Jushan Bai

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Identifer

Contact

Affiliations

• Columbia University / School of Arts and Sciences / Department of Economics
  • EDIRC entry
  • location:

Research profile

author of:

• Econometric Analysis of Large Factor Models
  Annual Review of Economics, Annual Reviews (2016)
  by Jushan Bai & Peng Wang
  (ReDIF-article, anr:reveco:v:8:y:2016:p:53-80)
• Principal Components and Regularized Estimation of Factor Models
  Papers, arXiv.org (2017)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, arx:papers:1708.08137)
• Robust Principal Component Analysis with Non-Sparse Errors
  Papers, arXiv.org (2019)
  by Jushan Bai & Junlong Feng
  (ReDIF-paper, arx:papers:1902.08735)
• Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
  Papers, arXiv.org (2019)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, arx:papers:1910.06677)
• Standard Errors for Panel Data Models with Unknown Clusters
  Papers, arXiv.org (2019)
  by Jushan Bai & Sung Hoon Choi & Yuan Liao
  (ReDIF-paper, arx:papers:1910.07406)
• Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations
  Papers, arXiv.org (2019)
  by Jushan Bai & Sung Hoon Choi & Yuan Liao
  (ReDIF-paper, arx:papers:1910.09004)
• Simpler Proofs for Approximate Factor Models of Large Dimensions
  Papers, arXiv.org (2020)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, arx:papers:2008.00254)
• Quasi-maximum likelihood estimation of break point in high-dimensional factor models
  Papers, arXiv.org (2021)
  by Jiangtao Duan & Jushan Bai & Xu Han
  (ReDIF-paper, arx:papers:2102.12666)
• Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions
  Papers, arXiv.org (2021)
  by Ercument Cahan & Jushan Bai & Serena Ng
  (ReDIF-paper, arx:papers:2103.03045)
• Approximate Factor Models with Weaker Loadings
  Papers, arXiv.org (2021)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, arx:papers:2109.03773)
• Likelihood ratio test for structural changes in factor models
  Papers, arXiv.org (2022)
  by Jushan Bai & Jiangtao Duan & Xu Han
  (ReDIF-paper, arx:papers:2206.08052)
• Efficiency of QMLE for dynamic panel data models with interactive effects
  Papers, arXiv.org (2023)
  by Jushan Bai
  (ReDIF-paper, arx:papers:2312.07881)
• Tests for Skewness, Kurtosis, and Normality for Time Series Data
  Journal of Business & Economic Statistics, American Statistical Association (2005)
  by Jushan Bai & Serena Ng
  (ReDIF-article, bes:jnlbes:v:23:y:2005:p:49-60)
• Determining the Number of Primitive Shocks in Factor Models
  Journal of Business & Economic Statistics, American Statistical Association (2007)
  by Bai, Jushan & Ng, Serena
  (ReDIF-article, bes:jnlbes:v:25:y:2007:p:52-60)
• Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error
  Journal of Financial Research, Southern Finance Association;Southwestern Finance Association (2011)
  by J. Ginger Meng & Gang Hu & Jushan Bai
  (ReDIF-article, bla:jfnres:v:34:y:2011:i:1:p:27-60)
• On The Partial Sums Of Residuals In Autoregressive And Moving Average Models
  Journal of Time Series Analysis, Wiley Blackwell (1993)
  by Jushan Bai
  (ReDIF-article, bla:jtsera:v:14:y:1993:i:3:p:247-260)
• Least Squares Estimation Of A Shift In Linear Processes
  Journal of Time Series Analysis, Wiley Blackwell (1994)
  by Jushan Bai
  (ReDIF-article, bla:jtsera:v:15:y:1994:i:5:p:453-472)
• INTERACTIVEEFFECTS: MATLAB function to estimate interactive fixed effects models
