Jushan Bai
Names
Identifer
Contact
| 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 |
Affiliations
-
Columbia University
/ School of Arts and Sciences
/ Department of Economics
Research profile
author of:
- Econometric Analysis of Large Factor Models (RePEc:anr:reveco:v:8:y:2016:p:53-80)
by Jushan Bai & Peng Wang - Principal Components and Regularized Estimation of Factor Models (RePEc:arx:papers:1708.08137)
by Jushan Bai & Serena Ng - Robust Principal Component Analysis with Non-Sparse Errors (RePEc:arx:papers:1902.08735)
by Jushan Bai & Junlong Feng - Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data (RePEc:arx:papers:1910.06677)
by Jushan Bai & Serena Ng - Standard Errors for Panel Data Models with Unknown Clusters (RePEc:arx:papers:1910.07406)
by Jushan Bai & Sung Hoon Choi & Yuan Liao - Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations (RePEc:arx:papers:1910.09004)
by Jushan Bai & Sung Hoon Choi & Yuan Liao - Simpler Proofs for Approximate Factor Models of Large Dimensions (RePEc:arx:papers:2008.00254)
by Jushan Bai & Serena Ng - Quasi-maximum likelihood estimation of break point in high-dimensional factor models (RePEc:arx:papers:2102.12666)
by Jiangtao Duan & Jushan Bai & Xu Han - Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions (RePEc:arx:papers:2103.03045)
by Ercument Cahan & Jushan Bai & Serena Ng - Approximate Factor Models with Weaker Loadings (RePEc:arx:papers:2109.03773)
by Jushan Bai & Serena Ng - Likelihood ratio test for structural changes in factor models (RePEc:arx:papers:2206.08052)
by Jushan Bai & Jiangtao Duan & Xu Han - Efficiency of QMLE for dynamic panel data models with interactive effects (RePEc:arx:papers:2312.07881)
by Jushan Bai - Bayesian inference for dynamic spatial quantile models with interactive effects (RePEc:arx:papers:2503.00772)
by Tomohiro Ando & Jushan Bai & Kunpeng Li & Yong Song - Singularity-Based Consistent QML Estimation of Multiple Breakpoints in High-Dimensional Factor Models (RePEc:arx:papers:2503.06645)
by Jiangtao Duan & Jushan Bai & Xu Han - Tests for Skewness, Kurtosis, and Normality for Time Series Data (RePEc:bes:jnlbes:v:23:y:2005:p:49-60)
by Jushan Bai & Serena Ng - Determining the Number of Primitive Shocks in Factor Models (RePEc:bes:jnlbes:v:25:y:2007:p:52-60)
by Bai, Jushan & Ng, Serena - Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error (RePEc:bla:jfnres:v:34:y:2011:i:1:p:27-60)
by J. Ginger Meng & Gang Hu & Jushan Bai - On The Partial Sums Of Residuals In Autoregressive And Moving Average Models (RePEc:bla:jtsera:v:14:y:1993:i:3:p:247-260)
by Jushan Bai - Least Squares Estimation Of A Shift In Linear Processes (RePEc:bla:jtsera:v:15:y:1994:i:5:p:453-472)
by Jushan Bai - INTERACTIVEEFFECTS: MATLAB function to estimate interactive fixed effects models (RePEc:boc:bocode:m430011)
by Jushan Bai - COMMONBREAKS: MATLAB functions to estimate common breaks for panel data (RePEc:boc:bocode:m430012)
by Jushan Bai - A Test for Conditional Symmetry in Time Series Models (RePEc:boc:bocoec:410)
by Jushan Bai & Serena Ng - Determining the Number of Factors in Approximate Factor Models (RePEc:boc:bocoec:440)
by Jushan Bai & Serena Ng - Tests for Skewness, Kurtosis, and Normality for Time Series Data (RePEc:boc:bocoec:501)
by Jushan Bai & Serena Ng - A New Look at Panel Testing of Stationarity and the PPP Hypothesis (RePEc:boc:bocoec:518)
by Jushan Bai & Serena Ng - A PANIC Attack on Unit Roots and Cointegration (RePEc:boc:bocoec:519)
by Jushan Bai & Serena Ng - Selecting Instrumental Variables in a Data Rich Environment (RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:4)
by Ng Serena & Bai Jushan - the Impact of 1989 California Major Anti-Smoking Legislation Cigarette Consumption: Three Years Later (RePEc:cdl:econwp:qt280289bg)
