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Details about Jushan Bai

E-mail:
Homepage:http://www.columbia.edu/~jb3064/
Phone:(212) 854-8033
Postal address:Department of Economics Columbia University 1022 IAB 420 West 118th Street New York, NY 10027
Workplace:Department of Economics, School of Arts and Sciences, Columbia University, (more information at EDIRC)
China Economics and Management Academy, Central University of Finance and Economics (CUFE), (more information at EDIRC)

Access statistics for papers by Jushan Bai.

Last updated 2014-03-28. Update your information in the RePEc Author Service.

Short-id: pba53


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Working Papers

2014

  1. Spatial panel data models with common shocks
    MPRA Paper, University Library of Munich, Germany Downloads

2013

  1. Likelihood approach to dynamic panel models with interactive effects
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Panel data models with grouped factor structure under unknown group membership
    MPRA Paper, University Library of Munich, Germany Downloads

2012

  1. Efficient Estimation of Approximate Factor Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
  2. Identification and estimation of dynamic factor models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  3. Maximum likelihood estimation and inference for approximate factor models of high dimension
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  4. Theory and Applications of TAR Model with Two Threshold Variables
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  5. Theory and methods of panel data models with interactive effects
    MPRA Paper, University Library of Munich, Germany Downloads

2011

  1. Conditional Markov chain and its application in economic time series analysis
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)
    See also Journal Article in Journal of Applied Econometrics (2011)

2009

  1. Testing Panel Cointegration with Unobservable Dynamic Common Factors
    MPRA Paper, University Library of Munich, Germany Downloads

2007

  1. Olive: a simple method for estimating betas when factors are measured with error
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Financial Research (2011)
  2. Panel Cointegration with Global Stochastic Trends
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University Downloads View citations (2)
    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 View citations (2)

2004

  1. Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
    Econometrics, EconWPA Downloads View citations (4)
  2. Evaluating Latent and Observed Factors in Macroeconomics and Financ
    Econometrics, EconWPA Downloads View citations (4)
    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 (3)
    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 (7)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (7)
  2. A PANIC Attack on Unit Roots and Cointegration
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (15)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (17)

    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 (4)
    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 (17)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (23)

    See also Journal Article in Econometrica (2002)
  2. Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics Downloads View citations (14)
    See also Journal Article in Annals of Economics and Finance (2000)

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)
  2. Computation and Analysis of Multiple Structural-Change Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (16)
    See also Journal Article in Journal of Applied Econometrics (2003)
  3. Estimation of multiple-regime regressions with least absolutes deviation
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

1996

  1. A Note on Spurious Break and Regime Shift in Cointegrating Relationship
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (1)
  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 (4)
    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 (10)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (45)

    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 View citations (1)
  2. Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics

1993

  1. Least squares estimation of a shift in linear processes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
  3. Weak convergence of the sequential empirical processes of residuals in ARMA models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

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
  2. the Impact of 1989 California Major Anti-Smoking Legislation Cigarette Consumption: Three Years Later
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley Downloads View citations (1)

1991

  1. The Impact of a Large Tax Increase on Cigarette Consumption: The Case of California
    Economics Working Papers, University of California at Berkeley
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1991) Downloads View citations (1)

Journal Articles

2014

  1. Identification theory for high dimensional static and dynamic factor models
    Journal of Econometrics, 2014, 178, (2), 794-804 Downloads

2013

  1. Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method
    Econometrica, 2013, 81, (1), 285-314 Downloads View citations (6)
  2. Principal components estimation and identification of static factors
    Journal of Econometrics, 2013, 176, (1), 18-29 Downloads View citations (5)
  3. Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors
    Econometrics Journal, 2013, 16, (2), 222-249 Downloads View citations (1)

2011

  1. Conditional Markov chain and its application in economic time series analysis
    Journal of Applied Econometrics, 2011, 26, (5), 715-734 View citations (9)
    See also Working Paper (2011)
  2. Estimating High Dimensional Covariance Matrices and its Applications
    Annals of Economics and Finance, 2011, 12, (2), 199-215 Downloads View citations (6)
  3. OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR
    Journal of Financial Research, 2011, 34, (1), 27-60 View citations (2)
    See also Working Paper (2007)

