Details about Jushan Bai

Access statistics for papers by Jushan Bai.

Last updated 2009-08-23. Update your information in the RePEc Author Service.

Short-id: pba53

Working Papers

2007

1. Panel Cointegration with Global Stochastic Trends
   Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations
   See also Journal Article in Journal of Econometrics (2009)

2005

2. On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence
   Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University

2004

3. Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
   Econometrics, EconWPA View citations
4. Evaluating Latent and Observed Factors in Macroeconomics and Financ
   Econometrics, EconWPA View citations
   See also Journal Article in Journal of Econometrics (2006)
5. Structural changes, common stochastic trends and unit roots in panel data
   Econometric Society 2004 North American Summer Meetings, Econometric Society View citations
   See also Journal Article in Review of Economic Studies (2009)

2001

6. A New Look at Panel Testing of Stationarity and the PPP Hypothesis
   Boston College Working Papers in Economics, Boston College Department of Economics View citations
   Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations
7. A PANIC Attack on Unit Roots and Cointegration
   Boston College Working Papers in Economics, Boston College Department of Economics View citations
   Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations
   See also Journal Article in Econometrica (2004)
8. Tests for Skewness, Kurtosis, and Normality for Time Series Data
   Boston College Working Papers in Economics, Boston College Department of Economics View citations
   See also Journal Article in Journal of Business & Economic Statistics (2005)

2000

9. Determining the Number of Factors in Approximate Factor Models
   Boston College Working Papers in Economics, Boston College Department of Economics View citations
   Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations
   See also Journal Article in Econometrica (2002)

1998

10. A Test for Conditional Symmetry in Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
11. Computation and Analysis of Multiple Structural-Change Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    See also Journal Article in Journal of Applied Econometrics (2003)

1996

12. A Note on Spurious Break and Regime Shift in Cointegrating Relationship
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
13. An Inequality for Vector-Valued Martingales and Its Applications
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics

1995

14. Estimating & Testing Linear Models with Multiple Structural Changes
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
15. Estimating Multiple Breaks One at a Time
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations
    See also Journal Article in Econometric Theory (1997)
16. Estimating and Testing Linear Models with Multiple Structural Changes
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
    See also Journal Article in Econometrica (1998)

1994

17. Estimation of Structural Change Based on Wald-Type Statistics
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
18. Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics

1993

19. Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics

1992

20. The Impact of 1989 California Major Anti-Smoking Legislation on Cigarette Consumption: Three Years Later
    Economics Working Papers, University of California at Berkeley

1991

21. The Impact of a Large Tax Increase on Cigarette Consumption: The Case of California
    Economics Working Papers, University of California at Berkeley

Journal Articles

2009

1. Boosting diffusion indices
   Journal of Applied Econometrics, 2009, 24, (4), 607-629 View citations
2. Panel Data Models With Interactive Fixed Effects
   Econometrica, 2009, 77, (4), 1229-1279 View citations
3. Panel cointegration with global stochastic trends
   Journal of Econometrics, 2009, 149, (1), 82-99 View citations
   See also Working Paper (2007)
4. Selecting Instrumental Variables in a Data Rich Environment
   Journal of Time Series Econometrics, 2009, 1, (1), 4
5. Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
   Review of Economic Studies, 2009, 76, (2), 471-501
   See also Working Paper (2004)

2008

6. Forecasting economic time series using targeted predictors
   Journal of Econometrics, 2008, 146, (2), 304-317 View citations
7. Generic consistency of the break-point estimators under specification errors in a multiple-break model
   Econometrics Journal, 2008, 11, (2), 287-307 View citations
8. Testing multivariate distributions in GARCH models
   Journal of Econometrics, 2008, 143, (1), 19-36 View citations

2007

9. Determining the Number of Primitive Shocks in Factor Models
   Journal of Business & Economic Statistics, 2007, 25, 52-60 View citations

2006

10. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
    Econometrica, 2006, 74, (4), 1133-1150 View citations
11. Evaluating latent and observed factors in macroeconomics and finance
    Journal of Econometrics, 2006, 131, (1-2), 507-537 View citations
    See also Working Paper (2004)

2005

12. Tests for Skewness, Kurtosis, and Normality for Time Series Data
    Journal of Business & Economic Statistics, 2005, 23, 49-60 View citations
    See also Working Paper (2001)

2004

13. A PANIC Attack on Unit Roots and Cointegration
    Econometrica, 2004, 72, (4), 1127-1177 View citations
    See also Working Paper (2001)
14. Estimating cross-section common stochastic trends in nonstationary panel data
    Journal of Econometrics, 2004, 122, (1), 137-183 View citations

2003

15. Computation and analysis of multiple structural change models
    Journal of Applied Econometrics, 2003, 18, (1), 1-22 View citations
    See also Working Paper (1998)
16. Critical values for multiple structural change tests
    Econometrics Journal, 2003, 6, (1), 72-78 View citations
17. Inferential Theory for Factor Models of Large Dimensions
    Econometrica, 2003, 71, (1), 135-171 View citations
18. Testing Parametric Conditional Distributions of Dynamic Models
    The Review of Economics and Statistics, 2003, 85, (3), 531-549 View citations

2002

19. Determining the Number of Factors in Approximate Factor Models
    Econometrica, 2002, 70, (1), 191-221 View citations
    See also Working Paper (2000)

2001

20. A consistent test for conditional symmetry in time series models
    Journal of Econometrics, 2001, 103, (1-2), 225-258 View citations

1999

21. Likelihood ratio tests for multiple structural changes
    Journal of Econometrics, 1999, 91, (2), 299-323 View citations

1998

22. A NOTE ON SPURIOUS BREAK
    Econometric Theory, 1998, 14, (05), 663-669 View citations
23. Estimating and Testing Linear Models with Multiple Structural Changes
    Econometrica, 1998, 66, (1), 47-78 View citations
    See also Working Paper (1995)
24. Testing for and Dating Common Breaks in Multivariate Time Series
    Review of Economic Studies, 1998, 65, (3), 395-432 View citations

1997

25. Estimating Multiple Breaks One at a Time
    Econometric Theory, 1997, 13, (03), 315-352 View citations
    See also Working Paper (1995)
26. Estimation Of A Change Point In Multiple Regression Models
    The Review of Economics and Statistics, 1997, 79, (4), 551-563 View citations

1996

27. Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
    Econometrica, 1996, 64, (3), 597-622 View citations

1995

28. Least Absolute Deviation Estimation of a Shift
    Econometric Theory, 1995, 11, (03), 403-436 View citations