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)

Access statistics for papers by Jushan Bai.

Last updated 2021-03-20. Update your information in the RePEc Author Service.

Short-id: pba53

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Jump to Journal Articles Software Items

Working Papers

2022

1. Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions
   Papers, arXiv.org

2021

2. Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
   Papers, arXiv.org View citations (9)
3. Quasi-maximum likelihood estimation of break point in high-dimensional factor models
   Papers, arXiv.org

2020

4. 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)
5. Simpler Proofs for Approximate Factor Models of Large Dimensions
   Papers, arXiv.org View citations (2)
6. Standard Errors for Panel Data Models with Unknown Clusters
   Papers, arXiv.org

2019

7. A Quantile-based Asset Pricing Model
   Economics and Statistics Working Papers, Singapore Management University, School of Economics
8. Robust Principal Component Analysis with Non-Sparse Errors
   Papers, arXiv.org View citations (5)

2018

9. 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

10. Practical notes on panel data models with interactive effects
    MPRA Paper, University Library of Munich, Germany
11. Principal Components and Regularized Estimation of Factor Models
    Papers, arXiv.org View citations (11)

2014

12. 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)
13. 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)
14. Spatial panel data models with common shocks
    MPRA Paper, University Library of Munich, Germany View citations (6)

2013

15. Likelihood approach to dynamic panel models with interactive effects
    MPRA Paper, University Library of Munich, Germany View citations (12)
16. 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)
17. 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

18. Efficient Estimation of Approximate Factor Models
    MPRA Paper, University Library of Munich, Germany View citations (8)
19. Identification and estimation of dynamic factor models
    MPRA Paper, University Library of Munich, Germany View citations (23)
20. 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)
21. 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)
22. Theory and methods of panel data models with interactive effects
    MPRA Paper, University Library of Munich, Germany View citations (5)

2011

23. 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

24. Testing Panel Cointegration with Unobservable Dynamic Common Factors
    MPRA Paper, University Library of Munich, Germany View citations (1)

2007

25. 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)
26. 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

27. 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

28. Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
    Econometrics, University Library of Munich, Germany View citations (6)
29. 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)
30. 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

31. 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)
32. 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)
33. 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

34. 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)
35. 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

36. A Test for Conditional Symmetry in Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
37. 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)
38. Estimation of multiple-regime regressions with least absolutes deviation
    MPRA Paper, University Library of Munich, Germany View citations (12)

1996

39. A Note on Spurious Break and Regime Shift in Cointegrating Relationship
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (3)
40. An Inequality for Vector-Valued Martingales and Its Applications
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (4)

1995

41. Estimating & Testing Linear Models with Multiple Structural Changes
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (10)
42. 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)
43. 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

44. Estimation of Structural Change Based on Wald-Type Statistics
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (2)
45. Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (9)

1993

46. 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)
47. 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)
48. Weak convergence of the sequential empirical processes of residuals in ARMA models
    MPRA Paper, University Library of Munich, Germany View citations (2)

1992

49. 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

50. 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

1. 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

2. Estimation and inference of change points in high-dimensional factor models
   Journal of Econometrics, 2020, 219, (1), 66-100 View citations (5)
3. 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

4. Rank regularized estimation of approximate factor models
   Journal of Econometrics, 2019, 212, (1), 78-96 View citations (10)

2018

5. Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency
   Econometric Reviews, 2018, 37, (3), 183-211 View citations (1)

2017

6. 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)
7. Inferences in panel data with interactive effects using large covariance matrices
   Journal of Econometrics, 2017, 200, (1), 59-78 View citations (11)

2016

8. Cross‐Sectional Dependence in Panel Data Models: A Special Issue
   Journal of Applied Econometrics, 2016, 31, (1), 1-3 View citations (6)
9. Econometric Analysis of Large Factor Models
   Annual Review of Economics, 2016, 8, (1), 53-80 View citations (22)
10. Efficient estimation of approximate factor models via penalized maximum likelihood
    Journal of Econometrics, 2016, 191, (1), 1-18 View citations (19)
11. Estimation and Inference of FAVAR Models
    Journal of Business & Economic Statistics, 2016, 34, (4), 620-641 View citations (27)
    See also Working Paper (2014)
12. 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)
13. 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)
14. Special Issue on Big Data
    Journal of Business & Economic Statistics, 2016, 34, (4), 487-488 View citations (1)
15. Structural Changes in High Dimensional Factor Models
    Frontiers of Economics in China, 2016, 11, (1), 9-39 View citations (6)

2015

16. 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)
17. Asset Pricing with a General Multifactor Structure
    Journal of Financial Econometrics, 2015, 13, (3), 556-604 View citations (25)
18. Fama–MacBeth two-pass regressions: Improving risk premia estimates
    Finance Research Letters, 2015, 15, (C), 31-40 View citations (7)
19. Identification and Bayesian Estimation of Dynamic Factor Models
    Journal of Business & Economic Statistics, 2015, 33, (2), 221-240 View citations (67)

