37
H index
65
i10 index
17209
Citations
Columbia University | 37 H index 65 i10 index 17209 Citations RESEARCH PRODUCTION: 68 Articles 59 Papers RESEARCH ACTIVITY: 32 years (1991 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pba53 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jushan Bai. | Is cited by: | Cites to: |
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2023 | . Full description at Econpapers || Download paper | |
2023 | British slave emancipation and the demand for Brazilian sugar. (2023). Absell, Christopher David. In: Cliometrica, Journal of Historical Economics and Econometric History. RePEc:afc:cliome:v:17:y:2023:i:1:p:125-154. Full description at Econpapers || Download paper | |
2023 | The Synergy between Governance and Trade Openness in Promoting Female Economic Inclusion in Sub-Saharan Africa. (2023). Asongu, Simplice ; Salahodjaev, Raufhon ; Tchamyou, Vanessa S ; Ofori, Pamela E. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:23/001. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720. Full description at Econpapers || Download paper | |
2023 | Disentangling Short-Run COVID-19 Price Impact Pathways in the U.S. Corn Market. (2022). , Gao. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:322846. Full description at Econpapers || Download paper | |
2023 | Distortionary Agricultural Policies: Their Productivity, Location and Climate Variability Implications for South Africa During the 20th Century. (2023). Senay, Senait ; Pardey, Philip G ; Greyling, Jan. In: Staff Papers. RePEc:ags:umaesp:330158. Full description at Econpapers || Download paper | |
2023 | Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets. (2023). Mugrabi, Farah Daniela. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023001. Full description at Econpapers || Download paper | |
2023 | German Real Estate Index (GREIX). (2023). Zdrzalek, Jonas ; Schularick, Moritz ; Dohmen, Martin ; Amaral, Francisco. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:231. Full description at Econpapers || Download paper | |
2023 | Confidence set for group membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Papers. RePEc:arx:papers:1801.00332. Full description at Econpapers || Download paper | |
2023 | Nuclear Norm Regularized Estimation of Panel Regression Models. (2019). Weidner, Martin ; Moon, Hyungsik Roger. In: Papers. RePEc:arx:papers:1810.10987. Full description at Econpapers || Download paper | |
2023 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2023 | Optimal Experimental Design for Staggered Rollouts. (2019). Imbens, Guido ; Bayati, Mohsen ; Athey, Susan ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1911.03764. Full description at Econpapers || Download paper | |
2023 | Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637. Full description at Econpapers || Download paper | |
2023 | Equal Predictive Ability Tests for Panel Data with an Application to OECD and IMF Forecasts. (2020). Yang, Zhenlin ; Urga, Giovanni ; Pirotte, Alain ; Akgun, Oguzhan. In: Papers. RePEc:arx:papers:2003.02803. Full description at Econpapers || Download paper | |
2023 | Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887. Full description at Econpapers || Download paper | |
2023 | Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401. Full description at Econpapers || Download paper | |
2023 | Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435. Full description at Econpapers || Download paper | |
2023 | Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127. Full description at Econpapers || Download paper | |
2023 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper | |
2023 | Learning Treatment Effects in Panels with General Intervention Patterns. (2021). Peng, Tianyi ; Li, Andrew A ; Farias, Vivek F. In: Papers. RePEc:arx:papers:2106.02780. Full description at Econpapers || Download paper | |
2023 | Inference for Low-Rank Models. (2021). Zhu, Yinchu ; Liao, Yuan ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2107.02602. Full description at Econpapers || Download paper | |
2023 | A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors. (2021). Xie, Yimeng ; Pesaran, Hashem M. In: Papers. RePEc:arx:papers:2109.00408. Full description at Econpapers || Download paper | |
2023 | Optimal index insurance and basis risk decomposition: an application to Kenya. (2021). Lobell, David ; Stigler, Matthieu. In: Papers. RePEc:arx:papers:2111.08601. Full description at Econpapers || Download paper | |
2023 | Semiparametric Conditional Factor Models: Estimation and Inference. (2021). Wang, Xiaoliang ; Roussanov, Nikolai ; Chen, Qihui. In: Papers. RePEc:arx:papers:2112.07121. Full description at Econpapers || Download paper | |
2023 | Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430. Full description at Econpapers || Download paper | |
