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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

2024

  1. Causal inference using factor models
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Efficiency of QMLE for dynamic panel data models with interactive effects
    Papers, arXiv.org Downloads
  3. Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network
    Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston Downloads

2023

  1. Approximate Factor Models with Weaker Loadings
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article Approximate factor models with weaker loadings, Journal of Econometrics, Elsevier (2023) Downloads View citations (2) (2023)
  2. Likelihood ratio test for structural changes in factor models
    Papers, arXiv.org Downloads
    See also Journal Article The likelihood ratio test for structural changes in factor models, Journal of Econometrics, Elsevier (2024) Downloads (2024)

2022

  1. Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions
    Papers, arXiv.org Downloads 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) Downloads View citations (5) (2023)

2021

  1. Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
    Papers, arXiv.org Downloads View citations (30)
    See also Journal Article Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data, Journal of the American Statistical Association, Taylor & Francis Journals (2021) Downloads View citations (24) (2021)
  3. Quasi-maximum likelihood estimation of break point in high-dimensional factor models
    Papers, arXiv.org Downloads
    See also Journal Article Quasi-maximum likelihood estimation of break point in high-dimensional factor models, Journal of Econometrics, Elsevier (2023) Downloads View citations (3) (2023)

2020

  1. Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article Feasible generalized least squares for panel data with cross-sectional and serial correlations, Empirical Economics, Springer (2021) Downloads View citations (29) (2021)
  2. Simpler Proofs for Approximate Factor Models of Large Dimensions
    Papers, arXiv.org Downloads View citations (6)
  3. Standard Errors for Panel Data Models with Unknown Clusters
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article Standard errors for panel data models with unknown clusters, Journal of Econometrics, Elsevier (2024) Downloads (2024)

2019

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

2018

  1. Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (34) (2020)

2017

  1. Practical notes on panel data models with interactive effects
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Principal Components and Regularized Estimation of Factor Models
    Papers, arXiv.org Downloads View citations (13)

2014

  1. A simple new test for slope homogeneity in panel data models with interactive effects
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (17) (2015)
  2. Estimation and inference of FAVAR models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article Estimation and Inference of FAVAR Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) Downloads View citations (38) (2016)
  3. Spatial panel data models with common shocks
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)

2013

  1. Likelihood approach to dynamic panel models with interactive effects
    MPRA Paper, University Library of Munich, Germany Downloads View citations (17)
    See also Journal Article Likelihood approach to dynamic panel models with interactive effects, Journal of Econometrics, Elsevier (2024) Downloads (2024)
  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 View citations (1)
  3. Panel data models with grouped factor structure under unknown group membership
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (59) (2016)

2012

  1. Efficient Estimation of Approximate Factor Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)
  2. Identification and estimation of dynamic factor models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (23)
  3. Maximum likelihood estimation and inference for approximate factor models of high dimension
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    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) Downloads View citations (56) (2016)
  4. Theory and Applications of TAR Model with Two Threshold Variables
    MPRA Paper, University Library of Munich, Germany Downloads View citations (21)
    See also Journal Article Theory and Applications of TAR Model with Two Threshold Variables, Econometric Reviews, Taylor & Francis Journals (2012) Downloads View citations (15) (2012)
  5. Theory and methods of panel data models with interactive effects
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)

2011

  1. Conditional Markov chain and its application in economic time series analysis
    MPRA Paper, University Library of Munich, Germany Downloads View citations (18)
    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 (17) (2011)

2009

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

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 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)
  2. Panel Cointegration with Global Stochastic Trends
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University Downloads View citations (6)
    See also Journal Article Panel cointegration with global stochastic trends, Journal of Econometrics, Elsevier (2009) Downloads View citations (215) (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 (11)

2004

  1. Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
    Econometrics, University Library of Munich, Germany Downloads View citations (7)
  2. Evaluating Latent and Observed Factors in Macroeconomics and Financ
    Econometrics, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article Evaluating latent and observed factors in macroeconomics and finance, Journal of Econometrics, Elsevier (2006) Downloads View citations (116) (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 (5)
    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) Downloads View citations (151) (2009)

2001

  1. 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) Downloads View citations (10)
  2. A PANIC Attack on Unit Roots and Cointegration
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads 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) Downloads View citations (951) (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 (7)
    See also Journal Article Tests for Skewness, Kurtosis, and Normality for Time Series Data, Journal of Business & Economic Statistics, American Statistical Association (2005) Downloads View citations (183) (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 (29)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (34)

