40
H index
67
i10 index
18777
Citations
Columbia University | 40 H index 67 i10 index 18777 Citations RESEARCH PRODUCTION: 75 Articles 65 Papers RESEARCH ACTIVITY:
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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: |
Year | Title of citing document | |
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2024 | The Environmental Kuznets Curve in Rich and Poor Countries: Insights from NASA-MODIS GPP Data. (2024). Kim, Hyeongwoo ; Chen, Jiquan ; Gao, Liping. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2024-08. Full description at Econpapers || Download paper | |
2024 | Rastreando la trayectoria de los precios de la quinua en Bolivia: Quiebres estructurales y persistencia de choques. (2024). Lenis, Maria Cecilia ; Lordemann, Javier Aliaga ; Vedia, Ignacio Garron. In: Development Research Working Paper Series. RePEc:adv:wpaper:202408. Full description at Econpapers || Download paper | |
2024 | Tracking the trend of quinoa price in Bolivia: Structural breaks and persistence of shoks. (2024). Lenis, Maria Cecilia ; Lordemann, Javier Aliaga ; Vedia, Ignacio Garron. In: Development Research Working Paper Series. RePEc:adv:wpaper:202410. Full description at Econpapers || Download paper | |
2024 | The role of governance and infrastructure in moderating the effect of resource rents on economic growth. (2024). Diop, Samba ; Asongu, Simplice ; Emeka, Ekene Thankgod ; Ogbonna, Amarachi O. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:24/027. Full description at Econpapers || Download paper | |
2024 | Modelling the relationship between inflation and uncertainty with existence of structural break: evidence from Azerbaijan. (2024). Rahimov, Vugar. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:85-96. Full description at Econpapers || Download paper | |
2024 | Beyond the threshold: Unraveling the effects of economic policy uncertainty on agricultural growth in Nigeria. (2024). Kotur, Lydia N ; Ayoola, Josephine B ; Aye, Goodness C. In: IAAE 2024 Conference, August 2-7, 2024, New Delhi, India. RePEc:ags:cfcp15:344261. Full description at Econpapers || Download paper | |
2024 | Dynamics of Stock Prices and Exchange Rate with Structural Breaks and Asymmetry: Evidence From Türkiye. (2024). Bier, Burhan ; Il, Almila Burga. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:9:y:2024:i:3:p:438-461. Full description at Econpapers || Download paper | |
2024 | Setting up a Sovereign Wealth Fund to Reduce Currency Crises. (2024). Hasse, Jean-Baptiste ; Siagh, Souhila ; Lecourt, Christelle. In: AMSE Working Papers. RePEc:aim:wpaimx:2417. Full description at Econpapers || Download paper | |
2024 | Critical Raw Materials Index - CRMI. (2024). Hasse, Jean-Baptiste ; Nobletz, Capucine. In: AMSE Working Papers. RePEc:aim:wpaimx:2428. Full description at Econpapers || Download paper | |
2024 | A panel analysis of microfinance efficiency measures: Evidence on the effects of unobserved managerial ability. (2024). Simar, Leopold ; Vanhems, Anne ; Tchuigoua, Hubert Tchakoute ; Fall, Franois Seck. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024020. Full description at Econpapers || Download paper | |
2025 | Distributional Dynamics. (2025). Kuhn, Moritz ; Bayer, Christian ; Calderon, Luis. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:351. Full description at Econpapers || Download paper | |
2024 | A Comparative Analysis on Ecological Footprint of Consumption and Import in Premature Deindustrialized Countries. (2024). Kozal, Ozge. In: World Journal of Applied Economics. RePEc:ana:journl:v:10:y:2024:i:2:p:87-109. Full description at Econpapers || Download paper | |
2025 | Exploring the Nexus Between Short- and Long-Run Rate of Interests in Turkey’s Bond Market. (2025). Tuncer, Ayse ; Ivrendi, Mehmet. In: World Journal of Applied Economics. RePEc:ana:journl:v:11:y:2025:i:1:p:39-62. Full description at Econpapers || Download paper | |
2024 | When Did Argentina Lose its Mojo? A Short Note on Economic Divergence. (2024). Levy Yeyati, Eduardo ; Katz, Sebastian. In: Working Papers. RePEc:aoz:wpaper:325. Full description at Econpapers || Download paper | |
2025 | The Transmission of Supply Shocks to Inflation: the Case of Argentina (2004-2022). (2025). Ordez, Lucas. In: Working Papers. RePEc:aoz:wpaper:351. Full description at Econpapers || Download paper | |
2025 | Nuclear Norm Regularized Estimation of Panel Regression Models. (2025). Weidner, Martin ; Moon, Hyungsik. In: Papers. RePEc:arx:papers:1810.10987. Full description at Econpapers || Download paper | |
2025 | A $t$-test for synthetic controls. (2024). Zhu, Yinchu ; Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1812.10820. Full description at Econpapers || Download paper | |