  Statistical Software Components, Boston College Department of Economics (2015)
  by Jushan Bai
  (ReDIF-software, boc:bocode:m430011)
• COMMONBREAKS: MATLAB functions to estimate common breaks for panel data
  Statistical Software Components, Boston College Department of Economics (2017)
  by Jushan Bai
  (ReDIF-software, boc:bocode:m430012)
• A Test for Conditional Symmetry in Time Series Models
  Boston College Working Papers in Economics, Boston College Department of Economics (1998)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, boc:bocoec:410)
• Determining the Number of Factors in Approximate Factor Models
  Boston College Working Papers in Economics, Boston College Department of Economics (2000)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, boc:bocoec:440)
• Tests for Skewness, Kurtosis, and Normality for Time Series Data
  Boston College Working Papers in Economics, Boston College Department of Economics (2001)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, boc:bocoec:501)
• A New Look at Panel Testing of Stationarity and the PPP Hypothesis
  Boston College Working Papers in Economics, Boston College Department of Economics (2001)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, boc:bocoec:518)
• A PANIC Attack on Unit Roots and Cointegration
  Boston College Working Papers in Economics, Boston College Department of Economics (2001)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, boc:bocoec:519)
• Selecting Instrumental Variables in a Data Rich Environment
  Journal of Time Series Econometrics, De Gruyter (2009)
  by Ng Serena & Bai Jushan
  (ReDIF-article, bpj:jtsmet:v:1:y:2009:i:1:n:4)
• the Impact of 1989 California Major Anti-Smoking Legislation Cigarette Consumption: Three Years Later
  Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1992)
  by Hu, Teh-wei & Bai, Jushan & Barnett, Paul G.
  (ReDIF-paper, cdl:econwp:qt280289bg)
• the Impact of a Large Tax Increase on Cigarette Consumption: The Case of California
  Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1991)
  by Hu, Tah-wei & Bai, Jushan & Keeler, Theodore E. & Barnett, Paul G.
  (ReDIF-paper, cdl:econwp:qt3v9919fh)
• Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices
  Annals of Economics and Finance, Society for AEF (2000)
  by Jushan Bai
  (ReDIF-article, cuf:journl:y:2000:v:1:i:2:p:303-339)
• Extremum Estimation when the Predictors are Estimated from Large Panels
  Annals of Economics and Finance, Society for AEF (2008)
  by Jushan Bai & Serena Ng
  (ReDIF-article, cuf:journl:y:2008:v:9:i:2:p:201-222)
• Estimating High Dimensional Covariance Matrices and its Applications
  Annals of Economics and Finance, Society for AEF (2011)
  by Jushan Bai & Shuzhong Shi
  (ReDIF-article, cuf:journl:y:2011:v:12:i:2:p:199-215)
• 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 (1999)
  by Jushan Bai
  (ReDIF-paper, cuf:wpaper:24)
• Unknown item RePEc:cuf:wpaper:516 (paper)
• Least Absolute Deviation Estimation of a Shift
  Econometric Theory, Cambridge University Press (1995)
  by Bai, Jushan
  (ReDIF-article, cup:etheor:v:11:y:1995:i:03:p:403-436_00)
• Estimating Multiple Breaks One at a Time
  Econometric Theory, Cambridge University Press (1997)
  by Bai, Jushan
  (ReDIF-article, cup:etheor:v:13:y:1997:i:03:p:315-352_00)
• A Note On Spurious Break
  Econometric Theory, Cambridge University Press (1998)
  by Bai, Jushan
  (ReDIF-article, cup:etheor:v:14:y:1998:i:05:p:663-669_14)
