Access Statistics for Jushan Bai

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Look at Panel Testing of Stationarity and the PPP Hypothesis 0 0 2 490 0 0 13 1,344
A New Look at Panel Testing of Stationarity and the PPP Hypothesis 0 0 0 87 0 0 4 591
A Note on Spurious Break and Regime Shift in Cointegrating Relationship 0 0 0 0 0 0 0 529
A PANIC Attack on Unit Roots and Cointegration 0 0 1 892 3 8 58 2,463
A Panic Attack on Unit Roots and Cointegration 0 0 0 158 1 3 11 1,071
A Quantile-based Asset Pricing Model 0 0 4 62 0 0 19 79
A Test for Conditional Symmetry in Time Series Models 0 0 1 467 0 0 5 2,014
A simple new test for slope homogeneity in panel data models with interactive effects 0 1 3 69 0 1 6 118
An Inequality for Vector-Valued Martingales and Its Applications 0 0 0 0 0 1 1 488
Computation and Analysis of Multiple Structural-Change Models 4 6 7 2,508 8 19 41 5,262
Conditional Markov chain and its application in economic time series analysis 0 1 4 445 2 5 33 1,621
Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor 0 0 0 218 0 0 2 496
Determining the Number of Factors in Approximate Factor Models 0 2 10 1,432 4 13 72 4,555
Determining the Number of Factors in Approximate Factor Models 0 0 2 392 0 1 16 1,115
Efficient Estimation of Approximate Factor Models 0 1 1 102 0 1 3 210
Estimating & Testing Linear Models with Multiple Structural Changes 0 0 0 0 0 0 4 1,051
Estimating Multiple Breaks One at a Time 0 0 0 0 0 1 7 1,179
Estimating and Testing Linear Models with Multiple Structural Changes 1 4 11 737 5 9 38 1,894
Estimating and Testing Linear Models with Multiple Structural Changes 0 0 0 10 1 7 30 1,944
Estimation and inference of FAVAR models 1 2 9 457 3 9 40 1,536
Estimation of Structural Change Based on Wald-Type Statistics 0 0 0 0 1 1 6 680
Estimation of multiple-regime regressions with least absolutes deviation 0 0 0 17 0 1 1 80
Evaluating Latent and Observed Factors in Macroeconomics and Financ 0 1 1 533 0 1 4 1,347
Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions 0 1 11 30 0 1 31 52
Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations 5 15 32 83 20 56 160 309
Identification and estimation of dynamic factor models 1 1 3 303 2 3 16 667
Least squares estimation of a shift in linear processes 1 2 2 111 2 6 22 277
Likelihood approach to dynamic panel models with interactive effects 0 1 1 135 1 2 8 246
Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data 1 4 16 51 1 6 45 114
Maximum likelihood estimation and inference for approximate factor models of high dimension 0 1 2 169 1 5 14 318
Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors 1 1 3 84 1 1 10 218
Olive: a simple method for estimating betas when factors are measured with error 0 1 1 54 0 1 2 164
On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence 0 0 0 719 0 1 8 1,482
Panel Cointegration with Global Stochastic Trends 0 0 0 468 0 1 7 1,028
Panel data models with grouped factor structure under unknown group membership 0 3 3 156 1 4 5 267
Practical notes on panel data models with interactive effects 0 0 1 102 0 1 6 86
Principal Components and Regularized Estimation of Factor Models 1 1 4 79 1 2 9 154
Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity 0 1 5 75 1 2 12 128
Quasi-maximum likelihood estimation of break point in high-dimensional factor models 0 2 11 42 1 7 31 56
Robust Principal Component Analysis with Non-Sparse Errors 0 0 2 39 0 2 8 58
Simpler Proofs for Approximate Factor Models of Large Dimensions 0 0 5 47 0 0 10 42
Spatial panel data models with common shocks 0 0 1 109 0 1 6 207
Standard Errors for Panel Data Models with Unknown Clusters 0 1 4 37 1 4 20 78
Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses 0 0 0 0 0 1 6 307
Structural changes, common stochastic trends and unit roots in panel data 0 0 1 534 0 0 5 1,063
Testing Panel Cointegration with Unobservable Dynamic Common Factors 0 0 0 101 1 2 8 239
Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach 0 0 0 0 0 1 3 400
Tests for Skewness, Kurtosis, and Normality for Time Series Data 0 1 4 4,580 0 2 24 19,818
The Impact of 1989 California Major Anti-Smoking Legislation on Cigarette Consumption: Three Years Later 0 0 0 0 0 0 2 826
The Impact of a Large Tax Increase on Cigarette Consumption: The Case of California 0 0 0 1 0 0 1 287
Theory and Applications of TAR Model with Two Threshold Variables 1 2 3 36 1 4 15 155
Theory and methods of panel data models with interactive effects 0 1 1 127 0 4 9 263
Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices 4 9 42 400 11 33 117 1,259
Weak convergence of the sequential empirical processes of residuals in ARMA models 0 0 1 21 0 0 2 81
the Impact of 1989 California Major Anti-Smoking Legislation Cigarette Consumption: Three Years Later 0 0 0 1 1 1 4 16
the Impact of a Large Tax Increase on Cigarette Consumption: The Case of California 0 0 0 5 0 0 0 30
Total Working Papers 21 66 215 17,775 75 235 1,040 62,362