2024 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2024). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.03821. Full description at Econpapers || Download paper | |
2025 | Inference in Unbalanced Panel Data Models with Interactive Fixed Effects. (2020). Czarnowske, Daniel ; Stammann, Amrei. In: Papers. RePEc:arx:papers:2004.03414. Full description at Econpapers || Download paper | |
2024 | Tensor Factor Model Estimation by Iterative Projection. (2024). Han, Yuefeng ; Chen, Rong ; Yang, Dan ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2006.02611. Full description at Econpapers || Download paper | |
2024 | Time-Varying Parameters as Ridge Regressions. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2009.00401. Full description at Econpapers || Download paper | |
2024 | Consistent Specification Test of the Quantile Autoregression. (2024). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898. Full description at Econpapers || Download paper | |
2024 | Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2024). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604. Full description at Econpapers || Download paper | |
2024 | Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2024). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981. Full description at Econpapers || Download paper | |
2024 | Change-Point Analysis of Time Series with Evolutionary Spectra. (2024). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2106.02031. Full description at Econpapers || Download paper | |
2025 | How to Detect Network Dependence in Latent Factor Models? A Bias-Corrected CD Test. (2025). Pesaran, Mohammad ; Xie, Yimeng. In: Papers. RePEc:arx:papers:2109.00408. Full description at Econpapers || Download paper | |
2025 | Testing and Estimating Structural Breaks in Time Series and Panel Data in Stata. (2025). Westerlund, Joakim ; Karavias, Yiannis ; Ditzen, Jan. In: Papers. RePEc:arx:papers:2110.14550. Full description at Econpapers || Download paper | |
2024 | CP Factor Model for Dynamic Tensors. (2024). Han, Yuefeng ; Chen, Rong ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2110.15517. Full description at Econpapers || Download paper | |
2025 | Semiparametric Conditional Factor Models in Asset Pricing. (2025). Roussanov, Nikolai ; Wang, Xiaoliang ; Chen, Qihui. In: Papers. RePEc:arx:papers:2112.07121. Full description at Econpapers || Download paper | |
2025 | Approximate Factor Models for Functional Time Series. (2025). Otto, Sven ; Salish, Nazarii. In: Papers. RePEc:arx:papers:2201.02532. Full description at Econpapers || Download paper | |
2024 | Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2024). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430. Full description at Econpapers || Download paper | |
2025 | A projection based approach for interactive fixed effects panel data models. (2025). Wang, Weining ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Soberon, Alexandra. In: Papers. RePEc:arx:papers:2201.11482. Full description at Econpapers || Download paper | |
2025 | A Simple and Computationally Trivial Estimator for Grouped Fixed Effects Models. (2025). Mugnier, Martin. In: Papers. RePEc:arx:papers:2203.08879. Full description at Econpapers || Download paper | |
2024 | A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates. (2024). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171. Full description at Econpapers || Download paper | |
2024 | Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects. (2024). LINTON, OLIVER ; Vogt, Michael ; Walsh, Christopher. In: Papers. RePEc:arx:papers:2206.12152. Full description at Econpapers || Download paper | |
2024 | $u^* = \sqrt{uv}$. (2024). Saez, Emmanuel ; Michaillat, Pascal. In: Papers. RePEc:arx:papers:2206.13012. Full description at Econpapers || Download paper | |
2025 | Factor Network Autoregressions. (2025). Moramarco, Graziano ; Cavaliere, Giuseppe ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925. Full description at Econpapers || Download paper | |
2024 | Forecasting Algorithms for Causal Inference with Panel Data. (2024). Young, Justin ; Nyarko, Julian ; Goldin, Jacob. In: Papers. RePEc:arx:papers:2208.03489. Full description at Econpapers || Download paper | |
2024 | Quantile Random-Coefficient Regression with Interactive Fixed Effects: Heterogeneous Group-Level Policy Evaluation. (2024). Whang, Yoon-Jae ; Oka, Tatsushi ; GAO, Jiti ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2208.03632. Full description at Econpapers || Download paper | |
2024 | Matrix Quantile Factor Model. (2024). Liu, Yong-Xin ; Kong, Xin-Bing ; Zhao, Peng ; Yu, Long. In: Papers. RePEc:arx:papers:2208.08693. Full description at Econpapers || Download paper | |
2024 | Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2025 | Linear Multidimensional Regression with Interactive Fixed-Effects. (2025). Freeman, Hugo. In: Papers. RePEc:arx:papers:2209.11691. Full description at Econpapers || Download paper | |
