Jushan Bai

New York University (NYU) - Department of Economics

269 Mercer Street, 7th Floor

New York, NY 10003

United States

SCHOLARLY PAPERS

10

DOWNLOADS

825

SSRN CITATIONS
Rank 13,081

SSRN RANKINGS

Top 13,081

in Total Papers Citations

68

CROSSREF CITATIONS

21

Scholarly Papers (10)

1.

OLIVE: A Simple Method for Estimating Betas When Factors Are Measured with Error

Journal of Financial Research, Vol. 34, 27-60, 2011
Number of pages: 44 Posted: 02 Mar 2007 Last Revised: 10 Nov 2011
J. Ginger Meng, Gang Hu and Jushan Bai
Stonehill College - Department of Business Administration, Hong Kong Polytechnic University - School of Accounting and Finance and New York University (NYU) - Department of Economics
Downloads 356 (101,330)
Citation 1

Abstract:

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factor model, beta estimation, measurement error, instrumental variable, many instruments, GMM

2.

A Panic Attack on Unit Roots and Cointegration

Boston College Working Paper No. 519
Number of pages: 40 Posted: 23 Dec 2001
Jushan Bai and Serena Ng
New York University (NYU) - Department of Economics and Columbia Business School - Economics Department
Downloads 217 (168,911)
Citation 66

Abstract:

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Panel data, common factors, common trends, principal components

3.

Efficient Estimation of Approximate Factor Models via Regularized Maximum Likelihood

Number of pages: 57 Posted: 27 Sep 2012 Last Revised: 30 Sep 2012
Jushan Bai and Yuan Liao
New York University (NYU) - Department of Economics and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 126 (268,072)
Citation 20

Abstract:

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High dimensionality, unknown factors, principal components, sparse matrix, conditional sparse, thresholding, cross-sectional correlation, penalized maximum likelihood, adaptive lasso, heteroskedasticity

4.

On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence

Syracuse University Center for Policy Research Working Paper No. 75
Number of pages: 33 Posted: 20 Apr 2011
Jushan Bai and Chihwa Kao
New York University (NYU) - Department of Economics and Syracuse University
Downloads 68 (396,487)
Citation 13

Abstract:

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panel data cointegration, cross-sectional independence, cross-sectional dependence, continuous updated fully modified (CUP-FM) estimator, Monte Carlo results, two-step FM (2S-FM) estimator, OLS estimator

5.

Statistical Inferences Using Large Estimated Covariances for Panel Data and Factor Models

Number of pages: 37 Posted: 14 Nov 2013
Jushan Bai and Yuan Liao
New York University (NYU) - Department of Economics and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 58 (429,597)
Citation 7

Abstract:

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High dimensionality, unknown factors, conditional sparsity, thresholding, cross-sectional correlation, heteroskedasticity, optimal weight matrix, interactive effect

6.

Panel Cointegration with Global Stochastic Trends

Journal of Econometrics, Vol. 149, No. 1, 2009
Posted: 21 Apr 2011
Jushan Bai, Chihwa Kao and Serena Ng
New York University (NYU) - Department of Economics, Syracuse University and Columbia Business School - Economics Department

Abstract:

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7.

Determining the Number of Factors in Approximate Factor Models

Posted: 15 May 2002
Jushan Bai and Serena Ng
New York University (NYU) - Department of Economics and Columbia Business School - Economics Department

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8.

An Inequality for Vector-Valued Martingales and its Applications

Massachusetts Institute of Technology, Department of Economics Working Paper No. 96-16
Posted: 03 Dec 1998
Jushan Bai
New York University (NYU) - Department of Economics

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9.

A Note on Spurious Break and Regime Shift in a Cointegrating Relationship

Massachusetts Institute of Technology, Department of Economics Working Paper No. 96-13
Posted: 03 Dec 1998
Jushan Bai
New York University (NYU) - Department of Economics

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10.

Estimation of a Change Point in Multiple Regression Models

The Review of Economics and Statistics, Vol. LXXIX, No. 4 (November 1997)
Posted: 22 Mar 1998
Jushan Bai
New York University (NYU) - Department of Economics

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