2023 | Inferential Theory for Granular Instrumental Variables in High Dimensions. (2022). Lee, Tae Hwy ; Banafti, Saman. In: Papers. RePEc:arx:papers:2201.06605. Full description at Econpapers || Download paper | |
2023 | A projection based approach for interactive fixed effects panel data models. (2022). Soberon, Alexandra ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Wang, Weining. In: Papers. RePEc:arx:papers:2201.11482. Full description at Econpapers || Download paper | |
2023 | Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150. Full description at Econpapers || Download paper | |
2023 | Make the Difference! Computationally Trivial Estimators for Grouped Fixed Effects Models. (2022). Mugnier, Martin. In: Papers. RePEc:arx:papers:2203.08879. Full description at Econpapers || Download paper | |
2023 | Testing Overidentifying Restrictions with High-Dimensional Data and Heteroskedasticity. (2022). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171. Full description at Econpapers || Download paper | |
2023 | A Simple Bootstrap Method for Panel Data Inferences. (2022). GAO, Jiti ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2205.00577. Full description at Econpapers || Download paper | |
2023 | Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126. Full description at Econpapers || Download paper | |
2023 | Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925. Full description at Econpapers || Download paper | |
2023 | Forecasting Algorithms for Causal Inference with Panel Data. (2022). Young, Justin ; Nyarko, Julian ; Goldin, Jacob. In: Papers. RePEc:arx:papers:2208.03489. Full description at Econpapers || Download paper | |
2023 | Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects. (2022). GAO, Jiti ; Whang, Yoon-Jae ; Oka, Tatsushi ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2208.03632. Full description at Econpapers || Download paper | |
2023 | Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693. Full description at Econpapers || Download paper | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2023 | Combining Forecasts under Structural Breaks Using Graphical LASSO. (2022). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2209.01697. Full description at Econpapers || Download paper | |
2023 | Multidimensional Interactive Fixed-Effects. (2022). Freeman, Hugo. In: Papers. RePEc:arx:papers:2209.11691. Full description at Econpapers || Download paper | |
2023 | Bayesian Modeling of Time-varying Parameters Using Regression Trees. (2022). Mitchell, James ; Koop, Gary ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2209.11970. Full description at Econpapers || Download paper | |
2023 | Testing the Number of Components in Finite Mixture Normal Regression Model with Panel Data. (2022). Kasahara, Hiroyuki ; Hao, YU. In: Papers. RePEc:arx:papers:2210.02824. Full description at Econpapers || Download paper | |
2023 | Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828. Full description at Econpapers || Download paper | |
2023 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper | |
2023 | On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921. Full description at Econpapers || Download paper | |
2023 | Efficient Convex PCA with applications to Wasserstein geodesic PCA and ranked data. (2022). Wong, Ting-Kam Leonard ; Campbell, Steven. In: Papers. RePEc:arx:papers:2211.02990. Full description at Econpapers || Download paper | |
2023 | Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending. (2022). Westerlund, Joakim ; Karavias, Yiannis ; Ditzen, Jan. In: Papers. RePEc:arx:papers:2211.06707. Full description at Econpapers || Download paper | |
2023 | Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610. Full description at Econpapers || Download paper | |
2023 | Strategyproof Decision-Making in Panel Data Settings and Beyond. (2022). Wu, Zhiwei Steven ; Podimata, Chara ; Agarwal, Anish ; Harris, Keegan. In: Papers. RePEc:arx:papers:2211.14236. Full description at Econpapers || Download paper | |
2023 | Unified Container Shipping Industry Data From 1966: Freight Rate, Shipping Quantity, Newbuilding, Secondhand, and Scrap Price. (2022). Otani, Suguru ; Matsuda, Takuma. In: Papers. RePEc:arx:papers:2211.16292. Full description at Econpapers || Download paper | |
2023 | Incorporating Prior Knowledge of Latent Group Structure in Panel Data Models. (2022). Zhang, Boyuan. In: Papers. RePEc:arx:papers:2211.16714. Full description at Econpapers || Download paper | |
2023 | Tensor Principal Component Analysis. (2022). Pan, Junsu ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2212.12981. Full description at Econpapers || Download paper | |
2023 | When it counts -- Econometric identification of the basic factor model based on GLT structures. (2023). Lopes, Hedibert Freitas ; Hosszejni, Darjus ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:2301.06354. Full description at Econpapers || Download paper | |
