Details about Jushan Bai

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 2024-02-25. Update your information in the RePEc Author Service.

Short-id: pba53

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Working Papers

2025

1. Bayesian inference for dynamic spatial quantile models with interactive effects
   MPRA Paper, University Library of Munich, Germany
   Also in Papers, arXiv.org (2025)
2. Efficiency of QMLE for dynamic panel data models with interactive effects
   Papers, arXiv.org
3. Singularity-Based Consistent QML Estimation of Multiple Breakpoints in High-Dimensional Factor Models
   Papers, arXiv.org

2024

4. Causal inference using factor models
   MPRA Paper, University Library of Munich, Germany View citations (1)
5. Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network
   Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston View citations (2)
   See also Journal Article Scenario-based quantile connectedness of the U.S. interbank liquidity risk network, Journal of Econometrics, Elsevier (2024) View citations (2) (2024)

2023

6. Approximate Factor Models with Weaker Loadings
   Papers, arXiv.org View citations (24)
   See also Journal Article Approximate factor models with weaker loadings, Journal of Econometrics, Elsevier (2023) View citations (10) (2023)
7. Likelihood ratio test for structural changes in factor models
   Papers, arXiv.org
   See also Journal Article The likelihood ratio test for structural changes in factor models, Journal of Econometrics, Elsevier (2024) (2024)

2022

8. Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions
   Papers, arXiv.org View citations (1)
   See also Journal Article Factor-based imputation of missing values and covariances in panel data of large dimensions, Journal of Econometrics, Elsevier (2023) View citations (12) (2023)

2021

9. Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity
   MPRA Paper, University Library of Munich, Germany
10. Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
    Papers, arXiv.org View citations (48)
    See also Journal Article Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data, Journal of the American Statistical Association, Taylor & Francis Journals (2021) View citations (42) (2021)
11. Quasi-maximum likelihood estimation of break point in high-dimensional factor models
    Papers, arXiv.org
    See also Journal Article Quasi-maximum likelihood estimation of break point in high-dimensional factor models, Journal of Econometrics, Elsevier (2023) View citations (5) (2023)

2020

12. Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations
    Papers, arXiv.org View citations (8)
    See also Journal Article Feasible generalized least squares for panel data with cross-sectional and serial correlations, Empirical Economics, Springer (2021) View citations (55) (2021)
13. Simpler Proofs for Approximate Factor Models of Large Dimensions
    Papers, arXiv.org View citations (6)
14. Standard Errors for Panel Data Models with Unknown Clusters
    Papers, arXiv.org View citations (2)
    See also Journal Article Standard errors for panel data models with unknown clusters, Journal of Econometrics, Elsevier (2024) View citations (2) (2024)

2019

15. A Quantile-based Asset Pricing Model
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
16. Robust Principal Component Analysis with Non-Sparse Errors
    Papers, arXiv.org View citations (6)

2018

17. 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 Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity, Journal of the American Statistical Association, Taylor & Francis Journals (2020) View citations (49) (2020)

2017

18. Practical notes on panel data models with interactive effects
    MPRA Paper, University Library of Munich, Germany
19. Principal Components and Regularized Estimation of Factor Models
    Papers, arXiv.org View citations (15)

2014

20. 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 A simple new test for slope homogeneity in panel data models with interactive effects, Economics Letters, Elsevier (2015) View citations (21) (2015)
21. Estimation and inference of FAVAR models
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Estimation and Inference of FAVAR Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (39) (2016)
22. Spatial panel data models with common shocks
    MPRA Paper, University Library of Munich, Germany View citations (10)

2013

23. Likelihood approach to dynamic panel models with interactive effects
    MPRA Paper, University Library of Munich, Germany View citations (18)
    See also Journal Article Likelihood approach to dynamic panel models with interactive effects, Journal of Econometrics, Elsevier (2024) View citations (1) (2024)
24. 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)
25. 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 Panel Data Models with Grouped Factor Structure Under Unknown Group Membership, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (74) (2016)