2024 | Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2024). Barigozzi, Matteo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2210.09828. Full description at Econpapers || Download paper | |
2024 | Weak Identification in Low-Dimensional Factor Models with One or Two Factors. (2024). Cox, Gregory. In: Papers. RePEc:arx:papers:2211.00329. Full description at Econpapers || Download paper | |
2024 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2024). van Huellen, Sophie ; Dellaportas, Petros ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper | |
2024 | Efficient convex PCA with applications to Wasserstein GPCA and ranked data. (2024). Wong, Ting-Kam Leonard ; Campbell, Steven. In: Papers. RePEc:arx:papers:2211.02990. Full description at Econpapers || Download paper | |
2025 | Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2025). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610. Full description at Econpapers || Download paper | |
2024 | On LASSO for High Dimensional Predictive Regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper | |
2024 | Probabilistic Quantile Factor Analysis. (2024). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2212.10301. Full description at Econpapers || Download paper | |
2025 | Tensor PCA for Factor Models. (2025). Babii, Andrii ; Pan, Junsu ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2212.12981. Full description at Econpapers || Download paper | |
2024 | Estimation of Grouped Time-Varying Network Vector Autoregression Models. (2024). Li, Degui ; Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin. In: Papers. RePEc:arx:papers:2303.10117. Full description at Econpapers || Download paper | |
2024 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper | |
2024 | Large Global Volatility Matrix Analysis Based on Observation Structural Information. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464. Full description at Econpapers || Download paper | |
2025 | Debiased Inference for Dynamic Nonlinear Panels with Multi-dimensional Heterogeneities. (2024). Sun, Yutao ; Leng, Xuan. In: Papers. RePEc:arx:papers:2305.03134. Full description at Econpapers || Download paper | |
2024 | Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2024). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934. Full description at Econpapers || Download paper | |
2024 | Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004. Full description at Econpapers || Download paper | |
2025 | High-Dimensional Canonical Correlation Analysis. (2025). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2306.16393. Full description at Econpapers || Download paper | |
2024 | Adaptive Principal Component Regression with Applications to Panel Data. (2024). Wu, Zhiwei Steven ; Harris, Keegan ; Whitehouse, Justin ; Agarwal, Anish. In: Papers. RePEc:arx:papers:2307.01357. Full description at Econpapers || Download paper | |
2024 | Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864. Full description at Econpapers || Download paper | |
2025 | The Canonical Decomposition of Factor Models: Weak Factors are Everywhere. (2025). Barigozzi, Matteo ; Gersing, Philipp ; Deistler, Manfred ; Rust, Christoph. In: Papers. RePEc:arx:papers:2307.10067. Full description at Econpapers || Download paper | |
2025 | Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2025). Fisher, Zachary F ; Kim, Younghoon ; Pipiras, Vladas. In: Papers. RePEc:arx:papers:2307.10454. Full description at Econpapers || Download paper | |
2024 | Composite Quantile Factor Model. (2024). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450. Full description at Econpapers || Download paper | |
2025 | Causal Panel Analysis under Parallel Trends: Lessons from A Large Reanalysis Study. (2025). Liu, Ziyi ; Xu, Yiqing ; Lan, Xingchen ; Chiu, Albert. In: Papers. RePEc:arx:papers:2309.15983. Full description at Econpapers || Download paper | |
2025 | Global Factors in Non-core Bank Funding and Exchange Rate Flexibility. (2025). te Kaat, Daniel ; Ditzen, Jan. In: Papers. RePEc:arx:papers:2310.11552. Full description at Econpapers || Download paper | |
2024 | Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper | |
2024 | Estimation and Inference for a Class of Generalized Hierarchical Models. (2024). GAO, Jiti ; Yan, Yayi ; Dong, Chaohua ; Peng, Bin. In: Papers. RePEc:arx:papers:2311.02789. Full description at Econpapers || Download paper | |
2024 | Causal Models for Longitudinal and Panel Data: A Survey. (2024). Imbens, Guido ; Arkhangelsky, Dmitry. In: Papers. RePEc:arx:papers:2311.15458. Full description at Econpapers || Download paper | |
2024 | Inference for Low-rank Models without Estimating the Rank. (2024). Liao, Yuan ; Choi, Jungjun ; Kwon, Hyukjun. In: Papers. RePEc:arx:papers:2311.16440. Full description at Econpapers || Download paper | |