2023 | Difference-in-Differences via Common Correlated Effects. (2023). Westerlund, Joakim ; Butts, Kyle ; Brown, Nicholas. In: Papers. RePEc:arx:papers:2301.11358. Full description at Econpapers || Download paper | |
2023 | Multidimensional dynamic factor models. (2023). Pellegrino, Filippo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2301.12499. Full description at Econpapers || Download paper | |
2023 | Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan. In: Papers. RePEc:arx:papers:2301.13604. Full description at Econpapers || Download paper | |
2023 | Estimating Time-Varying Networks for High-Dimensional Time Series. (2023). Linton, Oliver ; Chen, Jia. In: Papers. RePEc:arx:papers:2302.02476. Full description at Econpapers || Download paper | |
2023 | Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808. Full description at Econpapers || Download paper | |
2023 | High-Dimensional Conditionally Gaussian State Space Models with Missing Data. (2023). Zhu, Dan ; Poon, Aubrey. In: Papers. RePEc:arx:papers:2302.03172. Full description at Econpapers || Download paper | |
2023 | Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193. Full description at Econpapers || Download paper | |
2023 | Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052. Full description at Econpapers || Download paper | |
2023 | Forecasting the Turkish Lira Exchange Rates through Univariate Techniques: Can the Simple Models Outperform the Sophisticated Ones?. (2023). Sarkandiz, Mostafa R. In: Papers. RePEc:arx:papers:2302.08897. Full description at Econpapers || Download paper | |
2023 | Implicit Nickell Bias in Panel Local Projection. (2023). Shi, Zhentao ; Sheng, Liugang ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2302.13455. Full description at Econpapers || Download paper | |
2023 | A Comparative Analysis of Forecasting Models Using Moroccan Economic Data: The Factor-Augmented Error Correction Model in Perspective. (2023). Marouane, Daoui. In: Papers. RePEc:arx:papers:2302.14180. Full description at Econpapers || Download paper | |
2023 | Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863. Full description at Econpapers || Download paper | |
2023 | Inference of Grouped Time-Varying Network Vector Autoregression Models. (2023). Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin ; Li, Degui. In: Papers. RePEc:arx:papers:2303.10117. Full description at Econpapers || Download paper | |
2023 | Financial Structure, Firm Size and Financial Growth of Non-Financial Firms Listed at the Nairobi Securities Exchange. (2023). Wepukhulu, Joshua Matanda ; Oluoch, Oluoch ; Shikumo, David Haritone. In: Papers. RePEc:arx:papers:2303.10910. Full description at Econpapers || Download paper | |
2023 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper | |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper | |
2023 | Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure. (2023). Li, Runze ; Chen, Jia ; Yang, Xiao Rong. In: Papers. RePEc:arx:papers:2303.13218. Full description at Econpapers || Download paper | |
2023 | sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings. (2023). Gibberd, Alex ; Chan, Tak-Shing ; Mosley, Luke. In: Papers. RePEc:arx:papers:2303.14125. Full description at Econpapers || Download paper | |
2023 | Common Correlated Effects Estimation of Nonlinear Panel Data Models. (2023). Zhang, Minyuan ; Chen, Liang. In: Papers. RePEc:arx:papers:2304.13199. Full description at Econpapers || Download paper | |
2023 | Estimation of Characteristics-based Quantile Factor Models. (2023). Gonzalo, Jesus ; Pan, Haozi ; Dolado, Juan Jose ; Chen, Liang. In: Papers. RePEc:arx:papers:2304.13206. Full description at Econpapers || Download paper | |
2023 | Large Global Volatility Matrix Analysis Based on Structural Information. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464. Full description at Econpapers || Download paper | |
2023 | Debiased inference for dynamic nonlinear models with two-way fixed effects. (2023). Sun, Yutao ; Leng, Xuan. In: Papers. RePEc:arx:papers:2305.03134. Full description at Econpapers || Download paper | |
2023 | Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934. Full description at Econpapers || Download paper | |
2023 | Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618. Full description at Econpapers || Download paper | |
2023 | Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563. Full description at Econpapers || Download paper | |
2023 | Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256. Full description at Econpapers || Download paper | |
2023 | A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484. Full description at Econpapers || Download paper | |
2023 | The Synthetic Control Method with Nonlinear Outcomes: Estimating the Impact of the 2019 Anti-Extradition Law Amendments Bill Protests on Hong Kongs Economy. (2023). Tian, Wei. In: Papers. RePEc:arx:papers:2306.01967. Full description at Econpapers || Download paper | |