2012

26. Efficient Estimation of Approximate Factor Models
    MPRA Paper, University Library of Munich, Germany View citations (8)
27. Identification and estimation of dynamic factor models
    MPRA Paper, University Library of Munich, Germany View citations (23)
28. Maximum likelihood estimation and inference for approximate factor models of high dimension
    MPRA Paper, University Library of Munich, Germany View citations (6)
    See also Journal Article Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension, The Review of Economics and Statistics, MIT Press (2016) View citations (70) (2016)
29. Theory and Applications of TAR Model with Two Threshold Variables
    MPRA Paper, University Library of Munich, Germany View citations (22)
    See also Journal Article Theory and Applications of TAR Model with Two Threshold Variables, Econometric Reviews, Taylor & Francis Journals (2012) View citations (16) (2012)
30. Theory and methods of panel data models with interactive effects
    MPRA Paper, University Library of Munich, Germany View citations (6)

2011

31. Conditional Markov chain and its application in economic time series analysis
    MPRA Paper, University Library of Munich, Germany View citations (21)
    See also Journal Article Conditional Markov chain and its application in economic time series analysis, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (20) (2011)

2009

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

2007

33. Olive: a simple method for estimating betas when factors are measured with error
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR, Journal of Financial Research, Southern Finance Association (2011) View citations (7) (2011)
34. 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 Panel cointegration with global stochastic trends, Journal of Econometrics, Elsevier (2009) View citations (232) (2009)

2005

35. 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 (11)

2004

36. Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
    Econometrics, University Library of Munich, Germany View citations (7)
37. Evaluating Latent and Observed Factors in Macroeconomics and Financ
    Econometrics, University Library of Munich, Germany View citations (4)
    See also Journal Article Evaluating latent and observed factors in macroeconomics and finance, Journal of Econometrics, Elsevier (2006) View citations (123) (2006)
38. Structural changes, common stochastic trends and unit roots in panel data
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (6)
    See also Journal Article Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data, The Review of Economic Studies, Review of Economic Studies Ltd (2009) View citations (167) (2009)

2001

39. A New Look at Panel Testing of Stationarity and the PPP Hypothesis
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (10)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2001) View citations (10)
40. 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 A PANIC Attack on Unit Roots and Cointegration, Econometrica, Econometric Society (2004) View citations (1018) (2004)
41. 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 Tests for Skewness, Kurtosis, and Normality for Time Series Data, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (189) (2005)

2000

42. Determining the Number of Factors in Approximate Factor Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (29)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (34)
    See also Journal Article Determining the Number of Factors in Approximate Factor Models, Econometrica, Econometric Society (2002) View citations (2649) (2002)
43. 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 (72)
    See also Journal Article Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices, Annals of Economics and Finance, Society for AEF (2000) View citations (71) (2000)

1998

44. A Test for Conditional Symmetry in Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
45. Computation and Analysis of Multiple Structural-Change Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (61)
    See also Journal Article Computation and analysis of multiple structural change models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2003) View citations (2969) (2003)
46. Estimation of multiple-regime regressions with least absolutes deviation
    MPRA Paper, University Library of Munich, Germany View citations (16)

1996

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

1995

49. Estimating & Testing Linear Models with Multiple Structural Changes
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (10)
50. Estimating Multiple Breaks One at a Time
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (4)
    See also Journal Article Estimating Multiple Breaks One at a Time, Econometric Theory, Cambridge University Press (1997) View citations (442) (1997)
51. 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 Estimating and Testing Linear Models with Multiple Structural Changes, Econometrica, Econometric Society (1998) View citations (3483) (1998)

1994

52. Estimation of Structural Change Based on Wald-Type Statistics
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (2)
53. Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (12)

1993

54. Least squares estimation of a shift in linear processes
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES, Journal of Time Series Analysis, Wiley Blackwell (1994) View citations (166) (1994)
55. 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 Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach, Econometrica, Econometric Society (1996) View citations (39) (1996)
56. Weak convergence of the sequential empirical processes of residuals in ARMA models
    MPRA Paper, University Library of Munich, Germany View citations (2)