• Panel Unit Root Tests With Cross-Section Dependence: A Further Investigation
  Econometric Theory, Cambridge University Press (2010)
  by Bai, Jushan & Ng, Serena
  (ReDIF-article, cup:etheor:v:26:y:2010:i:04:p:1088-1114_99)
• Instrumental Variable Estimation In A Data Rich Environment
  Econometric Theory, Cambridge University Press (2010)
  by Bai, Jushan & Ng, Serena
  (ReDIF-article, cup:etheor:v:26:y:2010:i:06:p:1577-1606_99)
• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
  Econometrica, Econometric Society (1996)
  by Bai, Jushan
  (ReDIF-article, ecm:emetrp:v:64:y:1996:i:3:p:597-622)
• Estimating and Testing Linear Models with Multiple Structural Changes
  Econometrica, Econometric Society (1998)
  by Jushan Bai & Pierre Perron
  (ReDIF-article, ecm:emetrp:v:66:y:1998:i:1:p:47-78)
• Determining the Number of Factors in Approximate Factor Models
  Econometrica, Econometric Society (2002)
  by Jushan Bai & Serena Ng
  (ReDIF-article, ecm:emetrp:v:70:y:2002:i:1:p:191-221)
• Inferential Theory for Factor Models of Large Dimensions
  Econometrica, Econometric Society (2003)
  by Jushan Bai
  (ReDIF-article, ecm:emetrp:v:71:y:2003:i:1:p:135-171)
• A PANIC Attack on Unit Roots and Cointegration
  Econometrica, Econometric Society (2004)
  by Jushan Bai & Serena Ng
  (ReDIF-article, ecm:emetrp:v:72:y:2004:i:4:p:1127-1177)
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
  Econometrica, Econometric Society (2006)
  by Jushan Bai & Serena Ng
  (ReDIF-article, ecm:emetrp:v:74:y:2006:i:4:p:1133-1150)
• Panel Data Models With Interactive Fixed Effects
  Econometrica, Econometric Society (2009)
  by Jushan Bai
  (ReDIF-article, ecm:emetrp:v:77:y:2009:i:4:p:1229-1279)
• Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method
  Econometrica, Econometric Society (2013)
  by Jushan Bai
  (ReDIF-article, ecm:emetrp:v:81:y:2013:i:1:p:285-314)
• Structural changes, common stochastic trends and unit roots in panel data
  Econometric Society 2004 North American Summer Meetings, Econometric Society (2004)
  by Jushan Bai; Josep Lluís Carrion-i-Silvestre
  (ReDIF-paper, ecm:nasm04:345)
• Determining the Number of Factors in Approximate Factor Models
  Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, ecm:wc2000:1504)
• Generic consistency of the break-point estimators under specification errors in a multiple-break model
  Econometrics Journal, Royal Economic Society (2008)
  by Jushan Bai & Haiqiang Chen & Terence Tai-Leung Chong & Seraph Xin Wang
  (ReDIF-article, ect:emjrnl:v:11:y:2008:i:2:p:287-307)
• Critical values for multiple structural change tests
  Econometrics Journal, Royal Economic Society (2003)
  by Jushan Bai & Pierre Perron
  (ReDIF-article, ect:emjrnl:v:6:y:2003:i:1:p:72-78)
• A simple new test for slope homogeneity in panel data models with interactive effects
  Economics Letters, Elsevier (2015)
  by Ando, Tomohiro & Bai, Jushan
  (ReDIF-article, eee:ecolet:v:136:y:2015:i:c:p:112-117)
• A consistent test for conditional symmetry in time series models
  Journal of Econometrics, Elsevier (2001)
  by Bai, Jushan & Ng, Serena
  (ReDIF-article, eee:econom:v:103:y:2001:i:1-2:p:225-258)
• Estimating cross-section common stochastic trends in nonstationary panel data
  Journal of Econometrics, Elsevier (2004)
  by Bai, Jushan
  (ReDIF-article, eee:econom:v:122:y:2004:i:1:p:137-183)
• Evaluating latent and observed factors in macroeconomics and finance
  Journal of Econometrics, Elsevier (2006)