2023 | Individual Causal Inference Using Panel Data With Multiple Outcomes. (2023). Tian, Wei. In: Papers. RePEc:arx:papers:2306.01969. Full description at Econpapers || Download paper | |
2023 | Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004. Full description at Econpapers || Download paper | |
2023 | High-Dimensional Canonical Correlation Analysis. (2023). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2306.16393. Full description at Econpapers || Download paper | |
2023 | Adaptive Principal Component Regression with Applications to Panel Data. (2023). Wu, Zhiwei Steven ; Whitehouse, Justin ; Harris, Keegan ; Agarwal, Anish. In: Papers. RePEc:arx:papers:2307.01357. Full description at Econpapers || Download paper | |
2023 | Noise reduction for functional time series. (2023). Wouters, Bram ; Diks, Cees. In: Papers. RePEc:arx:papers:2307.02154. Full description at Econpapers || Download paper | |
2023 | Robust Impulse Responses using External Instruments: the Role of Information. (2023). Mazzali, Marco ; Franconi, Alessandro ; Brignone, Davide. In: Papers. RePEc:arx:papers:2307.06145. Full description at Econpapers || Download paper | |
2023 | Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors. (2023). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2307.07689. Full description at Econpapers || Download paper | |
2023 | Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864. Full description at Econpapers || Download paper | |
2023 | Reconciling the Theory of Factor Sequences. (2023). Deistler, Manfred ; Rust, Christoph ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2307.10067. Full description at Econpapers || Download paper | |
2023 | Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2023). Pipiras, Vladas ; Fisher, Zachary F ; Kim, Younghoon. In: Papers. RePEc:arx:papers:2307.10454. Full description at Econpapers || Download paper | |
2023 | Real-Time Detection of Local No-Arbitrage Violations. (2023). Zhou, BO ; Todorov, Viktor ; Andersen, Torben G. In: Papers. RePEc:arx:papers:2307.10872. Full description at Econpapers || Download paper | |
2023 | Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models. (2023). Kong, Lingwei. In: Papers. RePEc:arx:papers:2307.14499. Full description at Econpapers || Download paper | |
2023 | Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151. Full description at Econpapers || Download paper | |
2023 | Group-Heterogeneous Changes-in-Changes and Distributional Synthetic Controls. (2023). Feng, Junlong ; Chen, Songnian. In: Papers. RePEc:arx:papers:2307.15313. Full description at Econpapers || Download paper | |
2023 | Panel Data Models with Time-Varying Latent Group Structures. (2023). Su, Liangjun ; Phillips, Peter ; Wang, Yiren. In: Papers. RePEc:arx:papers:2307.15863. Full description at Econpapers || Download paper | |
2023 | Inference for Low-rank Completion without Sample Splitting with Application to Treatment Effect Estimation. (2023). Liao, Yuan ; Kwon, Hyukjun ; Choi, Jungjun. In: Papers. RePEc:arx:papers:2307.16370. Full description at Econpapers || Download paper | |
2023 | Matrix Completion When Missing Is Not at Random and Its Applications in Causal Panel Data Models. (2023). Yuan, Ming ; Choi, Jungjun. In: Papers. RePEc:arx:papers:2308.02364. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2016 | Econometric Analysis of Large Factor Models In: Annual Review of Economics. [Full Text][Citation analysis] | article | 49 |
2017 | Principal Components and Regularized Estimation of Factor Models In: Papers. [Full Text][Citation analysis] | paper | 11 |
2019 | Robust Principal Component Analysis with Non-Sparse Errors In: Papers. [Full Text][Citation analysis] | paper | 5 |
2021 | Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data In: Papers. [Full Text][Citation analysis] | paper | 24 |
2021 | Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data.(2021) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
2020 | Standard Errors for Panel Data Models with Unknown Clusters In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations In: Papers. [Full Text][Citation analysis] | paper | 25 |
2021 | Feasible generalized least squares for panel data with cross-sectional and serial correlations.(2021) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
2020 | Simpler Proofs for Approximate Factor Models of Large Dimensions In: Papers. [Full Text][Citation analysis] | paper | 6 |
2021 | Quasi-maximum likelihood estimation of break point in high-dimensional factor models In: Papers. [Full Text][Citation analysis] | paper | 2 |
2023 | Quasi-maximum likelihood estimation of break point in high-dimensional factor models.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2022 | Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions In: Papers. [Full Text][Citation analysis] | paper | 3 |
