Details about Jushan Bai

Access statistics for papers by Jushan Bai.

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Short-id: pba53

Working Papers

2012

1. Efficient Estimation of Approximate Factor Models
   MPRA Paper, University Library of Munich, Germany
2. Identification and estimation of dynamic factor models
   MPRA Paper, University Library of Munich, Germany
3. Maximum likelihood estimation and inference for approximate factor models of high dimension
   MPRA Paper, University Library of Munich, Germany
4. Theory and methods of panel data models with interactive effects
   MPRA Paper, University Library of Munich, Germany

2011

5. Conditional Markov chain and its application in economic time series analysis
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article in Journal of Applied Econometrics (2011)

2009

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

2007

7. Olive: a simple method for estimating betas when factors are measured with error
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in Journal of Financial Research (2011)
8. Panel Cointegration with Global Stochastic Trends
   Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (2)
   See also Journal Article in Journal of Econometrics (2009)

2005

9. 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 View citations (2)

2004

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

2001

13. 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 (7)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (7)
14. A PANIC Attack on Unit Roots and Cointegration
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (13)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (15)
    See also Journal Article in Econometrica (2004)
15. Tests for Skewness, Kurtosis, and Normality for Time Series Data
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2005)

2000

16. Determining the Number of Factors in Approximate Factor Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (14)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (20)
    See also Journal Article in Econometrica (2002)
17. 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 View citations (11)
    See also Journal Article in Annals of Economics and Finance (2000)

1998

18. A Test for Conditional Symmetry in Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
19. Computation and Analysis of Multiple Structural-Change Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (12)
    See also Journal Article in Journal of Applied Econometrics (2003)
20. Estimation of multiple-regime regressions with least absolutes deviation
    MPRA Paper, University Library of Munich, Germany View citations (1)

1996

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

1995

23. Estimating & Testing Linear Models with Multiple Structural Changes
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
24. 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)
25. Estimating and Testing Linear Models with Multiple Structural Changes
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (9)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (48)
    See also Journal Article in Econometrica (1998)

1994

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

1993

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

1992

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

1991

33. 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) View citations (1)

Journal Articles

2011

1. Conditional Markov chain and its application in economic time series analysis
   Journal of Applied Econometrics, 2011, 26, (5), 715-734 View citations (3)
   See also Working Paper (2011)
2. Estimating High Dimensional Covariance Matrices and its Applications
   Annals of Economics and Finance, 2011, 12, (2), 199-215 View citations (1)
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 (3)
   See also Working Paper (2007)

2010

4. Common breaks in means and variances for panel data
   Journal of Econometrics, 2010, 157, (1), 78-92 View citations (3)
5. INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
   Econometric Theory, 2010, 26, (06), 1577-1606 View citations (12)
6. PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
   Econometric Theory, 2010, 26, (04), 1088-1114 View citations (5)

2009

7. Boosting diffusion indices
   Journal of Applied Econometrics, 2009, 24, (4), 607-629 View citations (8)
8. Panel Data Models With Interactive Fixed Effects
   Econometrica, 2009, 77, (4), 1229-1279 View citations (31)
9. Panel cointegration with global stochastic trends
   Journal of Econometrics, 2009, 149, (1), 82-99 View citations (36)
   See also Working Paper (2007)
10. Selecting Instrumental Variables in a Data Rich Environment
    Journal of Time Series Econometrics, 2009, 1, (1), 4 View citations (2)
11. 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

12. Extremum Estimation when the Predictors are Estimated from Large Panels
    Annals of Economics and Finance, 2008, 9, (2), 201-222 View citations (4)
13. Forecasting economic time series using targeted predictors
    Journal of Econometrics, 2008, 146, (2), 304-317 View citations (33)
14. Generic consistency of the break-point estimators under specification errors in a multiple-break model
    Econometrics Journal, 2008, 11, (2), 287-307 View citations (3)
15. Testing multivariate distributions in GARCH models
    Journal of Econometrics, 2008, 143, (1), 19-36 View citations (4)

2007

16. Determining the Number of Primitive Shocks in Factor Models
    Journal of Business & Economic Statistics, 2007, 25, 52-60 View citations (77)

2006

17. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
    Econometrica, 2006, 74, (4), 1133-1150 View citations (29)
18. Evaluating latent and observed factors in macroeconomics and finance
    Journal of Econometrics, 2006, 131, (1-2), 507-537 View citations (36)
    See also Working Paper (2004)

2005

19. Tests for Skewness, Kurtosis, and Normality for Time Series Data
    Journal of Business & Economic Statistics, 2005, 23, 49-60 View citations (14)
    See also Working Paper (2001)

2004

20. A PANIC Attack on Unit Roots and Cointegration
    Econometrica, 2004, 72, (4), 1127-1177 View citations (265)
    See also Working Paper (2001)
21. Estimating cross-section common stochastic trends in nonstationary panel data
    Journal of Econometrics, 2004, 122, (1), 137-183 View citations (59)

2003

22. Computation and analysis of multiple structural change models
    Journal of Applied Econometrics, 2003, 18, (1), 1-22 View citations (506)
    See also Working Paper (1998)
23. Critical values for multiple structural change tests
    Econometrics Journal, 2003, 6, (1), 72-78 View citations (69)
24. Inferential Theory for Factor Models of Large Dimensions
    Econometrica, 2003, 71, (1), 135-171 View citations (217)
25. Testing Parametric Conditional Distributions of Dynamic Models
    The Review of Economics and Statistics, 2003, 85, (3), 531-549 View citations (47)

2002

26. Determining the Number of Factors in Approximate Factor Models
    Econometrica, 2002, 70, (1), 191-221 View citations (531)
    See also Working Paper (2000)

2001

27. A consistent test for conditional symmetry in time series models
    Journal of Econometrics, 2001, 103, (1-2), 225-258 View citations (24)

2000

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

1999

29. Likelihood ratio tests for multiple structural changes
    Journal of Econometrics, 1999, 91, (2), 299-323 View citations (58)

1998

30. A NOTE ON SPURIOUS BREAK
    Econometric Theory, 1998, 14, (05), 663-669 View citations (16)
31. Estimating and Testing Linear Models with Multiple Structural Changes
    Econometrica, 1998, 66, (1), 47-78 View citations (735)
    See also Working Paper (1995)
32. Testing for and Dating Common Breaks in Multivariate Time Series
    Review of Economic Studies, 1998, 65, (3), 395-432 View citations (128)

1997

33. Estimating Multiple Breaks One at a Time
    Econometric Theory, 1997, 13, (03), 315-352 View citations (131)
    See also Working Paper (1995)
34. Estimation Of A Change Point In Multiple Regression Models
    The Review of Economics and Statistics, 1997, 79, (4), 551-563 View citations (114)

1996

35. Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
    Econometrica, 1996, 64, (3), 597-622 View citations (12)

1995

36. Least Absolute Deviation Estimation of a Shift
    Econometric Theory, 1995, 11, (03), 403-436 View citations (19)

Software Items