2024 | A Method of Moments Approach to Asymptotically Unbiased Synthetic Controls. (2024). Fry, Joseph. In: Papers. RePEc:arx:papers:2312.01209. Full description at Econpapers || Download paper | |
2024 | Estimating Counterfactual Matrix Means with Short Panel Data. (2024). Lei, Lihua ; Ross, Brad. In: Papers. RePEc:arx:papers:2312.07520. Full description at Econpapers || Download paper | |
2024 | Counterfactuals in factor models. (2024). Beyhum, Jad. In: Papers. RePEc:arx:papers:2401.03293. Full description at Econpapers || Download paper | |
2024 | Markowitz Portfolio Construction at Seventy. (2024). Schmelzer, Thomas ; Boyd, Stephen ; Kahn, Ronald ; Schiele, Philipp ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2401.05080. Full description at Econpapers || Download paper | |
2024 | Income and emotional well-being: Evidence for well-being plateauing around $200,000 per year. (2024). Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2401.05347. Full description at Econpapers || Download paper | |
2024 | Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures. (2024). Li, Degui ; Xia, Yingcun ; Shang, Han Lin ; Leng, Chenlei. In: Papers. RePEc:arx:papers:2401.05784. Full description at Econpapers || Download paper | |
2024 | Islamic Law, Western European Law and the Roots of Middle Easts Long Divergence: a Comparative Empirical Investigation (800-1600). (2024). Spruk, Rok ; Schäfer, Hans-Bernd ; Schaefer, Hans-Bernd. In: Papers. RePEc:arx:papers:2401.14435. Full description at Econpapers || Download paper | |
2024 | Arellano-Bond LASSO Estimator for Dynamic Linear Panel Models. (2024). Chernozhukov, Victor ; Wang, Weining ; Fern, Iv'An ; Huang, Chen. In: Papers. RePEc:arx:papers:2402.00584. Full description at Econpapers || Download paper | |
2024 | Data-driven model selection within the matrix completion method for causal panel data models. (2024). Heiniger, Sandro. In: Papers. RePEc:arx:papers:2402.01069. Full description at Econpapers || Download paper | |
2025 | Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?. (2025). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2402.02482. Full description at Econpapers || Download paper | |
2024 | Selective linear segmentation for detecting relevant parameter changes. (2024). Houndetoungan, Aristide ; Dufays, Arnaud ; Coen, Alain. In: Papers. RePEc:arx:papers:2402.05329. Full description at Econpapers || Download paper | |
2024 | High Dimensional Factor Analysis with Weak Factors. (2024). Yuan, Ming ; Choi, Jungjun. In: Papers. RePEc:arx:papers:2402.05789. Full description at Econpapers || Download paper | |
2024 | Doubly Robust Inference in Causal Latent Factor Models. (2024). Abadie, Alberto ; Dwivedi, Raaz ; Agarwal, Anish ; Shah, Abhin. In: Papers. RePEc:arx:papers:2402.11652. Full description at Econpapers || Download paper | |
2025 | Inference for Regression with Variables Generated by AI or Machine Learning. (2024). Sacher, Szymon ; Hansen, Stephen ; Christensen, Timothy ; Battaglia, Laura. In: Papers. RePEc:arx:papers:2402.15585. Full description at Econpapers || Download paper | |
2024 | Sequential Synthetic Difference in Differences. (2024). Arkhangelsky, Dmitry ; Samkov, Aleksei. In: Papers. RePEc:arx:papers:2404.00164. Full description at Econpapers || Download paper | |
2024 | Estimation and Inference for Three-Dimensional Panel Data Models. (2024). GAO, Jiti ; Feng, Guohua ; Liu, Fei ; Peng, Bin. In: Papers. RePEc:arx:papers:2404.08365. Full description at Econpapers || Download paper | |
2024 | Optimal Bias-Correction and Valid Inference in High-Dimensional Ridge Regression: A Closed-Form Solution. (2024). Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2405.00424. Full description at Econpapers || Download paper | |
2025 | Kernel Three Pass Regression Filter. (2025). Jat, Rajveer ; Padha, Daanish. In: Papers. RePEc:arx:papers:2405.07292. Full description at Econpapers || Download paper | |
2024 | Latent group structure in linear panel data models with endogenous regressors. (2024). Okui, Ryo ; Choi, Junho. In: Papers. RePEc:arx:papers:2405.08687. Full description at Econpapers || Download paper | |
2024 | Estimating the Impact of Social Distance Policy in Mitigating COVID-19 Spread with Factor-Based Imputation Approach. (2024). Liang, Ying ; Ye, Yanyi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2405.12180. Full description at Econpapers || Download paper | |
2025 | A Robust Residual-Based Test for Structural Changes in Factor Models. (2025). Su, Liangjun ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2406.00941. Full description at Econpapers || Download paper | |
2024 | A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models. (2024). Bucci, Andrea. In: Papers. RePEc:arx:papers:2406.02152. Full description at Econpapers || Download paper | |