2023 | Factor-based imputation of missing values and covariances in panel data of large dimensions.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2023 | Approximate Factor Models with Weaker Loadings In: Papers. [Full Text][Citation analysis] | paper | 3 |
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2005 | Tests for Skewness, Kurtosis, and Normality for Time Series Data In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 186 |
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2007 | Determining the Number of Primitive Shocks in Factor Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 379 |
2011 | OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR In: Journal of Financial Research. [Citation analysis] | article | 6 |
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1993 | ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 9 |
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1998 | A Test for Conditional Symmetry in Time Series Models In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
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2002 | Determining the Number of Factors in Approximate Factor Models.(2002) In: Econometrica. [Citation analysis] This paper has nother version. Agregated cites: 2420 | article | |
2000 | Determining the Number of Factors in Approximate Factor Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2420 | paper | |
2001 | A New Look at Panel Testing of Stationarity and the PPP Hypothesis In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 9 |
2001 | A New Look at Panel Testing of Stationarity and the PPP Hypothesis.(2001) In: Economics Working Paper Archive. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2001 | A PANIC Attack on Unit Roots and Cointegration In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 950 |
2004 | A PANIC Attack on Unit Roots and Cointegration.(2004) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 950 | article | |
2001 | A Panic Attack on Unit Roots and Cointegration.(2001) In: Economics Working Paper Archive. [Citation analysis] This paper has nother version. Agregated cites: 950 | paper | |
2009 | Selecting Instrumental Variables in a Data Rich Environment In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 27 |
1992 | the Impact of 1989 California Major Anti-Smoking Legislation Cigarette Consumption: Three Years Later In: Department of Economics, Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
1992 | The Impact of 1989 California Major Anti-Smoking Legislation on Cigarette Consumption: Three Years Later..(1992) In: Economics Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
1991 | the Impact of a Large Tax Increase on Cigarette Consumption: The Case of California In: Department of Economics, Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
1991 | The Impact of a Large Tax Increase on Cigarette Consumption: The Case of California..(1991) In: Economics Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2000 | Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 62 |
2000 | Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices.(2000) In: CEMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 62 | paper | |
2008 | Extremum Estimation when the Predictors are Estimated from Large Panels In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 20 |
2011 | Estimating High Dimensional Covariance Matrices and its Applications In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 41 |
1995 | Least Absolute Deviation Estimation of a Shift In: Econometric Theory. [Full Text][Citation analysis] | article | 43 |
1997 | Estimating Multiple Breaks One at a Time In: Econometric Theory. [Full Text][Citation analysis] | article | 407 |
1995 | Estimating Multiple Breaks One at a Time.(1995) In: Working papers. [Citation analysis] This paper has nother version. Agregated cites: 407 | paper | |
1998 | A NOTE ON SPURIOUS BREAK In: Econometric Theory. [Full Text][Citation analysis] | article | 31 |
2010 | PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION In: Econometric Theory. [Full Text][Citation analysis] | article | 90 |
2010 | INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT In: Econometric Theory. [Full Text][Citation analysis] | article | 99 |
1996 | Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach. In: Econometrica. [Full Text][Citation analysis] | article | 34 |
1993 | Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach..(1993) In: Working papers. [Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
1998 | Estimating and Testing Linear Models with Multiple Structural Changes In: Econometrica. [Citation analysis] | article | 3268 |
1995 | Estimating and Testing Linear Models with Multiple Structural Changes..(1995) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3268 | paper | |
