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Details about Jushan Bai

E-mail:
Homepage:http://www.econ.nyu.edu/user/baij/
Phone:(212) 854-8033
Postal address:Department of Economics Columbia University 1022 IAB 420 West 19th Street New York, NY 10027
Workplace:Department of Economics, New York University, (more information at EDIRC)

Access statistics for papers by Jushan Bai.

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

Short-id: pba53


Jump to Journal Articles

Working Papers

2007

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

2005

  1. 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 Downloads

2004

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

2001

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

2000

  1. Determining the Number of Factors in Approximate Factor Models
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations

    See also Journal Article in Econometrica (2002)

1998

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

1996

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

1995

  1. Estimating & Testing Linear Models with Multiple Structural Changes
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
  2. 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)
  3. 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) Downloads View citations

    See also Journal Article in Econometrica (1998)

1994

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

1993

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

1992

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

1991

  1. 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 Downloads View citations
  2. Panel Data Models With Interactive Fixed Effects
    Econometrica, 2009, 77, (4), 1229-1279 Downloads View citations
  3. Panel cointegration with global stochastic trends
    Journal of Econometrics, 2009, 149, (1), 82-99 Downloads 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 Downloads
  5. Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
    Review of Economic Studies, 2009, 76, (2), 471-501 Downloads
    See also Working Paper (2004)

2008

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

2007

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

2006

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

2005

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

2004

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

2003

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

2002

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

2001

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

1999

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

1998

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

1997

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

1996

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

1995

  1. Least Absolute Deviation Estimation of a Shift
    Econometric Theory, 1995, 11, (03), 403-436 Downloads View citations
 
 
Page updated 2009-11-07