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Testing for and dating common breaks in multivariate time series

Bai, Jushan - In: The review of economic studies 65 (1998) 3, pp. 395-432

Persistent link: https://www.econbiz.de/10001244375

Estimation of a change point in multiple regression models

Bai, Jushan - In: The review of economics and statistics 79 (1997) 4, pp. 551-563

Persistent link: https://www.econbiz.de/10001229894

Structural changes in high dimensional factor models

Bai, Jushan; Han, Xu - In: Frontiers of economics in China : selected publications … 11 (2016) 1, pp. 9-39

Persistent link: https://www.econbiz.de/10011473561

Panel data models with grouped factor structure under unknown group membership

Ando, Tomohiro; Bai, Jushan - In: Journal of applied econometrics 31 (2016) 1, pp. 163-191

Persistent link: https://www.econbiz.de/10011642138

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

A new look at panel testing of stationarity and the PPP hypothesis

Bai, Jushan (contributor); Ng, Serena (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001650998

Panel unit root tests with cross-section dependence : a further investigation

Bai, Jushan; Ng, Serena - In: Econometric theory 26 (2010) 4, pp. 1088-1114

Persistent link: https://www.econbiz.de/10003993826

A new look at panel testing of stationarity and PPP hypothesis

Bai, Jushan; Ng, Serena - In: Identification and inference for econometric models : …, (pp. 426-450). 2005

Persistent link: https://www.econbiz.de/10003352593

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

Fama-MacBeth Two-Pass Regressions : Improving Risk Premia Estimates

Bai, Jushan - 2015

In this paper, we provide the asymptotic theory for the widely used Fama and MacBeth (1973) two-pass regression in the usual case of a large number of assets. We find that the convergence of the OLS two-pass estimator depends critically on the time series sample size in addition to the number of...

Persistent link: https://www.econbiz.de/10013024744