1992

57. 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

58. 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

2024

1. Likelihood approach to dynamic panel models with interactive effects
   Journal of Econometrics, 2024, 240, (1) View citations (1)
   See also Working Paper Likelihood approach to dynamic panel models with interactive effects, MPRA Paper (2013) View citations (18) (2013)
2. Reprint of: The likelihood ratio test for structural changes in factor models
   Journal of Econometrics, 2024, 244, (2)
3. Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
   Journal of Econometrics, 2024, 244, (2) View citations (2)
   See also Working Paper Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network, Supervisory Research and Analysis Working Papers (2024) View citations (2) (2024)
4. Standard errors for panel data models with unknown clusters
   Journal of Econometrics, 2024, 240, (2) View citations (2)
   See also Working Paper Standard Errors for Panel Data Models with Unknown Clusters, Papers (2020) View citations (2) (2020)
5. The likelihood ratio test for structural changes in factor models
   Journal of Econometrics, 2024, 238, (2)
   See also Working Paper Likelihood ratio test for structural changes in factor models, Papers (2023) (2023)

2023

6. Approximate factor models with weaker loadings
   Journal of Econometrics, 2023, 235, (2), 1893-1916 View citations (10)
   See also Working Paper Approximate Factor Models with Weaker Loadings, Papers (2023) View citations (24) (2023)
7. Factor-based imputation of missing values and covariances in panel data of large dimensions
   Journal of Econometrics, 2023, 233, (1), 113-131 View citations (12)
   See also Working Paper Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions, Papers (2022) View citations (1) (2022)
8. Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity
   Journal of Business & Economic Statistics, 2023, 41, (3), 983-994 View citations (4)
9. Quasi-maximum likelihood estimation of break point in high-dimensional factor models
   Journal of Econometrics, 2023, 233, (1), 209-236 View citations (5)
   See also Working Paper Quasi-maximum likelihood estimation of break point in high-dimensional factor models, Papers (2021) (2021)

2022

10. Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
    Journal of Econometrics, 2022, 230, (1), 20-38 View citations (3)

2021

11. Dynamic spatial panel data models with common shocks
    Journal of Econometrics, 2021, 224, (1), 134-160 View citations (24)
12. Feasible generalized least squares for panel data with cross-sectional and serial correlations
    Empirical Economics, 2021, 60, (1), 309-326 View citations (55)
    See also Working Paper Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations, Papers (2020) View citations (8) (2020)
13. Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
    Journal of the American Statistical Association, 2021, 116, (536), 1746-1763 View citations (42)
    See also Working Paper Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data, Papers (2021) View citations (48) (2021)

2020

14. Estimation and inference of change points in high-dimensional factor models
    Journal of Econometrics, 2020, 219, (1), 66-100 View citations (18)
15. 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 (49)
    See also Working Paper Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity, MPRA Paper (2018) View citations (1) (2018)

2019

16. Rank regularized estimation of approximate factor models
    Journal of Econometrics, 2019, 212, (1), 78-96 View citations (36)

2018

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

2017

18. 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 (69)
19. Inferences in panel data with interactive effects using large covariance matrices
    Journal of Econometrics, 2017, 200, (1), 59-78 View citations (16)

2016

20. Cross‐Sectional Dependence in Panel Data Models: A Special Issue
    Journal of Applied Econometrics, 2016, 31, (1), 1-3 View citations (8)
21. Econometric Analysis of Large Factor Models
    Annual Review of Economics, 2016, 8, (1), 53-80 View citations (57)
22. Efficient estimation of approximate factor models via penalized maximum likelihood
    Journal of Econometrics, 2016, 191, (1), 1-18 View citations (39)
23. Estimation and Inference of FAVAR Models
    Journal of Business & Economic Statistics, 2016, 34, (4), 620-641 View citations (39)
    See also Working Paper Estimation and inference of FAVAR models, MPRA Paper (2014) View citations (1) (2014)
24. 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 (70)
    See also Working Paper Maximum likelihood estimation and inference for approximate factor models of high dimension, MPRA Paper (2012) View citations (6) (2012)
25. Panel Data Models with Grouped Factor Structure Under Unknown Group Membership
    Journal of Applied Econometrics, 2016, 31, (1), 163-191 View citations (74)
    See also Working Paper Panel data models with grouped factor structure under unknown group membership, MPRA Paper (2013) View citations (9) (2013)
26. Special Issue on Big Data
    Journal of Business & Economic Statistics, 2016, 34, (4), 487-488 View citations (1)
27. Structural Changes in High Dimensional Factor Models
    Frontiers of Economics in China-Selected Publications from Chinese Universities, 2016, 11, (1), 9-39 View citations (10)