2024 | Heterogeneous Treatment Effects in Panel Data. (2024). Levi, Retsef ; Perakis, Georgia ; Zhang, Emily ; Paulson, Elisabeth. In: Papers. RePEc:arx:papers:2406.05633. Full description at Econpapers || Download paper | |
2025 | Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression. (2025). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2406.14046. Full description at Econpapers || Download paper | |
2024 | Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity. (2024). Ruiz, Esther ; Rodriguez Caballero, Carlos. In: Papers. RePEc:arx:papers:2406.14145. Full description at Econpapers || Download paper | |
2024 | Efficient two-sample instrumental variable estimators with change points and near-weak identification. (2024). Boldea, Otilia ; Antoine, Bertille ; Zaccaria, Niccolo. In: Papers. RePEc:arx:papers:2406.17056. Full description at Econpapers || Download paper | |
2024 | When can weak latent factors be statistically inferred?. (2024). Fan, Jianqing ; Yan, Yuling ; Zheng, Yuheng. In: Papers. RePEc:arx:papers:2407.03616. Full description at Econpapers || Download paper | |
2024 | Dynamic Matrix Factor Models for High Dimensional Time Series. (2024). Han, Yuefeng ; Yu, Ruofan ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2407.05624. Full description at Econpapers || Download paper | |
2024 | Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors. (2024). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Papers. RePEc:arx:papers:2407.06883. Full description at Econpapers || Download paper | |
2024 | Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach. (2024). Wilms, Ines ; Hecq, Alain ; Ricardo, Ivan. In: Papers. RePEc:arx:papers:2407.07973. Full description at Econpapers || Download paper | |
2025 | The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series. (2025). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2407.10653. Full description at Econpapers || Download paper | |
2024 | Heterogeneous Grouping Structures in Panel Data. (2024). Kapetanios, George ; Chrysikou, Katerina. In: Papers. RePEc:arx:papers:2407.19509. Full description at Econpapers || Download paper | |
2025 | Change-Point Detection in Time Series Using Mixed Integer Programming. (2024). Radchenko, Peter ; Prokhorov, Artem ; Skrobotov, Anton ; Semenov, Alexander. In: Papers. RePEc:arx:papers:2408.05665. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
2016 | Econometric Analysis of Large Factor Models In: Annual Review of Economics. [Full Text][Citation analysis] | article | 57 |
2017 | Principal Components and Regularized Estimation of Factor Models In: Papers. [Full Text][Citation analysis] | paper | 13 |
2019 | Robust Principal Component Analysis with Non-Sparse Errors In: Papers. [Full Text][Citation analysis] | paper | 6 |
2021 | Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data In: Papers. [Full Text][Citation analysis] | paper | 46 |
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: 46 | article | |
2020 | Standard Errors for Panel Data Models with Unknown Clusters In: Papers. [Full Text][Citation analysis] | paper | 3 |
2024 | Standard errors for panel data models with unknown clusters.(2024) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2020 | Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations In: Papers. [Full Text][Citation analysis] | paper | 62 |
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: 62 | 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 | 13 |
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: 13 | article | |
2023 | Approximate Factor Models with Weaker Loadings In: Papers. [Full Text][Citation analysis] | paper | 23 |
2023 | Approximate factor models with weaker loadings.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
2023 | Likelihood ratio test for structural changes in factor models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | The likelihood ratio test for structural changes in factor models.(2024) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2025 | Efficiency of QMLE for dynamic panel data models with interactive effects In: Papers. [Full Text][Citation analysis] | paper | 0 |
2025 | Bayesian inference for dynamic spatial quantile models with interactive effects In: Papers. [Full Text][Citation analysis] | paper | 0 |
2025 | Bayesian inference for dynamic spatial quantile models with interactive effects.(2025) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2025 | Singularity-Based Consistent QML Estimation of Multiple Breakpoints in High-Dimensional Factor Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Tests for Skewness, Kurtosis, and Normality for Time Series Data In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 194 |
