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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

Feasible generalized least squares for panel data with cross-sectional and serial correlations

Bai, Jushan; Choi, Sung Hoon; Liao, Yuan - In: Empirical economics : a quarterly journal of the … 60 (2021) 1, pp. 309-326

Persistent link: https://www.econbiz.de/10012488925

Estimation and inference of change points in high-dimensional factor models

Bai, Jushan; Han, Xu; Shi, Yutang - In: Journal of econometrics 219 (2020) 1, pp. 66-100

Persistent link: https://www.econbiz.de/10012483190

Dynamic spatial panel data models with common shocks

Bai, Jushan; Li, Kunpeng - In: Journal of econometrics 224 (2021) 1, pp. 134-160

Persistent link: https://www.econbiz.de/10013275367

Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity

Ando, Tomohiro; Bai, Jushan; Li, Kunpeng - In: Journal of econometrics 230 (2022) 1, pp. 20-38

Persistent link: https://www.econbiz.de/10013441911

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

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

Ando, Tomohiro; Bai, Jushan - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 983-994

Persistent link: https://www.econbiz.de/10014448483

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

Approximate factor models with weaker loadings

Bai, Jushan; Ng, Serena - In: Journal of econometrics 235 (2023) 2, pp. 1893-1916

Persistent link: https://www.econbiz.de/10014471435