  by Bai, Jushan & Ng, Serena
  (ReDIF-article, eee:econom:v:131:y:2006:i:1-2:p:507-537)
• Testing multivariate distributions in GARCH models
  Journal of Econometrics, Elsevier (2008)
  by Bai, Jushan & Chen, Zhihong
  (ReDIF-article, eee:econom:v:143:y:2008:i:1:p:19-36)
• Forecasting economic time series using targeted predictors
  Journal of Econometrics, Elsevier (2008)
  by Bai, Jushan & Ng, Serena
  (ReDIF-article, eee:econom:v:146:y:2008:i:2:p:304-317)
• Panel cointegration with global stochastic trends
  Journal of Econometrics, Elsevier (2009)
  by Bai, Jushan & Kao, Chihwa & Ng, Serena
  (ReDIF-article, eee:econom:v:149:y:2009:i:1:p:82-99)
• Common breaks in means and variances for panel data
  Journal of Econometrics, Elsevier (2010)
  by Bai, Jushan
  (ReDIF-article, eee:econom:v:157:y:2010:i:1:p:78-92)
• Principal components estimation and identification of static factors
  Journal of Econometrics, Elsevier (2013)
  by Bai, Jushan & Ng, Serena
  (ReDIF-article, eee:econom:v:176:y:2013:i:1:p:18-29)
• Identification theory for high dimensional static and dynamic factor models
  Journal of Econometrics, Elsevier (2014)
  by Bai, Jushan & Wang, Peng
  (ReDIF-article, eee:econom:v:178:y:2014:i:2:p:794-804)
• Efficient estimation of approximate factor models via penalized maximum likelihood
  Journal of Econometrics, Elsevier (2016)
  by Bai, Jushan & Liao, Yuan
  (ReDIF-article, eee:econom:v:191:y:2016:i:1:p:1-18)
• Inferences in panel data with interactive effects using large covariance matrices
  Journal of Econometrics, Elsevier (2017)
  by Bai, Jushan & Liao, Yuan
  (ReDIF-article, eee:econom:v:200:y:2017:i:1:p:59-78)
• Rank regularized estimation of approximate factor models
  Journal of Econometrics, Elsevier (2019)
  by Bai, Jushan & Ng, Serena
  (ReDIF-article, eee:econom:v:212:y:2019:i:1:p:78-96)
• Estimation and inference of change points in high-dimensional factor models
  Journal of Econometrics, Elsevier (2020)
  by Bai, Jushan & Han, Xu & Shi, Yutang
  (ReDIF-article, eee:econom:v:219:y:2020:i:1:p:66-100)
• Dynamic spatial panel data models with common shocks
  Journal of Econometrics, Elsevier (2021)
  by Bai, Jushan & Li, Kunpeng
  (ReDIF-article, eee:econom:v:224:y:2021:i:1:p:134-160)
• Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
  Journal of Econometrics, Elsevier (2022)
  by Ando, Tomohiro & Bai, Jushan & Li, Kunpeng
  (ReDIF-article, eee:econom:v:230:y:2022:i:1:p:20-38)
• Factor-based imputation of missing values and covariances in panel data of large dimensions
  Journal of Econometrics, Elsevier (2023)
  by Cahan, Ercument & Bai, Jushan & Ng, Serena
  (ReDIF-article, eee:econom:v:233:y:2023:i:1:p:113-131)
• Quasi-maximum likelihood estimation of break point in high-dimensional factor models
  Journal of Econometrics, Elsevier (2023)
  by Duan, Jiangtao & Bai, Jushan & Han, Xu
  (ReDIF-article, eee:econom:v:233:y:2023:i:1:p:209-236)
• Approximate factor models with weaker loadings
  Journal of Econometrics, Elsevier (2023)
  by Bai, Jushan & Ng, Serena
  (ReDIF-article, eee:econom:v:235:y:2023:i:2:p:1893-1916)
• The likelihood ratio test for structural changes in factor models
  Journal of Econometrics, Elsevier (2024)
  by Bai, Jushan & Duan, Jiangtao & Han, Xu
  (ReDIF-article, eee:econom:v:238:y:2024:i:2:s0304407623003470)
• Likelihood approach to dynamic panel models with interactive effects
  Journal of Econometrics, Elsevier (2024)
  by Bai, Jushan