1995 | Estimating and Testing Linear Models with Multiple Structural Changes..(1995) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 3268 | paper | |
2003 | Inferential Theory for Factor Models of Large Dimensions In: Econometrica. [Citation analysis] | article | 1004 |
2006 | Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions In: Econometrica. [Full Text][Citation analysis] | article | 393 |
2009 | Panel Data Models With Interactive Fixed Effects In: Econometrica. [Full Text][Citation analysis] | article | 912 |
2013 | Fixedâ€Effects Dynamic Panel Models, a Factor Analytical Method In: Econometrica. [Full Text][Citation analysis] | article | 50 |
2004 | Structural changes, common stochastic trends and unit roots in panel data In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 151 |
2009 | Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data.(2009) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 151 | article | |
2008 | Generic consistency of the break-point estimators under specification errors in a multiple-break model In: Econometrics Journal. [Full Text][Citation analysis] | article | 25 |
2003 | Critical values for multiple structural change tests In: Econometrics Journal. [Full Text][Citation analysis] | article | 372 |
2015 | A simple new test for slope homogeneity in panel data models with interactive effects In: Economics Letters. [Full Text][Citation analysis] | article | 17 |
2014 | A simple new test for slope homogeneity in panel data models with interactive effects.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2001 | A consistent test for conditional symmetry in time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 60 |
2004 | Estimating cross-section common stochastic trends in nonstationary panel data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 209 |
2006 | Evaluating latent and observed factors in macroeconomics and finance In: Journal of Econometrics. [Full Text][Citation analysis] | article | 113 |
2004 | Evaluating Latent and Observed Factors in Macroeconomics and Financ.(2004) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | paper | |
2008 | Testing multivariate distributions in GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 30 |
2008 | Forecasting economic time series using targeted predictors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 372 |
2009 | Panel cointegration with global stochastic trends In: Journal of Econometrics. [Full Text][Citation analysis] | article | 209 |
2007 | Panel Cointegration with Global Stochastic Trends.(2007) In: Center for Policy Research Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 209 | paper | |
2010 | Common breaks in means and variances for panel data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 99 |
2013 | Principal components estimation and identification of static factors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 147 |
2014 | Identification theory for high dimensional static and dynamic factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
2016 | Efficient estimation of approximate factor models via penalized maximum likelihood In: Journal of Econometrics. [Full Text][Citation analysis] | article | 31 |
2017 | Inferences in panel data with interactive effects using large covariance matrices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 11 |
2019 | Rank regularized estimation of approximate factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
2020 | Estimation and inference of change points in high-dimensional factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
2021 | Dynamic spatial panel data models with common shocks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 12 |
2022 | Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
1999 | Likelihood ratio tests for multiple structural changes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 110 |
2015 | Fama–MacBeth two-pass regressions: Improving risk premia estimates In: Finance Research Letters. [Full Text][Citation analysis] | article | 9 |
2016 | Structural Changes in High Dimensional Factor Models In: Frontiers of Economics in China-Selected Publications from Chinese Universities. [Full Text][Citation analysis] | article | 7 |
2003 | Computation and analysis of multiple structural change models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 2779 |
1998 | Computation and Analysis of Multiple Structural-Change Models.(1998) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2779 | paper | |
2009 | Boosting diffusion indices In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 82 |
2005 | On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence In: Center for Policy Research Working Papers. [Full Text][Citation analysis] | paper | 11 |
1994 | Estimation of Structural Change Based on Wald-Type Statistics. In: Working papers. [Citation analysis] | paper | 2 |