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NOTE ON SPURIOUS BREAK 0 0 0 43 0 0 3 97
A PANIC Attack on Unit Roots and Cointegration 0 0 0 1,033 1 3 24 3,046
A consistent test for conditional symmetry in time series models 0 0 1 56 0 1 6 202
A simple new test for slope homogeneity in panel data models with interactive effects 0 0 0 32 3 3 14 112
Asset Pricing with a General Multifactor Structure 2 7 15 90 2 8 24 185
Boosting diffusion indices 0 0 2 106 0 1 7 392
Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures 0 0 2 22 1 2 10 71
Common breaks in means and variances for panel data 0 4 6 185 1 5 18 418
Computation and analysis of multiple structural change models 2 9 32 2,967 12 44 185 6,861
Conditional Markov chain and its application in economic time series analysis 0 0 0 0 0 0 2 157
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions 1 2 6 190 3 5 28 700
Critical values for multiple structural change tests 0 0 0 450 2 9 34 1,036
Cross‐Sectional Dependence in Panel Data Models: A Special Issue 0 0 0 68 0 0 4 147
Determining the Number of Factors in Approximate Factor Models 0 0 0 1,297 3 16 48 4,839
Determining the Number of Primitive Shocks in Factor Models 0 1 9 369 0 4 31 827
Econometric Analysis of Large Factor Models 0 1 8 34 1 4 25 121
Efficient estimation of approximate factor models via penalized maximum likelihood 0 1 12 81 3 5 29 230
Estimating High Dimensional Covariance Matrices and its Applications 1 1 6 262 5 11 46 950
Estimating Multiple Breaks One at a Time 0 1 6 332 0 8 35 682
Estimating and Testing Linear Models with Multiple Structural Changes 0 0 0 9 5 23 105 4,797
Estimating cross-section common stochastic trends in nonstationary panel data 0 0 5 321 0 0 9 701
Estimation Of A Change Point In Multiple Regression Models 0 4 34 916 3 19 97 2,448
Estimation and Inference of FAVAR Models 1 1 3 8 1 1 11 64
Estimation and inference of change points in high-dimensional factor models 0 1 2 7 0 1 11 28
Evaluating latent and observed factors in macroeconomics and finance 0 3 8 342 2 8 21 813
Extremum Estimation when the Predictors are Estimated from Large Panels 0 0 1 38 0 0 8 247
Fama–MacBeth two-pass regressions: Improving risk premia estimates 2 4 20 84 6 16 61 337
Feasible generalized least squares for panel data with cross-sectional and serial correlations 0 0 3 7 3 8 28 41
Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method 0 0 0 72 0 2 4 250
Forecasting economic time series using targeted predictors 5 18 59 689 15 39 166 1,714
Generic consistency of the break-point estimators under specification errors in a multiple-break model 0 0 0 44 0 0 1 301
INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT 0 0 4 102 0 3 15 252
Identification and Bayesian Estimation of Dynamic Factor Models 6 8 17 89 7 10 39 208
Identification theory for high dimensional static and dynamic factor models 0 1 4 105 1 3 9 292
Inferences in panel data with interactive effects using large covariance matrices 0 3 11 49 0 6 19 132
Inferential Theory for Factor Models of Large Dimensions 0 0 0 332 2 7 42 1,196
LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES 2 2 3 11 5 9 21 48
Large Dimensional Factor Analysis 0 0 10 109 1 4 25 312
Least Absolute Deviation Estimation of a Shift 0 0 3 54 1 5 13 264
Likelihood ratio tests for multiple structural changes 0 0 1 266 1 2 10 562
Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension 3 7 22 80 6 15 54 230
OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR 0 0 0 0 0 1 2 182
ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS 0 0 0 0 0 0 3 7
PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION 0 0 0 98 1 2 7 247
Panel Data Models With Interactive Fixed Effects 2 7 34 483 5 26 99 1,358
Panel Data Models with Grouped Factor Structure Under Unknown Group Membership 0 1 4 48 0 2 9 151
Panel cointegration with global stochastic trends 1 1 4 291 1 5 23 748
Principal components estimation and identification of static factors 3 6 21 146 3 10 110 510
Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity 0 2 3 9 1 3 19 38
Rank regularized estimation of approximate factor models 0 1 4 27 0 1 16 89
Selecting Instrumental Variables in a Data Rich Environment 0 1 3 170 0 4 15 477
Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency 0 0 0 13 0 0 0 28
Special Issue on Big Data 0 0 1 7 0 1 5 35
Structural Changes in High Dimensional Factor Models 0 0 4 47 0 0 8 112
Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data 1 2 14 293 3 10 43 777
Testing For and Dating Common Breaks in Multivariate Time Series 3 3 7 576 3 3 9 1,308
Testing Parametric Conditional Distributions of Dynamic Models 0 0 2 163 0 0 4 485
Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach 0 0 2 138 0 0 4 645
Testing multivariate distributions in GARCH models 0 0 1 126 1 1 4 307
Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors 0 0 0 43 0 1 3 112
Tests for Skewness, Kurtosis, and Normality for Time Series Data 0 3 10 295 1 5 30 831
Theory and Applications of TAR Model with Two Threshold Variables 0 0 0 2 0 0 5 31
Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices 2 4 19 239 3 12 37 585
Total Journal Articles 37 110 448 14,565 118 397 1,797 45,373


Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
COMMONBREAKS: MATLAB functions to estimate common breaks for panel data 0 0 3 42 0 0 8 160
INTERACTIVEEFFECTS: MATLAB function to estimate interactive fixed effects models 9 25 66 662 11 34 105 1,479
Total Software Items 9 25 69 704 11 34 113 1,639


Statistics updated 2022-08-04