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Likelihood ratio tests for multiple structural changes

Bai, Jushan - In: Journal of econometrics 91 (1999) 2, pp. 299-323

Persistent link: https://www.econbiz.de/10001382092

Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions

Bai, Jushan; Ng, Serena - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 4, pp. 1133-1150

Persistent link: https://www.econbiz.de/10003346183

Evaluating latent and observed factors in macroeconomics and finance

Bai, Jushan; Ng, Serena - In: Journal of econometrics 131 (2006) 1/2, pp. 507-537

Persistent link: https://www.econbiz.de/10003298610

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

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