2015

28. A simple new test for slope homogeneity in panel data models with interactive effects
    Economics Letters, 2015, 136, (C), 112-117 View citations (21)
    See also Working Paper A simple new test for slope homogeneity in panel data models with interactive effects, MPRA Paper (2014) View citations (2) (2014)
29. Asset Pricing with a General Multifactor Structure
    Journal of Financial Econometrics, 2015, 13, (3), 556-604 View citations (38)
30. Fama–MacBeth two-pass regressions: Improving risk premia estimates
    Finance Research Letters, 2015, 15, (C), 31-40 View citations (9)
31. Identification and Bayesian Estimation of Dynamic Factor Models
    Journal of Business & Economic Statistics, 2015, 33, (2), 221-240 View citations (113)

2014

32. Identification theory for high dimensional static and dynamic factor models
    Journal of Econometrics, 2014, 178, (2), 794-804 View citations (27)

2013

33. Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method
    Econometrica, 2013, 81, (1), 285-314 View citations (54)
34. Principal components estimation and identification of static factors
    Journal of Econometrics, 2013, 176, (1), 18-29 View citations (182)
35. Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors
    Econometrics Journal, 2013, 16, (2), 222-249 View citations (18)

2012

36. Theory and Applications of TAR Model with Two Threshold Variables
    Econometric Reviews, 2012, 31, (2), 142-170 View citations (16)
    See also Working Paper Theory and Applications of TAR Model with Two Threshold Variables, MPRA Paper (2012) View citations (22) (2012)

2011

37. Conditional Markov chain and its application in economic time series analysis
    Journal of Applied Econometrics, 2011, 26, (5), 715-734 View citations (20)
    See also Working Paper Conditional Markov chain and its application in economic time series analysis, MPRA Paper (2011) View citations (21) (2011)
38. Estimating High Dimensional Covariance Matrices and its Applications
    Annals of Economics and Finance, 2011, 12, (2), 199-215 View citations (46)
39. OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR
    Journal of Financial Research, 2011, 34, (1), 27-60 View citations (7)
    See also Working Paper Olive: a simple method for estimating betas when factors are measured with error, MPRA Paper (2007) (2007)

2010

40. Common breaks in means and variances for panel data
    Journal of Econometrics, 2010, 157, (1), 78-92 View citations (122)
41. INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
    Econometric Theory, 2010, 26, (6), 1577-1606 View citations (105)
42. PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
    Econometric Theory, 2010, 26, (4), 1088-1114 View citations (99)

2009

43. Boosting diffusion indices
    Journal of Applied Econometrics, 2009, 24, (4), 607-629 View citations (89)
44. Panel Data Models With Interactive Fixed Effects
    Econometrica, 2009, 77, (4), 1229-1279 View citations (1099)
45. Panel cointegration with global stochastic trends
    Journal of Econometrics, 2009, 149, (1), 82-99 View citations (232)
    See also Working Paper Panel Cointegration with Global Stochastic Trends, Center for Policy Research Working Papers (2007) View citations (6) (2007)
46. Selecting Instrumental Variables in a Data Rich Environment
    Journal of Time Series Econometrics, 2009, 1, (1), 34 View citations (30)
47. Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
    The Review of Economic Studies, 2009, 76, (2), 471-501 View citations (167)
    See also Working Paper Structural changes, common stochastic trends and unit roots in panel data, Econometric Society 2004 North American Summer Meetings (2004) View citations (6) (2004)

2008

48. Extremum Estimation when the Predictors are Estimated from Large Panels
    Annals of Economics and Finance, 2008, 9, (2), 201-222 View citations (23)
49. Forecasting economic time series using targeted predictors
    Journal of Econometrics, 2008, 146, (2), 304-317 View citations (425)
50. Generic consistency of the break-point estimators under specification errors in a multiple-break model
    Econometrics Journal, 2008, 11, (2), 287-307 View citations (25)
51. Large Dimensional Factor Analysis
    Foundations and Trends(R) in Econometrics, 2008, 3, (2), 89-163 View citations (241)
52. Testing multivariate distributions in GARCH models
    Journal of Econometrics, 2008, 143, (1), 19-36 View citations (31)

2007

53. Determining the Number of Primitive Shocks in Factor Models
    Journal of Business & Economic Statistics, 2007, 25, 52-60 View citations (401)