by Hu, Teh-wei & Bai, Jushan & Barnett, Paul G. - the Impact of a Large Tax Increase on Cigarette Consumption: The Case of California (RePEc:cdl:econwp:qt3v9919fh)
by Hu, Tah-wei & Bai, Jushan & Keeler, Theodore E. & Barnett, Paul G. - Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices (RePEc:cuf:journl:y:2000:v:1:i:2:p:303-339)
by Jushan Bai - Extremum Estimation when the Predictors are Estimated from Large Panels (RePEc:cuf:journl:y:2008:v:9:i:2:p:201-222)
by Jushan Bai & Serena Ng - Estimating High Dimensional Covariance Matrices and its Applications (RePEc:cuf:journl:y:2011:v:12:i:2:p:199-215)
by Jushan Bai & Shuzhong Shi - Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices (RePEc:cuf:wpaper:24)
by Jushan Bai - Unknown item RePEc:cuf:wpaper:516 (paper)
- Least Absolute Deviation Estimation of a Shift (RePEc:cup:etheor:v:11:y:1995:i:03:p:403-436_00)
by Bai, Jushan - Estimating Multiple Breaks One at a Time (RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00)
by Bai, Jushan - A Note On Spurious Break (RePEc:cup:etheor:v:14:y:1998:i:05:p:663-669_14)
by Bai, Jushan - Panel Unit Root Tests With Cross-Section Dependence: A Further Investigation (RePEc:cup:etheor:v:26:y:2010:i:04:p:1088-1114_99)
by Bai, Jushan & Ng, Serena - Instrumental Variable Estimation In A Data Rich Environment (RePEc:cup:etheor:v:26:y:2010:i:06:p:1577-1606_99)
by Bai, Jushan & Ng, Serena - Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach (RePEc:ecm:emetrp:v:64:y:1996:i:3:p:597-622)
by Bai, Jushan - Estimating and Testing Linear Models with Multiple Structural Changes (RePEc:ecm:emetrp:v:66:y:1998:i:1:p:47-78)
by Jushan Bai & Pierre Perron - Determining the Number of Factors in Approximate Factor Models (RePEc:ecm:emetrp:v:70:y:2002:i:1:p:191-221)
by Jushan Bai & Serena Ng - Inferential Theory for Factor Models of Large Dimensions (RePEc:ecm:emetrp:v:71:y:2003:i:1:p:135-171)
by Jushan Bai - A PANIC Attack on Unit Roots and Cointegration (RePEc:ecm:emetrp:v:72:y:2004:i:4:p:1127-1177)
by Jushan Bai & Serena Ng - Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions (RePEc:ecm:emetrp:v:74:y:2006:i:4:p:1133-1150)
by Jushan Bai & Serena Ng - Panel Data Models With Interactive Fixed Effects (RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1229-1279)
by Jushan Bai - Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method (RePEc:ecm:emetrp:v:81:y:2013:i:1:p:285-314)
by Jushan Bai - Structural changes, common stochastic trends and unit roots in panel data (RePEc:ecm:nasm04:345)
by Jushan Bai; Josep LluÃs Carrion-i-Silvestre - Determining the Number of Factors in Approximate Factor Models (RePEc:ecm:wc2000:1504)
by Jushan Bai & Serena Ng - Generic consistency of the break-point estimators under specification errors in a multiple-break model (RePEc:ect:emjrnl:v:11:y:2008:i:2:p:287-307)
by Jushan Bai & Haiqiang Chen & Terence Tai-Leung Chong & Seraph Xin Wang - Critical values for multiple structural change tests (RePEc:ect:emjrnl:v:6:y:2003:i:1:p:72-78)
by Jushan Bai & Pierre Perron - A simple new test for slope homogeneity in panel data models with interactive effects (RePEc:eee:ecolet:v:136:y:2015:i:c:p:112-117)
by Ando, Tomohiro & Bai, Jushan - A consistent test for conditional symmetry in time series models (RePEc:eee:econom:v:103:y:2001:i:1-2:p:225-258)
by Bai, Jushan & Ng, Serena - Estimating cross-section common stochastic trends in nonstationary panel data (RePEc:eee:econom:v:122:y:2004:i:1:p:137-183)
by Bai, Jushan - Evaluating latent and observed factors in macroeconomics and finance (RePEc:eee:econom:v:131:y:2006:i:1-2:p:507-537)
by Bai, Jushan & Ng, Serena - Testing multivariate distributions in GARCH models (RePEc:eee:econom:v:143:y:2008:i:1:p:19-36)
by Bai, Jushan & Chen, Zhihong - Forecasting economic time series using targeted predictors (RePEc:eee:econom:v:146:y:2008:i:2:p:304-317)
