Details about Jushan Bai
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Short-id: pba53
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Working Papers
2022
- Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions
Papers, arXiv.org
2021
- Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
Papers, arXiv.org View citations (9)
- Quasi-maximum likelihood estimation of break point in high-dimensional factor models
Papers, arXiv.org
2020
- Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations
Papers, arXiv.org View citations (1)
See also Journal Article in Empirical Economics (2021)
- Simpler Proofs for Approximate Factor Models of Large Dimensions
Papers, arXiv.org View citations (2)
- Standard Errors for Panel Data Models with Unknown Clusters
Papers, arXiv.org
2019
- A Quantile-based Asset Pricing Model
Economics and Statistics Working Papers, Singapore Management University, School of Economics
- Robust Principal Component Analysis with Non-Sparse Errors
Papers, arXiv.org View citations (5)
2018
- Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity
MPRA Paper, University Library of Munich, Germany View citations (1)
See also Journal Article in Journal of the American Statistical Association (2020)
2017
- Practical notes on panel data models with interactive effects
MPRA Paper, University Library of Munich, Germany
- Principal Components and Regularized Estimation of Factor Models
Papers, arXiv.org View citations (11)
2014
- A simple new test for slope homogeneity in panel data models with interactive effects
MPRA Paper, University Library of Munich, Germany View citations (2)
See also Journal Article in Economics Letters (2015)
- Estimation and inference of FAVAR models
MPRA Paper, University Library of Munich, Germany View citations (1)
See also Journal Article in Journal of Business & Economic Statistics (2016)
- Spatial panel data models with common shocks
MPRA Paper, University Library of Munich, Germany View citations (6)
2013
- Likelihood approach to dynamic panel models with interactive effects
MPRA Paper, University Library of Munich, Germany View citations (12)
- 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 View citations (1)
- Panel data models with grouped factor structure under unknown group membership
MPRA Paper, University Library of Munich, Germany View citations (9)
See also Journal Article in Journal of Applied Econometrics (2016)
2012
- Efficient Estimation of Approximate Factor Models
MPRA Paper, University Library of Munich, Germany View citations (8)
- Identification and estimation of dynamic factor models
MPRA Paper, University Library of Munich, Germany View citations (23)
- Maximum likelihood estimation and inference for approximate factor models of high dimension
MPRA Paper, University Library of Munich, Germany View citations (5)
See also Journal Article in The Review of Economics and Statistics (2016)
- Theory and Applications of TAR Model with Two Threshold Variables
MPRA Paper, University Library of Munich, Germany View citations (20)
See also Journal Article in Econometric Reviews (2012)
- Theory and methods of panel data models with interactive effects
MPRA Paper, University Library of Munich, Germany View citations (5)
2011
- Conditional Markov chain and its application in economic time series analysis
MPRA Paper, University Library of Munich, Germany View citations (18)
See also Journal Article in Journal of Applied Econometrics (2011)
2009
- Testing Panel Cointegration with Unobservable Dynamic Common Factors
MPRA Paper, University Library of Munich, Germany View citations (1)
2007
- 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)
- Panel Cointegration with Global Stochastic Trends
Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (6)
See also Journal Article in Journal of Econometrics (2009)
2005
- 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 (10)
2004
- Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
Econometrics, University Library of Munich, Germany View citations (6)
- Evaluating Latent and Observed Factors in Macroeconomics and Financ
Econometrics, University Library of Munich, Germany View citations (4)
See also Journal Article in Journal of Econometrics (2006)
- Structural changes, common stochastic trends and unit roots in panel data
Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (5)
See also Journal Article in Review of Economic Studies (2009)
2001
- 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 (9)
Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (9)
- A PANIC Attack on Unit Roots and Cointegration
Boston College Working Papers in Economics, Boston College Department of Economics View citations (23)
Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (25)
See also Journal Article in Econometrica (2004)
- Tests for Skewness, Kurtosis, and Normality for Time Series Data
Boston College Working Papers in Economics, Boston College Department of Economics View citations (7)
See also Journal Article in Journal of Business & Economic Statistics (2005)
2000
- Determining the Number of Factors in Approximate Factor Models
Boston College Working Papers in Economics, Boston College Department of Economics View citations (31)
Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (36)
See also Journal Article in Econometrica (2002)
- 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 (54)
See also Journal Article in Annals of Economics and Finance (2000)
1998
- A Test for Conditional Symmetry in Time Series Models
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
- Computation and Analysis of Multiple Structural-Change Models
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (58)
See also Journal Article in Journal of Applied Econometrics (2003)
