Jushan Bai

New York University (NYU) - Department of Economics

269 Mercer Street, 7th Floor

New York, NY 10003

United States

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

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 351 (84,760)

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 212 (143,864)
Citation 53

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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 118 (236,319)
Citation 11

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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.

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 55 (372,556)
Citation 2

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

5.

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 52 (382,135)
Citation 9

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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

6.

Critical Values for Multiple Structural Change Tests

Econometrics Journal, Vol. 6, pp. 72-78, June 2003
Number of pages: 7 Posted: 22 Sep 2003
Jushan Bai and Pierre Perron
New York University (NYU) - Department of Economics and Boston University - Department of Economics
Downloads 16 (546,307)
Citation 4
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7.

Generic Consistency of the Break-Point Estimators Under Specification Errors in a Multiple-Break Model

Econometrics Journal, Vol. 11, Issue 2, pp. 287-307, July 2008
Number of pages: 21 Posted: 14 Jul 2008
New York University (NYU) - Department of Economics, Xiamen University - Wang Yanan Institute for studies in Economics, The Chinese University of Hong Kong (CUHK) - Lau Chor Tak Institute of Global Economics and Finance and The Chinese University of Hong Kong
Downloads 2 (640,706)
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8.

Testing Panel Cointegration with Unobservable Dynamic Common Factors that are Correlated with the Regressors

The Econometrics Journal, Vol. 16, Issue 2, pp. 222-249, 2013
Number of pages: 28 Posted: 19 Jun 2013
New York University (NYU) - Department of Economics and University of Barcelona - Department of Econometrics
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Common factors, Cross‐sectional dependence, Panel cointegration

9.

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

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10.

Determining the Number of Factors in Approximate Factor Models

Econometrica, Vol. 70, pp. 191-221, January 2002
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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11.

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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12.

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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13.

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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