1994 | Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses. In: Working papers. [Citation analysis] | paper | 11 |
1995 | Estimating & Testing Linear Models with Multiple Structural Changes In: Working papers. [Citation analysis] | paper | 10 |
1996 | A Note on Spurious Break and Regime Shift in Cointegrating Relationship. In: Working papers. [Citation analysis] | paper | 3 |
1996 | An Inequality for Vector-Valued Martingales and Its Applications. In: Working papers. [Citation analysis] | paper | 4 |
2008 | Large Dimensional Factor Analysis In: Foundations and Trends(R) in Econometrics. [Full Text][Citation analysis] | article | 222 |
2015 | Asset Pricing with a General Multifactor Structure In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 31 |
1998 | Testing For and Dating Common Breaks in Multivariate Time Series In: Review of Economic Studies. [Full Text][Citation analysis] | article | 304 |
2021 | Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
1993 | Weak convergence of the sequential empirical processes of residuals in ARMA models In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
1998 | Estimation of multiple-regime regressions with least absolutes deviation In: MPRA Paper. [Full Text][Citation analysis] | paper | 16 |
2011 | Conditional Markov chain and its application in economic time series analysis In: MPRA Paper. [Full Text][Citation analysis] | paper | 18 |
2011 | Conditional Markov chain and its application in economic time series analysis.(2011) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
2009 | Testing Panel Cointegration with Unobservable Dynamic Common Factors In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
2012 | Identification and estimation of dynamic factor models In: MPRA Paper. [Full Text][Citation analysis] | paper | 23 |
2012 | Efficient Estimation of Approximate Factor Models In: MPRA Paper. [Full Text][Citation analysis] | paper | 8 |
2012 | Maximum likelihood estimation and inference for approximate factor models of high dimension In: MPRA Paper. [Full Text][Citation analysis] | paper | 59 |
2016 | Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension.(2016) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | article | |
2012 | Theory and methods of panel data models with interactive effects In: MPRA Paper. [Full Text][Citation analysis] | paper | 6 |
2013 | Likelihood approach to dynamic panel models with interactive effects In: MPRA Paper. [Full Text][Citation analysis] | paper | 16 |
2013 | Panel data models with grouped factor structure under unknown group membership In: MPRA Paper. [Full Text][Citation analysis] | paper | 59 |
2016 | Panel Data Models with Grouped Factor Structure Under Unknown Group Membership.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | article | |
2013 | Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2014 | Spatial panel data models with common shocks In: MPRA Paper. [Full Text][Citation analysis] | paper | 8 |
2012 | Theory and Applications of TAR Model with Two Threshold Variables In: MPRA Paper. [Full Text][Citation analysis] | paper | 23 |
2012 | Theory and Applications of TAR Model with Two Threshold Variables.(2012) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
2014 | Estimation and inference of FAVAR models In: MPRA Paper. [Full Text][Citation analysis] | paper | 36 |
2016 | Estimation and Inference of FAVAR Models.(2016) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | article | |
2017 | Practical notes on panel data models with interactive effects In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2018 | Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity In: MPRA Paper. [Full Text][Citation analysis] | paper | 32 |
2020 | Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity.(2020) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
2019 | A Quantile-based Asset Pricing Model In: Economics and Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
2017 | Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 51 |
2015 | Identification and Bayesian Estimation of Dynamic Factor Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 94 |
2016 | Special Issue on Big Data In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1 |
1997 | Estimation Of A Change Point In Multiple Regression Models In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 359 |
2003 | Testing Parametric Conditional Distributions of Dynamic Models In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 142 |
2013 | Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors In: Econometrics Journal. [Full Text][Citation analysis] | article | 17 |
2016 | Cross?Sectional Dependence in Panel Data Models: A Special Issue In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 8 |
2004 | Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor In: Econometrics. [Full Text][Citation analysis] | paper | 6 |
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