  (ReDIF-article, eee:econom:v:240:y:2024:i:1:s0304407623003524)
• Standard errors for panel data models with unknown clusters
  Journal of Econometrics, Elsevier (2024)
  by Bai, Jushan & Choi, Sung Hoon & Liao, Yuan
  (ReDIF-article, eee:econom:v:240:y:2024:i:2:s0304407620303341)
• Likelihood ratio tests for multiple structural changes
  Journal of Econometrics, Elsevier (1999)
  by Bai, Jushan
  (ReDIF-article, eee:econom:v:91:y:1999:i:2:p:299-323)
• Fama–MacBeth two-pass regressions: Improving risk premia estimates
  Finance Research Letters, Elsevier (2015)
  by Bai, Jushan & Zhou, Guofu
  (ReDIF-article, eee:finlet:v:15:y:2015:i:c:p:31-40)
• Structural Changes in High Dimensional Factor Models
  Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press (2016)
  by Jushan Bai & Xu Han
  (ReDIF-article, fec:journl:v:11:y:2016:i:1:p:9-39)
• Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network
  Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston (2024)
  by Tomohiro Ando & Jushan Bai & Lina Lu & Cindy M. Vojtech
  (ReDIF-paper, fip:fedbqu:98335)
• Computation and analysis of multiple structural change models
  Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2003)
  by Jushan Bai & Pierre Perron
  (ReDIF-article, jae:japmet:v:18:y:2003:i:1:p:1-22)
• Boosting diffusion indices
  Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2009)
  by Jushan Bai & Serena Ng
  (ReDIF-article, jae:japmet:v:24:y:2009:i:4:p:607-629)
• A New Look at Panel Testing of Stationarity and the PPP Hypothesis
  Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, jhu:papers:467)
• A Panic Attack on Unit Roots and Cointegration
  Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, jhu:papers:469)
• 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 (2005)
  by Jushan Bai & Chihwa Kao
  (ReDIF-paper, max:cprwps:75)
• Panel Cointegration with Global Stochastic Trends
  Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University (2007)
  by Jushan Bai & Chihwa Kao & Serena Ng
  (ReDIF-paper, max:cprwps:90)
• Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach
  Working papers, Massachusetts Institute of Technology (MIT), Department of Economics (1993)
  by Bai, J.
  (ReDIF-paper, mit:worpap:93-9)
• Estimation of Structural Change Based on Wald-Type Statistics
  Working papers, Massachusetts Institute of Technology (MIT), Department of Economics (1994)
  by Bai, J.
  (ReDIF-paper, mit:worpap:94-06)
• Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses
  Working papers, Massachusetts Institute of Technology (MIT), Department of Economics (1994)
  by Bai, J.
  (ReDIF-paper, mit:worpap:94-07)
• Estimating & Testing Linear Models with Multiple Structural Changes
  Working papers, Massachusetts Institute of Technology (MIT), Department of Economics (1995)
  by Jushan Bai & Pierre Perron
  (ReDIF-paper, mit:worpap:95-17)
• Estimating Multiple Breaks One at a Time
  Working papers, Massachusetts Institute of Technology (MIT), Department of Economics (1995)
  by Jushan Bai
  (ReDIF-paper, mit:worpap:95-18)
• A Note on Spurious Break and Regime Shift in Cointegrating Relationship
  Working papers, Massachusetts Institute of Technology (MIT), Department of Economics (1996)
  by Bai, J.
  (ReDIF-paper, mit:worpap:96-13)
• An Inequality for Vector-Valued Martingales and Its Applications
  Working papers, Massachusetts Institute of Technology (MIT), Department of Economics (1996)
  by Bai, J.