2014

20. Identification theory for high dimensional static and dynamic factor models
    Journal of Econometrics, 2014, 178, (2), 794-804 View citations (22)

2013

21. Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method
    Econometrica, 2013, 81, (1), 285-314 View citations (33)
22. Principal components estimation and identification of static factors
    Journal of Econometrics, 2013, 176, (1), 18-29 View citations (121)
23. 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

24. 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

25. 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)
26. Estimating High Dimensional Covariance Matrices and its Applications
    Annals of Economics and Finance, 2011, 12, (2), 199-215 View citations (36)
27. 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

28. Common breaks in means and variances for panel data
    Journal of Econometrics, 2010, 157, (1), 78-92 View citations (88)
29. INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
    Econometric Theory, 2010, 26, (6), 1577-1606 View citations (84)
30. PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
    Econometric Theory, 2010, 26, (4), 1088-1114 View citations (63)

2009

31. Boosting diffusion indices
    Journal of Applied Econometrics, 2009, 24, (4), 607-629 View citations (73)
32. Panel Data Models With Interactive Fixed Effects
    Econometrica, 2009, 77, (4), 1229-1279 View citations (755)
33. Panel cointegration with global stochastic trends
    Journal of Econometrics, 2009, 149, (1), 82-99 View citations (174)
    See also Working Paper (2007)
34. Selecting Instrumental Variables in a Data Rich Environment
    Journal of Time Series Econometrics, 2009, 1, (1), 1-34 View citations (21)
35. 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

36. Extremum Estimation when the Predictors are Estimated from Large Panels
    Annals of Economics and Finance, 2008, 9, (2), 201-222 View citations (20)
37. Forecasting economic time series using targeted predictors
    Journal of Econometrics, 2008, 146, (2), 304-317 View citations (313)
38. 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)
39. Large Dimensional Factor Analysis
    Foundations and Trends(R) in Econometrics, 2008, 3, (2), 89-163 View citations (204)
40. Testing multivariate distributions in GARCH models
    Journal of Econometrics, 2008, 143, (1), 19-36 View citations (30)

2007

41. Determining the Number of Primitive Shocks in Factor Models
    Journal of Business & Economic Statistics, 2007, 25, 52-60 View citations (344)

2006

42. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
    Econometrica, 2006, 74, (4), 1133-1150 View citations (342)
43. 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

44. 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

45. A PANIC Attack on Unit Roots and Cointegration
    Econometrica, 2004, 72, (4), 1127-1177 View citations (876)
    See also Working Paper (2001)
46. Estimating cross-section common stochastic trends in nonstationary panel data
    Journal of Econometrics, 2004, 122, (1), 137-183 View citations (197)

2003

47. 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)
48. Critical values for multiple structural change tests
    Econometrics Journal, 2003, 6, (1), 72-78 View citations (334)
49. Inferential Theory for Factor Models of Large Dimensions
    Econometrica, 2003, 71, (1), 135-171 View citations (920)
50. Testing Parametric Conditional Distributions of Dynamic Models
    The Review of Economics and Statistics, 2003, 85, (3), 531-549 View citations (138)

2002

51. Determining the Number of Factors in Approximate Factor Models
    Econometrica, 2002, 70, (1), 191-221 View citations (2184)
    See also Working Paper (2000)

2001

52. A consistent test for conditional symmetry in time series models
    Journal of Econometrics, 2001, 103, (1-2), 225-258 View citations (57)

2000

53. 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

54. Likelihood ratio tests for multiple structural changes
    Journal of Econometrics, 1999, 91, (2), 299-323 View citations (108)

1998

55. A NOTE ON SPURIOUS BREAK
    Econometric Theory, 1998, 14, (5), 663-669 View citations (29)
56. Estimating and Testing Linear Models with Multiple Structural Changes
    Econometrica, 1998, 66, (1), 47-78 View citations (2881)
    See also Working Paper (1995)
57. Testing For and Dating Common Breaks in Multivariate Time Series
    Review of Economic Studies, 1998, 65, (3), 395-432 View citations (282)

1997

58. Estimating Multiple Breaks One at a Time
    Econometric Theory, 1997, 13, (3), 315-352 View citations (359)
    See also Working Paper (1995)
59. Estimation Of A Change Point In Multiple Regression Models
    The Review of Economics and Statistics, 1997, 79, (4), 551-563 View citations (341)

1996

60. 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

61. Least Absolute Deviation Estimation of a Shift
    Econometric Theory, 1995, 11, (3), 403-436 View citations (38)

1994

62. 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

63. 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

1. COMMONBREAKS: MATLAB functions to estimate common breaks for panel data
   Statistical Software Components, Boston College Department of Economics

2015

2. INTERACTIVEEFFECTS: MATLAB function to estimate interactive fixed effects models
   Statistical Software Components, Boston College Department of Economics