Overview
Vassilis A. Hajivassiliou is an econometrician at the London School of Economics (earlier at the Cowles Foundation, Yale University) specializing in simulation-based estimation of limited-dependent-variable models. He is a co-developer of the widely used GHK simulator and of the Method of Simulated Scores, and has applied these tools to panel LDV models in international finance, notably sovereign external-debt crises.
Key Contributions / Features
- Method of Simulated Scores — Hajivassiliou–McFadden (1998): With Daniel McFadden, direct simulation of the likelihood score for flexible-error LDV models, with acceptance–rejection, recursive-triangularization (GHK), and Gibbs-resampling simulators and their CAN rates; applied to LDC debt-repayment problems under credit rationing. See Method of Simulated Scores and Hajivassiliou-McFadden (1998).
- GHK simulator: The "H" in the Geweke–Hajivassiliou–Keane simulator for multivariate normal rectangle probabilities — smooth, bounded, and the best-performing simulator in benchmarks for multinomial probit.
- Smooth simulators — Börsch-Supan–Hajivassiliou (1993): Smooth unbiased multivariate probability simulators for maximum simulated likelihood estimation of LDV models.
- Simulation survey — Hajivassiliou–Ruud (1994): Handbook of Econometrics chapter on classical estimation methods for LDV models using simulation.
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