2010

  1. Common breaks in means and variances for panel data
    Journal of Econometrics, 2010, 157, (1), 78-92 Downloads View citations (9)
  2. INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
    Econometric Theory, 2010, 26, (06), 1577-1606 Downloads View citations (22)
  3. PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
    Econometric Theory, 2010, 26, (04), 1088-1114 Downloads View citations (14)

2009

  1. Boosting diffusion indices
    Journal of Applied Econometrics, 2009, 24, (4), 607-629 Downloads View citations (12)
  2. Panel Data Models With Interactive Fixed Effects
    Econometrica, 2009, 77, (4), 1229-1279 Downloads View citations (82)
  3. Panel cointegration with global stochastic trends
    Journal of Econometrics, 2009, 149, (1), 82-99 Downloads View citations (63)
    See also Working Paper (2007)
  4. Selecting Instrumental Variables in a Data Rich Environment
    Journal of Time Series Econometrics, 2009, 1, (1), 1-34 Downloads View citations (3)
  5. Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
    Review of Economic Studies, 2009, 76, (2), 471-501 Downloads View citations (26)
    See also Working Paper (2004)

2008

  1. Extremum Estimation when the Predictors are Estimated from Large Panels
    Annals of Economics and Finance, 2008, 9, (2), 201-222 Downloads View citations (6)
  2. Forecasting economic time series using targeted predictors
    Journal of Econometrics, 2008, 146, (2), 304-317 Downloads View citations (62)
  3. 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 (4)
  4. Large Dimensional Factor Analysis
    Foundations and Trends(R) in Econometrics, 2008, 3, (2), 89-163 Downloads View citations (30)
  5. Testing multivariate distributions in GARCH models
    Journal of Econometrics, 2008, 143, (1), 19-36 Downloads View citations (12)

2007

  1. Determining the Number of Primitive Shocks in Factor Models
    Journal of Business & Economic Statistics, 2007, 25, 52-60 Downloads View citations (140)

2006

  1. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
    Econometrica, 2006, 74, (4), 1133-1150 Downloads View citations (58)
  2. Evaluating latent and observed factors in macroeconomics and finance
    Journal of Econometrics, 2006, 131, (1-2), 507-537 Downloads View citations (48)
    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 (33)
    See also Working Paper (2001)

2004

  1. A PANIC Attack on Unit Roots and Cointegration
    Econometrica, 2004, 72, (4), 1127-1177 Downloads View citations (386)
    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 (86)

2003

  1. Computation and analysis of multiple structural change models
    Journal of Applied Econometrics, 2003, 18, (1), 1-22 Downloads View citations (761)
    See also Working Paper (1998)
  2. Critical values for multiple structural change tests
    Econometrics Journal, 2003, 6, (1), 72-78 Downloads View citations (94)
  3. Inferential Theory for Factor Models of Large Dimensions
    Econometrica, 2003, 71, (1), 135-171 Downloads View citations (324)
  4. Testing Parametric Conditional Distributions of Dynamic Models
    The Review of Economics and Statistics, 2003, 85, (3), 531-549 Downloads View citations (74)

2002

  1. Determining the Number of Factors in Approximate Factor Models
    Econometrica, 2002, 70, (1), 191-221 Downloads View citations (788)
    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 (31)

2000

  1. Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices
    Annals of Economics and Finance, 2000, 1, (2), 303-339 Downloads View citations (10)
    See also Working Paper (2000)

1999

  1. Likelihood ratio tests for multiple structural changes
    Journal of Econometrics, 1999, 91, (2), 299-323 Downloads View citations (68)

1998

  1. A NOTE ON SPURIOUS BREAK
    Econometric Theory, 1998, 14, (05), 663-669 Downloads View citations (21)
  2. Estimating and Testing Linear Models with Multiple Structural Changes
    Econometrica, 1998, 66, (1), 47-78 View citations (1060)
    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 (152)

1997

  1. Estimating Multiple Breaks One at a Time
    Econometric Theory, 1997, 13, (03), 315-352 Downloads View citations (163)
    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 (147)

1996

  1. Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
    Econometrica, 1996, 64, (3), 597-622 Downloads View citations (17)

1995

  1. Least Absolute Deviation Estimation of a Shift
    Econometric Theory, 1995, 11, (03), 403-436 Downloads View citations (20)

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Page updated 2014-10-31