    See also Journal Article Determining the Number of Factors in Approximate Factor Models, Econometrica, Econometric Society (2002) View citations (2484) (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 (66)
    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) Downloads View citations (65) (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 (61)
    See also Journal Article Computation and analysis of multiple structural change models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2003) Downloads View citations (2814) (2003)
  3. Estimation of multiple-regime regressions with least absolutes deviation
    MPRA Paper, University Library of Munich, Germany Downloads View citations (16)

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 (3)
  2. An Inequality for Vector-Valued Martingales and Its Applications
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (4)

1995

  1. Estimating & Testing Linear Models with Multiple Structural Changes
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (10)
  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 Estimating Multiple Breaks One at a Time, Econometric Theory, Cambridge University Press (1997) Downloads View citations (417) (1997)
  3. Estimating and Testing Linear Models with Multiple Structural Changes
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (16)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (48)

    See also Journal Article Estimating and Testing Linear Models with Multiple Structural Changes, Econometrica, Econometric Society (1998) View citations (3306) (1998)

1994

  1. Estimation of Structural Change Based on Wald-Type Statistics
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (2)
  2. Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (11)

1993

  1. Least squares estimation of a shift in linear processes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    See also Journal Article LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES, Journal of Time Series Analysis, Wiley Blackwell (1994) Downloads View citations (159) (1994)
  2. 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) Downloads View citations (38) (1996)
  3. Weak convergence of the sequential empirical processes of residuals in ARMA models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

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 View citations (1)
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1992) 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 View citations (2)
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1991) Downloads View citations (2)

Journal Articles

2024

  1. Likelihood approach to dynamic panel models with interactive effects
    Journal of Econometrics, 2024, 240, (1) Downloads
    See also Working Paper Likelihood approach to dynamic panel models with interactive effects, MPRA Paper (2013) Downloads View citations (17) (2013)
  2. Standard errors for panel data models with unknown clusters
    Journal of Econometrics, 2024, 240, (2) Downloads
    See also Working Paper Standard Errors for Panel Data Models with Unknown Clusters, Papers (2020) Downloads View citations (2) (2020)
  3. The likelihood ratio test for structural changes in factor models
    Journal of Econometrics, 2024, 238, (2) Downloads
    See also Working Paper Likelihood ratio test for structural changes in factor models, Papers (2023) Downloads (2023)

2023

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

2022

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

2021

  1. Dynamic spatial panel data models with common shocks
    Journal of Econometrics, 2021, 224, (1), 134-160 Downloads View citations (12)
  2. Feasible generalized least squares for panel data with cross-sectional and serial correlations
    Empirical Economics, 2021, 60, (1), 309-326 Downloads View citations (29)
    See also Working Paper Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations, Papers (2020) Downloads View citations (5) (2020)
  3. Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
    Journal of the American Statistical Association, 2021, 116, (536), 1746-1763 Downloads View citations (24)
    See also Working Paper Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data, Papers (2021) Downloads View citations (30) (2021)

2020

  1. Estimation and inference of change points in high-dimensional factor models
    Journal of Econometrics, 2020, 219, (1), 66-100 Downloads View citations (15)
  2. Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
    Journal of the American Statistical Association, 2020, 115, (529), 266-279 Downloads View citations (34)
    See also Working Paper Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity, MPRA Paper (2018) Downloads View citations (1) (2018)

2019

  1. Rank regularized estimation of approximate factor models
    Journal of Econometrics, 2019, 212, (1), 78-96 Downloads View citations (24)

2018

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

2017

  1. 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 Downloads View citations (58)
  2. Inferences in panel data with interactive effects using large covariance matrices
    Journal of Econometrics, 2017, 200, (1), 59-78 Downloads View citations (13)

