinement of Econometric Estimation and Test Procedures
This book was first published in 2007. The small sample properties of estimators and tests are frequently too complex to be useful or are unknown. Much econometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations …
Inference for unit roots in dynamic panels where the time dimension is fixed
No prominent works on this page.
Inference for unit roots in dynamic panels where the time dimension is fixed
The Refinement of Econometric Estimation and Test Procedures
This book was first published in 2007. The small sample properties of estimators and tests are frequently too complex to be useful or are unknown. Much econometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations …
Refinement of Econometric Estimation and Test Procedures
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes
This paper provides clear‐cut evidence that the ECB follows an asymmetric monetary policy rule concerned more with inflation rather than sustaining economic growth. The driving force of interest rate cuts is the fall of the inflation rate below its target level. The paper evaluates the implications of the above policy on real activity by simulating a small New Keynesian model. This clearly indicates that the reaction of the ECB to negative output…
Dealing With Endogeneity in Threshold Models Using Copulas
We suggest a new method dealing with the problem of endogeneity of the threshold variable in structural threshold regression models based on copula theory. This method enables us to relax the assumption that the threshold variable is normally distributed and to capture the dependence structure between the threshold regression error term and the threshold variable independently of the marginal distribution of the threshold variable. For Gaussian a…
Exploring Okun's law asymmetry
Using a novel methodology, we offer new evidence that a threshold relationship exists for Okun's law (the well‐known output–unemployment co‐movement). We use a logistic smooth transition regression (LSTR) model where threshold endogeneity is addressed using copula transformations of the threshold variable. We also suggest a test of the linearity hypothesis against the LSTR model. In line with Okun's insight (and that of the subsequent literature)…
Econometrics (4 works) · Mathematics (4 works) · Economics (3 works) · Monetary Policy and Economic Impact (3 works) · Statistics (3 works) · Applied Mathematics (2 works) · Computer Science (2 works) · Economic Theory and Policy (2 works) · Endogeneity (2 works) · Estimator (2 works)