by Bai, Jushan & Ng, Serena - Panel cointegration with global stochastic trends (RePEc:eee:econom:v:149:y:2009:i:1:p:82-99)
by Bai, Jushan & Kao, Chihwa & Ng, Serena - Common breaks in means and variances for panel data (RePEc:eee:econom:v:157:y:2010:i:1:p:78-92)
by Bai, Jushan - Principal components estimation and identification of static factors (RePEc:eee:econom:v:176:y:2013:i:1:p:18-29)
by Bai, Jushan & Ng, Serena - Identification theory for high dimensional static and dynamic factor models (RePEc:eee:econom:v:178:y:2014:i:2:p:794-804)
by Bai, Jushan & Wang, Peng - Efficient estimation of approximate factor models via penalized maximum likelihood (RePEc:eee:econom:v:191:y:2016:i:1:p:1-18)
by Bai, Jushan & Liao, Yuan - Inferences in panel data with interactive effects using large covariance matrices (RePEc:eee:econom:v:200:y:2017:i:1:p:59-78)
by Bai, Jushan & Liao, Yuan - Rank regularized estimation of approximate factor models (RePEc:eee:econom:v:212:y:2019:i:1:p:78-96)
by Bai, Jushan & Ng, Serena - Estimation and inference of change points in high-dimensional factor models (RePEc:eee:econom:v:219:y:2020:i:1:p:66-100)
by Bai, Jushan & Han, Xu & Shi, Yutang - Dynamic spatial panel data models with common shocks (RePEc:eee:econom:v:224:y:2021:i:1:p:134-160)
by Bai, Jushan & Li, Kunpeng - Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity (RePEc:eee:econom:v:230:y:2022:i:1:p:20-38)
by Ando, Tomohiro & Bai, Jushan & Li, Kunpeng - Factor-based imputation of missing values and covariances in panel data of large dimensions (RePEc:eee:econom:v:233:y:2023:i:1:p:113-131)
by Cahan, Ercument & Bai, Jushan & Ng, Serena - Quasi-maximum likelihood estimation of break point in high-dimensional factor models (RePEc:eee:econom:v:233:y:2023:i:1:p:209-236)
by Duan, Jiangtao & Bai, Jushan & Han, Xu - Approximate factor models with weaker loadings (RePEc:eee:econom:v:235:y:2023:i:2:p:1893-1916)
by Bai, Jushan & Ng, Serena - The likelihood ratio test for structural changes in factor models (RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003470)
by Bai, Jushan & Duan, Jiangtao & Han, Xu - Likelihood approach to dynamic panel models with interactive effects (RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003524)
by Bai, Jushan - Standard errors for panel data models with unknown clusters (RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303341)
by Bai, Jushan & Choi, Sung Hoon & Liao, Yuan - Reprint of: The likelihood ratio test for structural changes in factor models (RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000915)
by Bai, Jushan & Duan, Jiangtao & Han, Xu - Scenario-based quantile connectedness of the U.S. interbank liquidity risk network (RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001325)
by Ando, Tomohiro & Bai, Jushan & Lu, Lina & Vojtech, Cindy M. - Likelihood ratio tests for multiple structural changes (RePEc:eee:econom:v:91:y:1999:i:2:p:299-323)
by Bai, Jushan - Fama–MacBeth two-pass regressions: Improving risk premia estimates (RePEc:eee:finlet:v:15:y:2015:i:c:p:31-40)
by Bai, Jushan & Zhou, Guofu - Structural Changes in High Dimensional Factor Models (RePEc:fec:journl:v:11:y:2016:i:1:p:9-39)
by Jushan Bai & Xu Han - Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network (RePEc:fip:fedbqu:98335)
by Tomohiro Ando & Jushan Bai & Lina Lu & Cindy M. Vojtech - Computation and analysis of multiple structural change models (RePEc:jae:japmet:v:18:y:2003:i:1:p:1-22)
by Jushan Bai & Pierre Perron - Boosting diffusion indices (RePEc:jae:japmet:v:24:y:2009:i:4:p:607-629)
by Jushan Bai & Serena Ng - A New Look at Panel Testing of Stationarity and the PPP Hypothesis (RePEc:jhu:papers:467)
by Jushan Bai & Serena Ng - A Panic Attack on Unit Roots and Cointegration (RePEc:jhu:papers:469)
by Jushan Bai & Serena Ng - On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence (RePEc:max:cprwps:75)