2016

  1. Cross‐Sectional Dependence in Panel Data Models: A Special Issue
    Journal of Applied Econometrics, 2016, 31, (1), 1-3 Downloads View citations (8)
  2. Econometric Analysis of Large Factor Models
    Annual Review of Economics, 2016, 8, (1), 53-80 Downloads View citations (50)
  3. Efficient estimation of approximate factor models via penalized maximum likelihood
    Journal of Econometrics, 2016, 191, (1), 1-18 Downloads View citations (31)
  4. Estimation and Inference of FAVAR Models
    Journal of Business & Economic Statistics, 2016, 34, (4), 620-641 Downloads View citations (38)
    See also Working Paper Estimation and inference of FAVAR models, MPRA Paper (2014) Downloads View citations (1) (2014)
  5. Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension
    The Review of Economics and Statistics, 2016, 98, (2), 298-309 Downloads View citations (56)
    See also Working Paper Maximum likelihood estimation and inference for approximate factor models of high dimension, MPRA Paper (2012) Downloads View citations (5) (2012)
  6. Panel Data Models with Grouped Factor Structure Under Unknown Group Membership
    Journal of Applied Econometrics, 2016, 31, (1), 163-191 Downloads View citations (59)
    See also Working Paper Panel data models with grouped factor structure under unknown group membership, MPRA Paper (2013) Downloads View citations (9) (2013)
  7. Special Issue on Big Data
    Journal of Business & Economic Statistics, 2016, 34, (4), 487-488 Downloads View citations (1)
  8. Structural Changes in High Dimensional Factor Models
    Frontiers of Economics in China-Selected Publications from Chinese Universities, 2016, 11, (1), 9-39 Downloads View citations (10)

2015

  1. A simple new test for slope homogeneity in panel data models with interactive effects
    Economics Letters, 2015, 136, (C), 112-117 Downloads View citations (17)
    See also Working Paper A simple new test for slope homogeneity in panel data models with interactive effects, MPRA Paper (2014) Downloads View citations (2) (2014)
  2. Asset Pricing with a General Multifactor Structure
    Journal of Financial Econometrics, 2015, 13, (3), 556-604 Downloads View citations (34)
  3. Fama–MacBeth two-pass regressions: Improving risk premia estimates
    Finance Research Letters, 2015, 15, (C), 31-40 Downloads View citations (9)
  4. Identification and Bayesian Estimation of Dynamic Factor Models
    Journal of Business & Economic Statistics, 2015, 33, (2), 221-240 Downloads View citations (99)

2014

  1. Identification theory for high dimensional static and dynamic factor models
    Journal of Econometrics, 2014, 178, (2), 794-804 Downloads View citations (25)

2013

  1. Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method
    Econometrica, 2013, 81, (1), 285-314 Downloads View citations (52)
  2. Principal components estimation and identification of static factors
    Journal of Econometrics, 2013, 176, (1), 18-29 Downloads View citations (160)
  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 (18)

2012

  1. Theory and Applications of TAR Model with Two Threshold Variables
    Econometric Reviews, 2012, 31, (2), 142-170 Downloads View citations (15)
    See also Working Paper Theory and Applications of TAR Model with Two Threshold Variables, MPRA Paper (2012) Downloads View citations (21) (2012)

2011

  1. 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 Conditional Markov chain and its application in economic time series analysis, MPRA Paper (2011) Downloads View citations (18) (2011)
  2. Estimating High Dimensional Covariance Matrices and its Applications
    Annals of Economics and Finance, 2011, 12, (2), 199-215 Downloads View citations (44)
  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 (7)
    See also Working Paper Olive: a simple method for estimating betas when factors are measured with error, MPRA Paper (2007) Downloads (2007)

2010

  1. Common breaks in means and variances for panel data
    Journal of Econometrics, 2010, 157, (1), 78-92 Downloads View citations (108)
  2. INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
    Econometric Theory, 2010, 26, (6), 1577-1606 Downloads View citations (104)
  3. PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
    Econometric Theory, 2010, 26, (4), 1088-1114 Downloads View citations (90)

2009

  1. Boosting diffusion indices
    Journal of Applied Econometrics, 2009, 24, (4), 607-629 Downloads View citations (83)
  2. Panel Data Models With Interactive Fixed Effects
    Econometrica, 2009, 77, (4), 1229-1279 Downloads View citations (959)
  3. Panel cointegration with global stochastic trends
    Journal of Econometrics, 2009, 149, (1), 82-99 Downloads View citations (215)
    See also Working Paper Panel Cointegration with Global Stochastic Trends, Center for Policy Research Working Papers (2007) Downloads View citations (6) (2007)
  4. Selecting Instrumental Variables in a Data Rich Environment
    Journal of Time Series Econometrics, 2009, 1, (1), 1-34 Downloads View citations (29)
  5. Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
    The Review of Economic Studies, 2009, 76, (2), 471-501 Downloads View citations (151)
    See also Working Paper Structural changes, common stochastic trends and unit roots in panel data, Econometric Society 2004 North American Summer Meetings (2004) Downloads View citations (5) (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 (20)
  2. Forecasting economic time series using targeted predictors
    Journal of Econometrics, 2008, 146, (2), 304-317 Downloads View citations (375)
  3. 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)
  4. Large Dimensional Factor Analysis
    Foundations and Trends(R) in Econometrics, 2008, 3, (2), 89-163 Downloads View citations (231)
  5. Testing multivariate distributions in GARCH models
    Journal of Econometrics, 2008, 143, (1), 19-36 Downloads View citations (30)