  (ReDIF-paper, mit:worpap:96-16)
• Estimating and Testing Linear Models with Multiple Structural Changes
  Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)
  by Perron, P. & Bai, J.
  (ReDIF-paper, mtl:montde:9552)
• Computation and Analysis of Multiple Structural-Change Models
  Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1998)
  by BAI, Jushan & PERRON, Pierre
  (ReDIF-paper, mtl:montde:9807)
• Estimating and Testing Linear Models with Multiple Structural Changes
  Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995)
  by Perron, P. & Bai, J.
  (ReDIF-paper, mtl:montec:9552)
• Large Dimensional Factor Analysis
  Foundations and Trends(R) in Econometrics, now publishers (2008)
  by Bai, Jushan & Ng, Serena
  (ReDIF-article, now:fnteco:0800000002)
• Asset Pricing with a General Multifactor Structure
  Journal of Financial Econometrics, Oxford University Press (2015)
  by Tomohiro Ando & Jushan Bai
  (ReDIF-article, oup:jfinec:v:13:y:2015:i:3:p:556-604.)
• Testing For and Dating Common Breaks in Multivariate Time Series
  The Review of Economic Studies, Review of Economic Studies Ltd (1998)
  by Jushan Bai & Robin L. Lumsdaine & James H. Stock
  (ReDIF-article, oup:restud:v:65:y:1998:i:3:p:395-432.)
• Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
  The Review of Economic Studies, Review of Economic Studies Ltd (2009)
  by Jushan Bai & Josep Lluís Carrion-I-Silvestre
  (ReDIF-article, oup:restud:v:76:y:2009:i:2:p:471-501)
• Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity
  MPRA Paper, University Library of Munich, Germany (2021)
  by Ando, Tomohiro & Bai, Jushan
  (ReDIF-paper, pra:mprapa:111431)
• Causal inference using factor models
  MPRA Paper, University Library of Munich, Germany (2024)
  by Bai, Jushan & Wang, Peng
  (ReDIF-paper, pra:mprapa:120585)
• Least squares estimation of a shift in linear processes
  MPRA Paper, University Library of Munich, Germany (1993)
  by Bai, Jushan
  (ReDIF-paper, pra:mprapa:32878)
• Weak convergence of the sequential empirical processes of residuals in ARMA models
  MPRA Paper, University Library of Munich, Germany (1991)
  by Bai, Jushan
  (ReDIF-paper, pra:mprapa:32915)
• Estimation of multiple-regime regressions with least absolutes deviation
  MPRA Paper, University Library of Munich, Germany (1995)
  by Jushan, Bai
  (ReDIF-paper, pra:mprapa:32916)
• Olive: a simple method for estimating betas when factors are measured with error
  MPRA Paper, University Library of Munich, Germany (2007)
  by Meng, Ginger & Hu, Gang & Bai, Jushan
  (ReDIF-paper, pra:mprapa:33183)
• Conditional Markov chain and its application in economic time series analysis
  MPRA Paper, University Library of Munich, Germany (2011)
  by Bai, Jushan & Wang, Peng
  (ReDIF-paper, pra:mprapa:33369)
• Testing Panel Cointegration with Unobservable Dynamic Common Factors
  MPRA Paper, University Library of Munich, Germany (2009)
  by Bai, Jushan & Carrion-i-Silvestre, Josep Lluis
  (ReDIF-paper, pra:mprapa:35243)
• Identification and estimation of dynamic factor models
  MPRA Paper, University Library of Munich, Germany (2012)
  by Bai, Jushan & Wang, Peng
  (ReDIF-paper, pra:mprapa:38434)
• Efficient Estimation of Approximate Factor Models
  MPRA Paper, University Library of Munich, Germany (2012)
  by Bai, Jushan & Liao, Yuan
  (ReDIF-paper, pra:mprapa:41558)
• Maximum likelihood estimation and inference for approximate factor models of high dimension