by Jushan Bai & Chihwa Kao - Panel Cointegration with Global Stochastic Trends (RePEc:max:cprwps:90)
by Jushan Bai & Chihwa Kao & Serena Ng - Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach (RePEc:mit:worpap:93-9)
by Bai, J. - Estimation of Structural Change Based on Wald-Type Statistics (RePEc:mit:worpap:94-06)
by Bai, J. - Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses (RePEc:mit:worpap:94-07)
by Bai, J. - Estimating & Testing Linear Models with Multiple Structural Changes (RePEc:mit:worpap:95-17)
by Jushan Bai & Pierre Perron - Estimating Multiple Breaks One at a Time (RePEc:mit:worpap:95-18)
by Jushan Bai - A Note on Spurious Break and Regime Shift in Cointegrating Relationship (RePEc:mit:worpap:96-13)
by Bai, J. - An Inequality for Vector-Valued Martingales and Its Applications (RePEc:mit:worpap:96-16)
by Bai, J. - Estimating and Testing Linear Models with Multiple Structural Changes (RePEc:mtl:montde:9552)
by Perron, P. & Bai, J. - Computation and Analysis of Multiple Structural-Change Models (RePEc:mtl:montde:9807)
by BAI, Jushan & PERRON, Pierre - Estimating and Testing Linear Models with Multiple Structural Changes (RePEc:mtl:montec:9552)
by Perron, P. & Bai, J. - Large Dimensional Factor Analysis (RePEc:now:fnteco:0800000002)
by Bai, Jushan & Ng, Serena - Asset Pricing with a General Multifactor Structure (RePEc:oup:jfinec:v:13:y:2015:i:3:p:556-604.)
by Tomohiro Ando & Jushan Bai - Testing For and Dating Common Breaks in Multivariate Time Series (RePEc:oup:restud:v:65:y:1998:i:3:p:395-432.)
by Jushan Bai & Robin L. Lumsdaine & James H. Stock - Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data (RePEc:oup:restud:v:76:y:2009:i:2:p:471-501)
by Jushan Bai & Josep Lluís Carrion-I-Silvestre - Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity (RePEc:pra:mprapa:111431)
by Ando, Tomohiro & Bai, Jushan - Causal inference using factor models (RePEc:pra:mprapa:120585)
by Bai, Jushan & Wang, Peng - Bayesian inference for dynamic spatial quantile models with interactive effects (RePEc:pra:mprapa:123815)
by Ando, Tomohiro & Bai, Jushan & Li, Kunpeng & Song, Yong - Least squares estimation of a shift in linear processes (RePEc:pra:mprapa:32878)
by Bai, Jushan - Weak convergence of the sequential empirical processes of residuals in ARMA models (RePEc:pra:mprapa:32915)
by Bai, Jushan - Estimation of multiple-regime regressions with least absolutes deviation (RePEc:pra:mprapa:32916)
by Jushan, Bai - Olive: a simple method for estimating betas when factors are measured with error (RePEc:pra:mprapa:33183)
by Meng, Ginger & Hu, Gang & Bai, Jushan - Conditional Markov chain and its application in economic time series analysis (RePEc:pra:mprapa:33369)
by Bai, Jushan & Wang, Peng - Testing Panel Cointegration with Unobservable Dynamic Common Factors (RePEc:pra:mprapa:35243)
by Bai, Jushan & Carrion-i-Silvestre, Josep Lluis - Identification and estimation of dynamic factor models (RePEc:pra:mprapa:38434)
by Bai, Jushan & Wang, Peng - Efficient Estimation of Approximate Factor Models (RePEc:pra:mprapa:41558)
by Bai, Jushan & Liao, Yuan - Maximum likelihood estimation and inference for approximate factor models of high dimension (RePEc:pra:mprapa:42099)
by Bai, Jushan & Li, Kunpeng - Theory and methods of panel data models with interactive effects (RePEc:pra:mprapa:43441)
by Bai, Jushan & Li, Kunpeng - Likelihood approach to dynamic panel models with interactive effects (RePEc:pra:mprapa:50267)
by Bai, Jushan - Panel data models with grouped factor structure under unknown group membership (RePEc:pra:mprapa:52782)
by Bai, Jushan & Ando, Tomohiro - Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors (RePEc:pra:mprapa:52785)
by Bai, Jushan & Ando, Tomohiro - Spatial panel data models with common shocks (RePEc:pra:mprapa:52786)
