Jushan Bai

Columbia University

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

9

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1,210

CITATIONS

1

Scholarly Papers (9)

1.

Fama-MacBeth Two-Pass Regressions: Improving Risk Premia Estimates

Number of pages: 15 Posted: 10 Apr 2015 Last Revised: 22 Aug 2015
Jushan Bai and Guofu Zhou
Columbia University and Washington University in St. Louis - Olin School of Business
Downloads 159 (58,494)

Abstract:

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Fama and MacBeth; two-pass regression; cross section; risk premia

2.

Panel Data Models with Grouped Factor Structure Under Unknown Group Membership

Number of pages: 64 Posted: 01 Jan 2014
Tomohiro Ando and Jushan Bai
The University of Melbourne - Melbourne Business School and Columbia University
Downloads 108 (165,324)

Abstract:

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C33

3.

Spatial Panel Data Models with Common Shocks

Number of pages: 43 Posted: 01 Jan 2014
Jushan Bai and Kunpeng Li
Columbia University and Capital University of Economics and Business
Downloads 103 (176,814)

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Panel data models, spatial interactions, common shocks

4.

Clustering Huge Number of Financial Time Series: A Panel Data Approach with High-Dimensional Predictors and Factor Structures

28th Australasian Finance and Banking Conference
Number of pages: 41 Posted: 13 Aug 2015 Last Revised: 28 Jul 2016
Tomohiro Ando and Jushan Bai
The University of Melbourne - Melbourne Business School and Columbia University
Downloads 29 (121,207)

Abstract:

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Clustering; Factor structure; Heterogeneous panel; Lasso; Serial and cross-sectional error correlations.

5.

A Simple New Test for Slope Homogeniety in Panel Data Models with Interactive Effects

Number of pages: 18 Posted: 22 Dec 2014
Tomohiro Ando and Jushan Bai
The University of Melbourne - Melbourne Business School and Columbia University
Downloads 18 (387,490)

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Cross-sectional dependence, Endogenous predictors, Slope homogeneity

6.

Likelihood Approach to Dynamic Panel Models with Interactive Effects

Number of pages: 62 Posted: 30 Sep 2013
Jushan Bai
Columbia University
Downloads 18 (383,710)
Citation 1

Abstract:

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factor analysis, factor error structure, interactive effects, incidental parameters, predetermined regressors, heterogeneity and endogeneity, quasi-FIML

7.

Quantile Co-Movement in Financial Markets; a Panel Quantile Model with Unobserved Heterogeneity

30th Australasian Finance and Banking Conference 2017
Number of pages: 34 Posted: 19 Apr 2017
Tomohiro Ando and Jushan Bai
The University of Melbourne - Melbourne Business School and Columbia University
Downloads 0 (216,464)

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8.

Estimation and Inference of Change Points in High Dimensional Factor Models

Number of pages: 70 Posted: 29 Nov 2016 Last Revised: 22 Aug 2017
Jushan Bai, Xu Han and Yutang Shi
Columbia University, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Texas A&M University - Department of Economics
Downloads 0 (248,235)

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Structural Changes, High-Dimensional Factor Models, Break Point Inference

9.

Econometric Analysis of Large Factor Models

Annual Review of Economics, Vol. 8, pp. 53-80, 2016
Posted: 18 Nov 2016
Jushan Bai and Peng Wang
Columbia University and Hong Kong University of Science & Technology (HKUST) - Department of Economics

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