- Estimation of multiple-regime regressions with least absolutes deviation
MPRA Paper, University Library of Munich, Germany View citations (12)
1996
- A Note on Spurious Break and Regime Shift in Cointegrating Relationship
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (3)
- An Inequality for Vector-Valued Martingales and Its Applications
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (4)
1995
- Estimating & Testing Linear Models with Multiple Structural Changes
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (10)
- 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)
- Estimating and Testing Linear Models with Multiple Structural Changes
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (48)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (16)
See also Journal Article in Econometrica (1998)
1994
- Estimation of Structural Change Based on Wald-Type Statistics
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (2)
- Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (9)
1993
- Least squares estimation of a shift in linear processes
MPRA Paper, University Library of Munich, Germany View citations (3)
See also Journal Article in Journal of Time Series Analysis (1994)
- Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
See also Journal Article in Econometrica (1996)
- Weak convergence of the sequential empirical processes of residuals in ARMA models
MPRA Paper, University Library of Munich, Germany View citations (2)
1992
- The Impact of 1989 California Major Anti-Smoking Legislation on Cigarette Consumption: Three Years Later
Economics Working Papers, University of California at Berkeley View citations (1)
Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1992) View citations (1)
1991
- The Impact of a Large Tax Increase on Cigarette Consumption: The Case of California
Economics Working Papers, University of California at Berkeley View citations (2)
Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1991) View citations (2)
Journal Articles
2021
- Feasible generalized least squares for panel data with cross-sectional and serial correlations
Empirical Economics, 2021, 60, (1), 309-326 View citations (4)
See also Working Paper (2020)
2020
- Estimation and inference of change points in high-dimensional factor models
Journal of Econometrics, 2020, 219, (1), 66-100 View citations (5)
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
Journal of the American Statistical Association, 2020, 115, (529), 266-279 View citations (10)
See also Working Paper (2018)
2019
- Rank regularized estimation of approximate factor models
Journal of Econometrics, 2019, 212, (1), 78-96 View citations (10)
2018
- Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency
Econometric Reviews, 2018, 37, (3), 183-211 View citations (1)
2017
- Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures
Journal of the American Statistical Association, 2017, 112, (519), 1182-1198 View citations (28)
- Inferences in panel data with interactive effects using large covariance matrices
Journal of Econometrics, 2017, 200, (1), 59-78 View citations (11)
2016
- Cross‐Sectional Dependence in Panel Data Models: A Special Issue
Journal of Applied Econometrics, 2016, 31, (1), 1-3 View citations (6)
- Econometric Analysis of Large Factor Models
Annual Review of Economics, 2016, 8, (1), 53-80 View citations (22)
- Efficient estimation of approximate factor models via penalized maximum likelihood
Journal of Econometrics, 2016, 191, (1), 1-18 View citations (19)
- Estimation and Inference of FAVAR Models
Journal of Business & Economic Statistics, 2016, 34, (4), 620-641 View citations (27)
See also Working Paper (2014)
- Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension
The Review of Economics and Statistics, 2016, 98, (2), 298-309 View citations (34)
See also Working Paper (2012)
- Panel Data Models with Grouped Factor Structure Under Unknown Group Membership
Journal of Applied Econometrics, 2016, 31, (1), 163-191 View citations (33)
See also Working Paper (2013)
- Special Issue on Big Data
Journal of Business & Economic Statistics, 2016, 34, (4), 487-488 View citations (1)
- Structural Changes in High Dimensional Factor Models
Frontiers of Economics in China, 2016, 11, (1), 9-39 View citations (6)
2015
- A simple new test for slope homogeneity in panel data models with interactive effects
Economics Letters, 2015, 136, (C), 112-117 View citations (12)
See also Working Paper (2014)
- Asset Pricing with a General Multifactor Structure
Journal of Financial Econometrics, 2015, 13, (3), 556-604 View citations (25)
- Fama–MacBeth two-pass regressions: Improving risk premia estimates
Finance Research Letters, 2015, 15, (C), 31-40 View citations (7)
- Identification and Bayesian Estimation of Dynamic Factor Models
Journal of Business & Economic Statistics, 2015, 33, (2), 221-240 View citations (67)
2014
- Identification theory for high dimensional static and dynamic factor models
Journal of Econometrics, 2014, 178, (2), 794-804 View citations (22)
2013
- Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method
Econometrica, 2013, 81, (1), 285-314 View citations (33)
- Principal components estimation and identification of static factors
Journal of Econometrics, 2013, 176, (1), 18-29 View citations (121)
- Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors
Econometrics Journal, 2013, 16, (2), 222-249 View citations (16)
2012
- Theory and Applications of TAR Model with Two Threshold Variables
Econometric Reviews, 2012, 31, (2), 142-170 View citations (11)
See also Working Paper (2012)
2011
- Conditional Markov chain and its application in economic time series analysis