2001 | Tests for Skewness, Kurtosis, and Normality for Time Series Data.(2001) In: Boston College Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 194 | paper | |
2007 | Determining the Number of Primitive Shocks in Factor Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 400 |
2011 | OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR In: Journal of Financial Research. [Citation analysis] | article | 6 |
2007 | Olive: a simple method for estimating betas when factors are measured with error..(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
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 |
1994 | LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 163 |
1993 | Least squares estimation of a shift in linear processes.(1993) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 163 | paper | |
1998 | A Test for Conditional Symmetry in Time Series Models In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
2000 | Determining the Number of Factors in Approximate Factor Models In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 2617 |
2002 | Determining the Number of Factors in Approximate Factor Models.(2002) In: Econometrica. [Citation analysis] This paper has nother version. Agregated cites: 2617 | 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: 2617 | 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 | 1021 |
2004 | A PANIC Attack on Unit Roots and Cointegration.(2004) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1021 | 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: 1021 | paper | |
2009 | Selecting Instrumental Variables in a Data Rich Environment In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 30 |
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 | 66 |
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: 66 | paper | |
2008 | Extremum Estimation when the Predictors are Estimated from Large Panels In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 23 |
2011 | Estimating High Dimensional Covariance Matrices and its Applications In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 45 |
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 | 436 |
1995 | Estimating Multiple Breaks One at a Time.(1995) In: Working papers. [Citation analysis] This paper has nother version. Agregated cites: 436 | paper | |
1998 | A NOTE ON SPURIOUS BREAK In: Econometric Theory. [Full Text][Citation analysis] | article | 33 |
2010 | PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION In: Econometric Theory. [Full Text][Citation analysis] | article | 98 |
2010 | INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT In: Econometric Theory. [Full Text][Citation analysis] | article | 102 |
1996 | Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach. In: Econometrica. [Full Text][Citation analysis] | article | 37 |
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: 37 | paper | |
1998 | Estimating and Testing Linear Models with Multiple Structural Changes In: Econometrica. [Citation analysis] | article | 3483 |
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: 3483 | 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: 3483 | paper | |
2003 | Inferential Theory for Factor Models of Large Dimensions In: Econometrica. [Citation analysis] | article | 1102 |
2006 | Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions In: Econometrica. [Full Text][Citation analysis] | article | 438 |
2009 | Panel Data Models With Interactive Fixed Effects In: Econometrica. [Full Text][Citation analysis] | article | 1067 |
2013 | Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method In: Econometrica. [Full Text][Citation analysis] | article | 52 |
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 | 167 |
2009 | Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data.(2009) In: The Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 167 | 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 | 409 |
2015 | A simple new test for slope homogeneity in panel data models with interactive effects In: Economics Letters. [Full Text][Citation analysis] | article | 22 |
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: 22 | paper | |
2001 | A consistent test for conditional symmetry in time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 64 |
2004 | Estimating cross-section common stochastic trends in nonstationary panel data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 224 |
2006 | Evaluating latent and observed factors in macroeconomics and finance In: Journal of Econometrics. [Full Text][Citation analysis] | article | 124 |
2004 | Evaluating Latent and Observed Factors in Macroeconomics and Financ.(2004) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 124 | paper | |
2008 | Testing multivariate distributions in GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 31 |
