Jushan Bai

Contact Information

Department of Economics, Columbia University
1019 International Affairs Building
420 W 118 St. New York, NY 10027 USA
Ph: 212-854-8033
Fx: 212-854-8059
Email: jushan.bai@columbia.edu

Education

• Ph.D. in Economics, 1992, University of California, Berkeley.

CV

• Curriculum Vitae

Research in Econometrics

Topics

• Panel Data Models
• Cross-Sectional Dependence
• Incidental Parameters Problem
• Unit Root and Cointegration
• Forecasting
• Structural Changes
• Instrumental Variables Estimation with Many IVs
• Large Dimensional Factor Analysis
• Financial Econometrics
• High Dimensional Covariance Matrices
• LASSO, Boosting
• Weak Convergence and Empirical Processes
• Generated Regressors
• Factor-Augmented Vector Autoregression (FAVAR)
• Robust Estimation

List of Papers by Topics

Panel Data Models

• " Fixed-effects dynamic panel models, a factor analytical method." 2013, Econometrica
• " Panel Unit Root Tests with Cross-Section Dependence, a further investigation." 2010, Econometric Theory , with S. Ng
• " Common breaks in means and in variances for panel data." 2010, Journal of Econometrics
• " Panel data models with interactive fixed effects." 2009, Econometrica
• " Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data." 2009, Review of Economic Studies ,with Josep Lluis Carrion-i-Silverstre
• " Panel Cointegration with Global Stochastic Trends." 2009, Journal of Time Series Econometrics ,with C. Kao, S. Ng
• " On the estimation and inference of panel data cointegration with cross-section dependence." 2006, Panel data econometrics,with Chihwa Kao

Cross-Sectional Dependence

• " On the estimation and inference of panel data cointegration with cross-section dependence." 2006, Panel data econometrics,with Chihwa Kao
• " Estimating Cross-Section Common Stochastic Trends in Nonstationary Panel Data." 2004, Journal of Econometrics

Incidental Parameters Problem

• " Fixed-effects dynamic panel models, a factor analytical method." 2013, Econometrica

Unit Root and Cointegration

• " Panel Unit Root Tests with Cross-Section Dependence, a further investigation." 2010, Econometric Theory , with S. Ng
• " Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data." 2009, Review of Economic Studies ,with Josep Lluis Carrion-i-Silverstre
• " Panel Cointegration with Global Stochastic Trends." 2009, Journal of Econometrics , with C. Kao and S. Ng
• " On the estimation and inference of panel data cointegration with cross-section dependence." 2006, Panel data econometrics,with Chihwa Kao
• " A Panic Attack on Unit Roots and Cointegration." 2004, Econometrica , with S. Ng
• " Estimating Cross-Section Common Stochastic Trends in Nonstationary Panel Data." 2004, Journal of Econometrics

Forecasting

• " Forecasting Economic Time Series Using Targeted Predictors." 2008, Journal of Econometrics ,with Serena Ng
• " Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions." 2006, Econometrica,with Serena Ng

Structural Changes

• " The Theory and Applications of TAR Model with two Threshold Variables." 2012, Econometric Review,with T. Chong and H.Q. Chen
• " Conditional Markov Chain and its Application in Economic Time Series Analysis." 2011, Journal of Applied Econometrics ,with P. Wang
• " Common breaks in means and variances for panel data." 2010, Journal of Econometrics
• " Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data." 2009, Review of Economic Studies ,with Josep Lluis Carrion-i-Silverstre
• " Generic Consistency for Multiple Breaks under Specification Errors in a Multiple-Break Model." 2008, Econometrics Journal,with Terence Chong, H. Chen, and S.X. Wang
• " Multiple Structural Changes Models: a Simulation Analysis." 2006, Econometric Theory and Practice ,with Pierre Perron
• " Critical Values of Multiple Structural Change Tests." 2003, Econometrics Journal ,with Pierre Perron
• " Computation and Analysis of Multiple Structural Changes." 2003, Journal of Applied Econometrics ,with Pierre Perron
• " Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices." 2000, Annals of Economics and Finance
• " Likelihood Ratio Tests for Multiple Structural Changes." 1999, Journal of Econometrics
• " Estimation of Multiple-Regime Regressions with Least Absolutes Deviation." 1998, Journal of Statistical Planning and Inference
• " A Note on Spurious Breaks." 1998, Econometric Theory
• " Testing for and Dating Common Breaks in Multivariate Time Series." 1998, Review of Economic Studies ,with Robin Lumsdaine and James Stock
• " Estimating and Testing Linear Models with Multiple Structural Changes." 1998, Econometrica ,with Pierre Perron
• " Estimation of a Change Point in Multiple Regression Models." 1997, Review of Economics and Statistics
• " Estimating Multiple Breaks One at a Time." 1997, Econometric Theory
• " Testing for Parameter Constancy in Linear Regressions: an Empirical Distribution Function Approach." 1996, Econometrica
• " Least Absolute Deviation Estimation of a Shift." 1995, Econometric Theory
• " Least Squares Estimation of a Shift in Linear Processes." 1994, Journal of Time Series Analysis