Journal of Applied Econometrics, 2011, 26, (5), 715-734 View citations (17)
See also Working Paper (2011)
- Estimating High Dimensional Covariance Matrices and its Applications
Annals of Economics and Finance, 2011, 12, (2), 199-215 View citations (36)
- OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR
Journal of Financial Research, 2011, 34, (1), 27-60 View citations (6)
See also Working Paper (2007)
2010
- Common breaks in means and variances for panel data
Journal of Econometrics, 2010, 157, (1), 78-92 View citations (88)
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
Econometric Theory, 2010, 26, (6), 1577-1606 View citations (84)
- PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
Econometric Theory, 2010, 26, (4), 1088-1114 View citations (63)
2009
- Boosting diffusion indices
Journal of Applied Econometrics, 2009, 24, (4), 607-629 View citations (73)
- Panel Data Models With Interactive Fixed Effects
Econometrica, 2009, 77, (4), 1229-1279 View citations (755)
- Panel cointegration with global stochastic trends
Journal of Econometrics, 2009, 149, (1), 82-99 View citations (174)
See also Working Paper (2007)
- Selecting Instrumental Variables in a Data Rich Environment
Journal of Time Series Econometrics, 2009, 1, (1), 1-34 View citations (21)
- Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
Review of Economic Studies, 2009, 76, (2), 471-501 View citations (119)
See also Working Paper (2004)
2008
- Extremum Estimation when the Predictors are Estimated from Large Panels
Annals of Economics and Finance, 2008, 9, (2), 201-222 View citations (20)
- Forecasting economic time series using targeted predictors
Journal of Econometrics, 2008, 146, (2), 304-317 View citations (313)
- Generic consistency of the break-point estimators under specification errors in a multiple-break model
Econometrics Journal, 2008, 11, (2), 287-307 View citations (23)
- Large Dimensional Factor Analysis
Foundations and Trends(R) in Econometrics, 2008, 3, (2), 89-163 View citations (204)
- Testing multivariate distributions in GARCH models
Journal of Econometrics, 2008, 143, (1), 19-36 View citations (30)
2007
- Determining the Number of Primitive Shocks in Factor Models
Journal of Business & Economic Statistics, 2007, 25, 52-60 View citations (344)
2006
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
Econometrica, 2006, 74, (4), 1133-1150 View citations (342)
- Evaluating latent and observed factors in macroeconomics and finance
Journal of Econometrics, 2006, 131, (1-2), 507-537 View citations (102)
See also Working Paper (2004)
2005
- Tests for Skewness, Kurtosis, and Normality for Time Series Data
Journal of Business & Economic Statistics, 2005, 23, 49-60 View citations (153)
See also Working Paper (2001)
2004
- A PANIC Attack on Unit Roots and Cointegration
Econometrica, 2004, 72, (4), 1127-1177 View citations (876)
See also Working Paper (2001)
- Estimating cross-section common stochastic trends in nonstationary panel data
Journal of Econometrics, 2004, 122, (1), 137-183 View citations (197)
2003
- Computation and analysis of multiple structural change models
Journal of Applied Econometrics, 2003, 18, (1), 1-22 View citations (2514)
See also Working Paper (1998)
- Critical values for multiple structural change tests
Econometrics Journal, 2003, 6, (1), 72-78 View citations (334)
- Inferential Theory for Factor Models of Large Dimensions
Econometrica, 2003, 71, (1), 135-171 View citations (920)
- Testing Parametric Conditional Distributions of Dynamic Models
The Review of Economics and Statistics, 2003, 85, (3), 531-549 View citations (138)
2002
- Determining the Number of Factors in Approximate Factor Models
Econometrica, 2002, 70, (1), 191-221 View citations (2184)
See also Working Paper (2000)
2001
- A consistent test for conditional symmetry in time series models
Journal of Econometrics, 2001, 103, (1-2), 225-258 View citations (57)
2000
- 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 (50)
See also Working Paper (2000)
1999
- Likelihood ratio tests for multiple structural changes
Journal of Econometrics, 1999, 91, (2), 299-323 View citations (108)
1998
- A NOTE ON SPURIOUS BREAK
Econometric Theory, 1998, 14, (5), 663-669 View citations (29)
- Estimating and Testing Linear Models with Multiple Structural Changes
Econometrica, 1998, 66, (1), 47-78 View citations (2881)
See also Working Paper (1995)
- Testing For and Dating Common Breaks in Multivariate Time Series
Review of Economic Studies, 1998, 65, (3), 395-432 View citations (282)
1997
- Estimating Multiple Breaks One at a Time
Econometric Theory, 1997, 13, (3), 315-352 View citations (359)
See also Working Paper (1995)
- Estimation Of A Change Point In Multiple Regression Models
The Review of Economics and Statistics, 1997, 79, (4), 551-563 View citations (341)
1996
- Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
Econometrica, 1996, 64, (3), 597-622 View citations (30)
See also Working Paper (1993)
1995
- Least Absolute Deviation Estimation of a Shift
Econometric Theory, 1995, 11, (3), 403-436 View citations (38)
1994
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
Journal of Time Series Analysis, 1994, 15, (5), 453-472 View citations (140)
See also Working Paper (1993)
1993
- ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
Journal of Time Series Analysis, 1993, 14, (3), 247-260 View citations (8)
Software Items
2017
- COMMONBREAKS: MATLAB functions to estimate common breaks for panel data
Statistical Software Components, Boston College Department of Economics
2015
- INTERACTIVEEFFECTS: MATLAB function to estimate interactive fixed effects models
Statistical Software Components, Boston College Department of Economics
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