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Computation and analysis of multiple structural change models

Bai, Jushan; Perron, Pierre - In: Journal of Applied Econometrics 18 (2003) 1, pp. 1-22

In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the...

Persistent link: https://www.econbiz.de/10005252098

Factor-based imputation of missing values and covariances in panel data of large dimensions

Cahan, Ercument; Bai, Jushan; Ng, Serena - In: Journal of econometrics 233 (2023) 1, pp. 113-131

Persistent link: https://www.econbiz.de/10014340963

Quasi-maximum likelihood estimation of break point in high-dimensional factor models

Duan, Jiangtao; Bai, Jushan; Han, Xu - In: Journal of econometrics 233 (2023) 1, pp. 209-236

Persistent link: https://www.econbiz.de/10014340997

A simple new test for slope homogeneity in panel data models with interactive effects

Ando, Tomohiro; Bai, Jushan - In: Economics letters 136 (2015), pp. 112-117

Persistent link: https://www.econbiz.de/10011435963

Inferences in panel data with interactive effects using large covariance matrices

Bai, Jushan; Liao, Yuan - In: Journal of econometrics 200 (2017) 1, pp. 59-78

Persistent link: https://www.econbiz.de/10011897698

Special issue on big data

Bai, Jushan; Fan, Jianqing; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 487-488

Persistent link: https://www.econbiz.de/10011691679

Estimation and inference of FAVAR models

Bai, Jushan; Li, Kunpeng; Lu, Lina - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 620-641

Persistent link: https://www.econbiz.de/10011692442

Econometric analysis of large factor models

Bai, Jushan; Wang, Peng - In: Annual review of economics 8 (2016), pp. 53-80

Persistent link: https://www.econbiz.de/10011743160

Efficient estimation of approximate factor models via penalized maximum likelihood

Bai, Jushan; Liao, Yuan - In: Journal of econometrics 191 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011594307

Cross-sectional dependence in panel data models : a special issue

Bai, Jushan; Baltagi, Badi H.; Pesaran, M. Hashem - In: Journal of applied econometrics 31 (2016) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10011642077

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