Instrumental Variables Estimation with Many IVs

• " A simple method for estimating betas when factors are measured with error." 2011, Journal of Financial Research ,with G. Meng and G. Hu
• " Instrumental variable estimation in a data rich environment." 2010, Econometric Theory ,with Serena Ng
• " Selecting instrument variables in a data rich environment." 2009, Journal of Time Series Econometrics,with Serena Ng

Large Dimensional Factor Analysis

• " Principal components estimation and identification of static factors." 2013, Journal of Econometrics , with S. Ng
• " Fixed-effects dynamic panel models, a factor analytical method." 2013, Econometrica
• " Statistical analysis of factor models of high dimension." 2012, Annals of Statistics , with K.P.Li
• " A simple method for estimating betas when factors are measured with error." 2011, Journal of Financial Research , with G. Meng and G. Hu
• " Panel Unit Root Tests with Cross-Section Dependence, a further investigation." 2010, Econometric Theory , with S. Ng
• " Panel data models with interactive fixed effects." 2009, Econometrica
• " Panel Cointegration with Global Stochastic Trends." 2009, Journal of Econometrics , with C. Kao and S. Ng
• " Factor Models." 2008, New Palgrave Dictionary of Economics
• " Large Dimensional Factor Models." 2008, Foundations and Trends in Econometrics , with S. Ng
• " Determine the number of primitive shocks in factor models." 2007, Journal of Business and Economics Statistics , with S. Ng
• " Evaluating Latent and Observed Factors in Macroeconomics and Finance." 2006, Journal of Econometrics , with S. Ng
• " A Panic Attack on Unit Roots and Cointegration." 2004, Econometrica , with S. Ng
• " Estimating Cross-Section Common Stochastic Trends in Nonstationary Panel Data." 2004, Journal of Econometrics
• " Inferential Theory for Factor Models of Large Dimensions." 2003, Econometrica
• " Determine the Number of Factors in Approximate Factor Models." 2003, Econometrica , with S. Ng

Financial Econometrics

• " The Theory and Applications of TAR Model with two Threshold Variables." 2012, Econometric Review,with T. Chong and H.Q. Chen
• " Estimating high dimensional covariance matrices and its applications." 2011, Annals of Economics and Finance , with Shuzhong Shi
• " Conditional Markov Chain and its Application in Economic Time Series Analysis." 2011, Journal of Applied Econometrics ,with P. Wang
• " A simple method for estimating betas when factors are measured with error." 2011, Journal of Financial Research ,with G. Meng and G. Hu
• " Boosting diffusion indices." 2009, Journal of Applied Econometrics ,with Serena Ng
• " Forecasting Economic Time Series Using Targeted Predictors." 2008, Journal of Econometrics ,with Serena Ng
• " Generic Consistency for Multiple Breaks under Specification Errors in a Multiple-Break Model." 2008, Econometrics Journal,with Terence Chong, H. Chen, and S.X. Wang
• " Testing multivariate distributions in GARCH models." 2008, Journal of Econometrics ,with Zhihong Chen
• " Evaluating Latent and Observed Factors in Macroeconomics and Finance." 2006, Journal of Econometrics ,with Serena Ng
• " Testing Skewness, Kurtosis, and Normality for Time Series Data." 2005, Journal of Business and Economic Statistics ,with Serena Ng
• " Testing Parametric Conditional Distributions of Dynamic Models." 2003, Review of Economics and Statistics

High Dimensional Covariance Matrices

• " Estimating high dimensional covariance matrices and its applications." 2011, Annals of Economics and Finance,with Shuzhong Shi

LASSO, Boosting

• " Selecting instrument variables in a data rich environment." 2009, Journal of Time Series Econometrics,with Serena Ng
• " Boosting diffusion indices." 2009, Journal of Applied Econometrics ,with Serena Ng

Weak Convergence and Empirical Processes

• " Testing for Parameter Constancy in Linear Regressions: an Empirical Distribution Function Approach." 1996, Econometrica
• " Weak Convergence of the Sequential Empirical Processes of Residuals in ARMA Models." 1994, Annals of Statistics
• " On the Partial Sums of Residuals in Autoregressive and Moving Average Models." 1993, Journal of Time Series Analysis

Generated Regressors

• " Extreme estimation when the predictors are estimated from large panels." 2008, Annals of Economics and Finance ,with Serena Ng
• " Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions." 2006, Econometrica ,with Serena Ng

Factor-Augmented Vector Autoregression (FAVAR)

• " Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions." 2006, Econometrica ,with Serena Ng

Robust Estimation

• " Estimation of Multiple-Regime Regressions with Least Absolutes Deviation." 1998, Journal of Statistical Planning and Inference
• " Least Absolute Deviation Estimation of a Shift." 1995, Econometric Theory