  MPRA Paper, University Library of Munich, Germany (2012)
  by Bai, Jushan & Li, Kunpeng
  (ReDIF-paper, pra:mprapa:42099)
• Theory and methods of panel data models with interactive effects
  MPRA Paper, University Library of Munich, Germany (2010)
  by Bai, Jushan & Li, Kunpeng
  (ReDIF-paper, pra:mprapa:43441)
• Likelihood approach to dynamic panel models with interactive effects
  MPRA Paper, University Library of Munich, Germany (2013)
  by Bai, Jushan
  (ReDIF-paper, pra:mprapa:50267)
• Panel data models with grouped factor structure under unknown group membership
  MPRA Paper, University Library of Munich, Germany (2013)
  by Bai, Jushan & Ando, Tomohiro
  (ReDIF-paper, pra:mprapa:52782)
• 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 (2013)
  by Bai, Jushan & Ando, Tomohiro
  (ReDIF-paper, pra:mprapa:52785)
• Spatial panel data models with common shocks
  MPRA Paper, University Library of Munich, Germany (2013)
  by Bai, Jushan & Li, Kunpeng
  (ReDIF-paper, pra:mprapa:52786)
• Theory and Applications of TAR Model with Two Threshold Variables
  MPRA Paper, University Library of Munich, Germany (2012)
  by Chen, Haiqiang & Chong, Terence Tai Leung & Bai, Jushan
  (ReDIF-paper, pra:mprapa:54527)
• A simple new test for slope homogeneity in panel data models with interactive effects
  MPRA Paper, University Library of Munich, Germany (2014)
  by Ando, Tomohiro & Bai, Jushan
  (ReDIF-paper, pra:mprapa:60795)
• Estimation and inference of FAVAR models
  MPRA Paper, University Library of Munich, Germany (2014)
  by Bai, Jushan & Li, Kunpeng & Lu, Lina
  (ReDIF-paper, pra:mprapa:60960)
• Practical notes on panel data models with interactive effects
  MPRA Paper, University Library of Munich, Germany (2017)
  by Bai, Jushan & Li, Kunpeng
  (ReDIF-paper, pra:mprapa:81087)
• Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity
  MPRA Paper, University Library of Munich, Germany (2018)
  by Ando, Tomohiro & Bai, Jushan
  (ReDIF-paper, pra:mprapa:88765)
• A Quantile-based Asset Pricing Model
  Economics and Statistics Working Papers, Singapore Management University, School of Economics (2019)
  by Ando, Tomohiro & Bai, Jushan & Nishimura, Mitohide & Yu, Jun
  (ReDIF-paper, ris:smuesw:2019_015)
• Feasible generalized least squares for panel data with cross-sectional and serial correlations
  Empirical Economics, Springer (2021)
  by Jushan Bai & Sung Hoon Choi & Yuan Liao
  (ReDIF-article, spr:empeco:v:60:y:2021:i:1:d:10.1007_s00181-020-01977-2)
• Theory and Applications of TAR Model with Two Threshold Variables
  Econometric Reviews, Taylor & Francis Journals (2012)
  by Haiqiang Chen & Terence Chong & Jushan Bai
  (ReDIF-article, taf:emetrv:v:31:y:2012:i:2:p:142-170)
• Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency
  Econometric Reviews, Taylor & Francis Journals (2018)
  by Tomohiro Ando & Jushan Bai
  (ReDIF-article, taf:emetrv:v:37:y:2018:i:3:p:183-211)
• Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures
  Journal of the American Statistical Association, Taylor & Francis Journals (2017)
  by Tomohiro Ando & Jushan Bai
  (ReDIF-article, taf:jnlasa:v:112:y:2017:i:519:p:1182-1198)
• Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
  Journal of the American Statistical Association, Taylor & Francis Journals (2020)
  by Tomohiro Ando & Jushan Bai
  (ReDIF-article, taf:jnlasa:v:115:y:2020:i:529:p:266-279)
• Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