2006

54. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
    Econometrica, 2006, 74, (4), 1133-1150 View citations (453)
55. Evaluating latent and observed factors in macroeconomics and finance
    Journal of Econometrics, 2006, 131, (1-2), 507-537 View citations (123)
    See also Working Paper Evaluating Latent and Observed Factors in Macroeconomics and Financ, Econometrics (2004) View citations (4) (2004)

2005

56. Tests for Skewness, Kurtosis, and Normality for Time Series Data
    Journal of Business & Economic Statistics, 2005, 23, 49-60 View citations (189)
    See also Working Paper Tests for Skewness, Kurtosis, and Normality for Time Series Data, Boston College Working Papers in Economics (2001) View citations (7) (2001)

2004

57. A PANIC Attack on Unit Roots and Cointegration
    Econometrica, 2004, 72, (4), 1127-1177 View citations (1018)
    See also Working Paper A PANIC Attack on Unit Roots and Cointegration, Boston College Working Papers in Economics (2001) View citations (23) (2001)
58. Estimating cross-section common stochastic trends in nonstationary panel data
    Journal of Econometrics, 2004, 122, (1), 137-183 View citations (229)

2003

59. Computation and analysis of multiple structural change models
    Journal of Applied Econometrics, 2003, 18, (1), 1-22 View citations (2969)
    See also Working Paper Computation and Analysis of Multiple Structural-Change Models, Cahiers de recherche (1998) View citations (61) (1998)
60. Critical values for multiple structural change tests
    Econometrics Journal, 2003, 6, (1), 72-78 View citations (410)
61. Inferential Theory for Factor Models of Large Dimensions
    Econometrica, 2003, 71, (1), 135-171 View citations (1142)
62. Testing Parametric Conditional Distributions of Dynamic Models
    The Review of Economics and Statistics, 2003, 85, (3), 531-549 View citations (147)

2002

63. Determining the Number of Factors in Approximate Factor Models
    Econometrica, 2002, 70, (1), 191-221 View citations (2649)
    See also Working Paper Determining the Number of Factors in Approximate Factor Models, Boston College Working Papers in Economics (2000) View citations (29) (2000)

2001

64. A consistent test for conditional symmetry in time series models
    Journal of Econometrics, 2001, 103, (1-2), 225-258 View citations (67)

2000

65. 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 (71)
    See also Working Paper Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices, CEMA Working Papers (2000) View citations (72) (2000)

1999

66. Likelihood ratio tests for multiple structural changes
    Journal of Econometrics, 1999, 91, (2), 299-323 View citations (117)

1998

67. A NOTE ON SPURIOUS BREAK
    Econometric Theory, 1998, 14, (5), 663-669 View citations (33)
68. Estimating and Testing Linear Models with Multiple Structural Changes
    Econometrica, 1998, 66, (1), 47-78 View citations (3483)
    See also Working Paper Estimating and Testing Linear Models with Multiple Structural Changes, Cahiers de recherche (1995) View citations (48) (1995)
69. Testing For and Dating Common Breaks in Multivariate Time Series
    The Review of Economic Studies, 1998, 65, (3), 395-432 View citations (310)

1997

70. Estimating Multiple Breaks One at a Time
    Econometric Theory, 1997, 13, (3), 315-352 View citations (442)
    See also Working Paper Estimating Multiple Breaks One at a Time, Working papers (1995) View citations (4) (1995)
71. Estimation Of A Change Point In Multiple Regression Models
    The Review of Economics and Statistics, 1997, 79, (4), 551-563 View citations (378)

1996

72. Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
    Econometrica, 1996, 64, (3), 597-622 View citations (39)
    See also Working Paper Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach, Working papers (1993) (1993)

1995

73. Least Absolute Deviation Estimation of a Shift
    Econometric Theory, 1995, 11, (3), 403-436 View citations (44)

1994

74. LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
    Journal of Time Series Analysis, 1994, 15, (5), 453-472 View citations (166)
    See also Working Paper Least squares estimation of a shift in linear processes, MPRA Paper (1993) View citations (3) (1993)

1993

75. ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
    Journal of Time Series Analysis, 1993, 14, (3), 247-260 View citations (9)

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