Jushan Bai

Columbia University

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 25,635

SSRN RANKINGS

Top 25,635

in Total Papers Downloads

2,581

SSRN CITATIONS
Rank 6,894

SSRN RANKINGS

Top 6,894

in Total Papers Citations

171

CROSSREF CITATIONS

20

Scholarly Papers (10)

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 - John M. Olin Business School
Downloads 964 (31,097)
Citation 9

Abstract:

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

2.

Quantile Co-Movement in Financial Markets: A Panel Quantile Model with Unobserved Heterogeneity

30th Australasian Finance and Banking Conference 2017
Number of pages: 35 Posted: 19 Apr 2017 Last Revised: 06 Oct 2018
Tomohiro Ando and Jushan Bai
University of Melbourne - Melbourne Business School and Columbia University
Downloads 430 (88,633)
Citation 9

Abstract:

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Data-augmentation, Endogeneity, Heterogeneous panel, Quantile factor structure, Serial and cross-sectional correlations

3.

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
University of Melbourne - Melbourne Business School and Columbia University
Downloads 374 (104,111)
Citation 16

Abstract:

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

4.

Estimation and Inference of Change Points in High Dimensional Factor Models

Number of pages: 71 Posted: 29 Nov 2016 Last Revised: 23 Jan 2019
Jushan Bai, Xu Han and Yutang Shi
Columbia University, City University of Hong Kong (CityU) - Department of Economics & Finance and Texas A&M University - Department of Economics
Downloads 233 (170,781)
Citation 12

Abstract:

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

5.

Panel Data Models with Grouped Factor Structure Under Unknown Group Membership

Number of pages: 64 Posted: 01 Jan 2014
Tomohiro Ando and Jushan Bai
University of Melbourne - Melbourne Business School and Columbia University
Downloads 224 (177,383)
Citation 11

Abstract:

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C33

6.

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 223 (178,128)
Citation 9

Abstract:

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Panel data models, spatial interactions, common shocks

7.

Likelihood Approach to Dynamic Panel Models with Interactive Effects

Number of pages: 62 Posted: 30 Sep 2013
Jushan Bai
Columbia University
Downloads 84 (378,540)
Citation 11

Abstract:

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

8.

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
University of Melbourne - Melbourne Business School and Columbia University
Downloads 44 (519,618)
Citation 127

Abstract:

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Cross-sectional dependence, Endogenous predictors, Slope homogeneity

9.

Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity

Number of pages: 31 Posted: 10 Jan 2022
Tomohiro Ando and Jushan Bai
University of Melbourne - Melbourne Business School and Columbia University
Downloads 5 (775,778)

Abstract:

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Clustering, Factor analysis, Generalized linear models, Longitudinal data, Unobserved heterogeneity.

10.

Econometric Analysis of Large Factor Models

Posted: 18 Nov 2016
Jushan Bai and Peng Wang
Columbia University and Hong Kong University of Science & Technology (HKUST) - Department of Economics

Abstract:

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