  Journal of the American Statistical Association, Taylor & Francis Journals (2021)
  by Jushan Bai & Serena Ng
  (ReDIF-article, taf:jnlasa:v:116:y:2021:i:536:p:1746-1763)
• Identification and Bayesian Estimation of Dynamic Factor Models
  Journal of Business & Economic Statistics, Taylor & Francis Journals (2015)
  by Jushan Bai & Peng Wang
  (ReDIF-article, taf:jnlbes:v:33:y:2015:i:2:p:221-240)
• Special Issue on Big Data
  Journal of Business & Economic Statistics, Taylor & Francis Journals (2016)
  by Jushan Bai & Jianqing Fan & Ruey Tsay
  (ReDIF-article, taf:jnlbes:v:34:y:2016:i:4:p:487-488)
• Estimation and Inference of FAVAR Models
  Journal of Business & Economic Statistics, Taylor & Francis Journals (2016)
  by Jushan Bai & Kunpeng Li & Lina Lu
  (ReDIF-article, taf:jnlbes:v:34:y:2016:i:4:p:620-641)
• Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity
  Journal of Business & Economic Statistics, Taylor & Francis Journals (2023)
  by Tomohiro Ando & Jushan Bai
  (ReDIF-article, taf:jnlbes:v:41:y:2023:i:3:p:983-994)
• Estimation Of A Change Point In Multiple Regression Models
  The Review of Economics and Statistics, MIT Press (1997)
  by Jushan Bai
  (ReDIF-article, tpr:restat:v:79:y:1997:i:4:p:551-563)
• Testing Parametric Conditional Distributions of Dynamic Models
  The Review of Economics and Statistics, MIT Press (2003)
  by Jushan Bai
  (ReDIF-article, tpr:restat:v:85:y:2003:i:3:p:531-549)
• Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension
  The Review of Economics and Statistics, MIT Press (2016)
  by Jushan Bai & Kunpeng Li
  (ReDIF-article, tpr:restat:v:98:y:2016:i:2:p:298-309)
• The Impact of a Large Tax Increase on Cigarette Consumption: The Case of California
  Economics Working Papers, University of California at Berkeley (1991)
  by Teh-wei Hu, Jushan Bai, Theodore E. Keeler and Paul G. Barnett.
  (ReDIF-paper, ucb:calbwp:91-174)
• The Impact of 1989 California Major Anti-Smoking Legislation on Cigarette Consumption: Three Years Later
  Economics Working Papers, University of California at Berkeley (1992)
  by Teh-wei Hu, Jushan Bai, Theodore E. Keeler, Paul G. Barnett.
  (ReDIF-paper, ucb:calbwp:92-203)
• Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors
  Econometrics Journal, Royal Economic Society (2013)
  by Jushan Bai & Josep Lluís Carrion‐i‐Silvestre
  (ReDIF-article, wly:emjrnl:v:16:y:2013:i:2:p:222-249)
• Conditional Markov chain and its application in economic time series analysis
  Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011)
  by Jushan Bai & Peng Wang
  (ReDIF-article, wly:japmet:v:26:y:2011:i:5:p:715-734)
• Cross‐Sectional Dependence in Panel Data Models: A Special Issue
  Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016)
  by Jushan Bai & Badi Baltagi & Hashem Pesaran
  (ReDIF-article, wly:japmet:v:31:y:2016:i:1:p:1-3)
• Panel Data Models with Grouped Factor Structure Under Unknown Group Membership
  Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016)
  by Tomohiro Ando & Jushan Bai
  (ReDIF-article, wly:japmet:v:31:y:2016:i:1:p:163-191)
• Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
  Econometrics, University Library of Munich, Germany (2004)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, wpa:wuwpem:0408006)
• Evaluating Latent and Observed Factors in Macroeconomics and Financ
  Econometrics, University Library of Munich, Germany (2004)
  by Jushan Bai & Serena Ng
  (ReDIF-paper, wpa:wuwpem:0408007)