by Bai, Jushan & Li, Kunpeng - Theory and Applications of TAR Model with Two Threshold Variables (RePEc:pra:mprapa:54527)
by Chen, Haiqiang & Chong, Terence Tai Leung & Bai, Jushan - A simple new test for slope homogeneity in panel data models with interactive effects (RePEc:pra:mprapa:60795)
by Ando, Tomohiro & Bai, Jushan - Estimation and inference of FAVAR models (RePEc:pra:mprapa:60960)
by Bai, Jushan & Li, Kunpeng & Lu, Lina - Practical notes on panel data models with interactive effects (RePEc:pra:mprapa:81087)
by Bai, Jushan & Li, Kunpeng - Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity (RePEc:pra:mprapa:88765)
by Ando, Tomohiro & Bai, Jushan - A Quantile-based Asset Pricing Model (RePEc:ris:smuesw:2019_015)
by Ando, Tomohiro & Bai, Jushan & Nishimura, Mitohide & Yu, Jun - Feasible generalized least squares for panel data with cross-sectional and serial correlations (RePEc:spr:empeco:v:60:y:2021:i:1:d:10.1007_s00181-020-01977-2)
by Jushan Bai & Sung Hoon Choi & Yuan Liao - Theory and Applications of TAR Model with Two Threshold Variables (RePEc:taf:emetrv:v:31:y:2012:i:2:p:142-170)
by Haiqiang Chen & Terence Chong & Jushan Bai - Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency (RePEc:taf:emetrv:v:37:y:2018:i:3:p:183-211)
by Tomohiro Ando & Jushan Bai - Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures (RePEc:taf:jnlasa:v:112:y:2017:i:519:p:1182-1198)
by Tomohiro Ando & Jushan Bai - Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity (RePEc:taf:jnlasa:v:115:y:2020:i:529:p:266-279)
by Tomohiro Ando & Jushan Bai - Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data (RePEc:taf:jnlasa:v:116:y:2021:i:536:p:1746-1763)
by Jushan Bai & Serena Ng - Identification and Bayesian Estimation of Dynamic Factor Models (RePEc:taf:jnlbes:v:33:y:2015:i:2:p:221-240)
by Jushan Bai & Peng Wang - Special Issue on Big Data (RePEc:taf:jnlbes:v:34:y:2016:i:4:p:487-488)
by Jushan Bai & Jianqing Fan & Ruey Tsay - Estimation and Inference of FAVAR Models (RePEc:taf:jnlbes:v:34:y:2016:i:4:p:620-641)
by Jushan Bai & Kunpeng Li & Lina Lu - Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity (RePEc:taf:jnlbes:v:41:y:2023:i:3:p:983-994)
by Tomohiro Ando & Jushan Bai - Estimation Of A Change Point In Multiple Regression Models (RePEc:tpr:restat:v:79:y:1997:i:4:p:551-563)
by Jushan Bai - Testing Parametric Conditional Distributions of Dynamic Models (RePEc:tpr:restat:v:85:y:2003:i:3:p:531-549)
by Jushan Bai - Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension (RePEc:tpr:restat:v:98:y:2016:i:2:p:298-309)
by Jushan Bai & Kunpeng Li - The Impact of a Large Tax Increase on Cigarette Consumption: The Case of California (RePEc:ucb:calbwp:91-174)
by Teh-wei Hu, Jushan Bai, Theodore E. Keeler and Paul G. Barnett. - The Impact of 1989 California Major Anti-Smoking Legislation on Cigarette Consumption: Three Years Later (RePEc:ucb:calbwp:92-203)
by Teh-wei Hu, Jushan Bai, Theodore E. Keeler, Paul G. Barnett. - Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors (RePEc:wly:emjrnl:v:16:y:2013:i:2:p:222-249)
by Jushan Bai & Josep Lluís Carrion‐i‐Silvestre - Conditional Markov chain and its application in economic time series analysis (RePEc:wly:japmet:v:26:y:2011:i:5:p:715-734)
by Jushan Bai & Peng Wang - Cross‐Sectional Dependence in Panel Data Models: A Special Issue (RePEc:wly:japmet:v:31:y:2016:i:1:p:1-3)
by Jushan Bai & Badi Baltagi & Hashem Pesaran - Panel Data Models with Grouped Factor Structure Under Unknown Group Membership (RePEc:wly:japmet:v:31:y:2016:i:1:p:163-191)
by Tomohiro Ando & Jushan Bai - Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor (RePEc:wpa:wuwpem:0408006)
by Jushan Bai & Serena Ng - Evaluating Latent and Observed Factors in Macroeconomics and Financ (RePEc:wpa:wuwpem:0408007)
by Jushan Bai & Serena Ng