2007

  1. Determining the Number of Primitive Shocks in Factor Models
    Journal of Business & Economic Statistics, 2007, 25, 52-60 Downloads View citations (386)

2006

  1. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
    Econometrica, 2006, 74, (4), 1133-1150 Downloads View citations (419)
  2. Evaluating latent and observed factors in macroeconomics and finance
    Journal of Econometrics, 2006, 131, (1-2), 507-537 Downloads View citations (116)
    See also Working Paper Evaluating Latent and Observed Factors in Macroeconomics and Financ, Econometrics (2004) Downloads View citations (4) (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 (183)
    See also Working Paper Tests for Skewness, Kurtosis, and Normality for Time Series Data, Boston College Working Papers in Economics (2001) Downloads View citations (7) (2001)

2004

  1. A PANIC Attack on Unit Roots and Cointegration
    Econometrica, 2004, 72, (4), 1127-1177 Downloads View citations (951)
    See also Working Paper A PANIC Attack on Unit Roots and Cointegration, Boston College Working Papers in Economics (2001) Downloads View citations (23) (2001)
  2. Estimating cross-section common stochastic trends in nonstationary panel data
    Journal of Econometrics, 2004, 122, (1), 137-183 Downloads View citations (216)

2003

  1. Computation and analysis of multiple structural change models
    Journal of Applied Econometrics, 2003, 18, (1), 1-22 Downloads View citations (2814)
    See also Working Paper Computation and Analysis of Multiple Structural-Change Models, Cahiers de recherche (1998) Downloads View citations (61) (1998)
  2. Critical values for multiple structural change tests
    Econometrics Journal, 2003, 6, (1), 72-78 View citations (380)
  3. Inferential Theory for Factor Models of Large Dimensions
    Econometrica, 2003, 71, (1), 135-171 View citations (1066)
  4. Testing Parametric Conditional Distributions of Dynamic Models
    The Review of Economics and Statistics, 2003, 85, (3), 531-549 Downloads View citations (143)

2002

  1. Determining the Number of Factors in Approximate Factor Models
    Econometrica, 2002, 70, (1), 191-221 View citations (2484)
    See also Working Paper Determining the Number of Factors in Approximate Factor Models, Boston College Working Papers in Economics (2000) Downloads View citations (29) (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 (61)

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 (65)
    See also Working Paper Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices, CEMA Working Papers (2000) Downloads View citations (66) (2000)

1999

  1. Likelihood ratio tests for multiple structural changes
    Journal of Econometrics, 1999, 91, (2), 299-323 Downloads View citations (113)

1998

  1. A NOTE ON SPURIOUS BREAK
    Econometric Theory, 1998, 14, (5), 663-669 Downloads View citations (31)
  2. Estimating and Testing Linear Models with Multiple Structural Changes
    Econometrica, 1998, 66, (1), 47-78 View citations (3306)
    See also Working Paper Estimating and Testing Linear Models with Multiple Structural Changes, Cahiers de recherche (1995) View citations (16) (1995)
  3. Testing For and Dating Common Breaks in Multivariate Time Series
    The Review of Economic Studies, 1998, 65, (3), 395-432 Downloads View citations (307)

1997

  1. Estimating Multiple Breaks One at a Time
    Econometric Theory, 1997, 13, (3), 315-352 Downloads View citations (417)
    See also Working Paper Estimating Multiple Breaks One at a Time, Working papers (1995) View citations (4) (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 (368)

1996

  1. Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
    Econometrica, 1996, 64, (3), 597-622 Downloads View citations (38)
    See also Working Paper Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach, Working papers (1993) (1993)

1995

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

1994

  1. LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
    Journal of Time Series Analysis, 1994, 15, (5), 453-472 Downloads View citations (159)
    See also Working Paper Least squares estimation of a shift in linear processes, MPRA Paper (1993) Downloads View citations (3) (1993)

1993

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

2015

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