2008 | Forecasting economic time series using targeted predictors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 423 |
2009 | Panel cointegration with global stochastic trends In: Journal of Econometrics. [Full Text][Citation analysis] | article | 235 |
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: 235 | paper | |
2010 | Common breaks in means and variances for panel data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 115 |
2013 | Principal components estimation and identification of static factors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 168 |
2014 | Identification theory for high dimensional static and dynamic factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 25 |
2016 | Efficient estimation of approximate factor models via penalized maximum likelihood In: Journal of Econometrics. [Full Text][Citation analysis] | article | 37 |
2017 | Inferences in panel data with interactive effects using large covariance matrices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
2019 | Rank regularized estimation of approximate factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 31 |
2020 | Estimation and inference of change points in high-dimensional factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 12 |
2021 | Dynamic spatial panel data models with common shocks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
2022 | Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2024 | Likelihood approach to dynamic panel models with interactive effects In: Journal of Econometrics. [Full Text][Citation analysis] | article | 18 |
2013 | Likelihood approach to dynamic panel models with interactive effects.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
2024 | Reprint of: The likelihood ratio test for structural changes in factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2024 | Scenario-based quantile connectedness of the U.S. interbank liquidity risk network In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2024 | Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network.(2024) In: Supervisory Research and Analysis Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1999 | Likelihood ratio tests for multiple structural changes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 115 |
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 | 6 |
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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: 2987 | paper | |
2009 | Boosting diffusion indices In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 89 |
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 | 12 |
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 | 239 |
2015 | Asset Pricing with a General Multifactor Structure In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 32 |
1998 | Testing For and Dating Common Breaks in Multivariate Time Series In: The Review of Economic Studies. [Full Text][Citation analysis] | article | 306 |
2021 | Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2024 | Causal inference using factor models In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
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 | 21 |
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: 21 | 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 | 73 |
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: 73 | article | |
2012 | Theory and methods of panel data models with interactive effects In: MPRA Paper. [Full Text][Citation analysis] | paper | 6 |
2013 | Panel data models with grouped factor structure under unknown group membership In: MPRA Paper. [Full Text][Citation analysis] | paper | 77 |
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: 77 | 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 | 9 |
2012 | Theory and Applications of TAR Model with Two Threshold Variables In: MPRA Paper. [Full Text][Citation analysis] | paper | 25 |
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: 25 | article | |
2014 | Estimation and inference of FAVAR models In: MPRA Paper. [Full Text][Citation analysis] | paper | 40 |
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: 40 | 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 | 44 |
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: 44 | 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 | 64 |
2015 | Identification and Bayesian Estimation of Dynamic Factor Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 111 |
2016 | Special Issue on Big Data In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1 |
2023 | Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 4 |
1997 | Estimation Of A Change Point In Multiple Regression Models In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 370 |
2003 | Testing Parametric Conditional Distributions of Dynamic Models In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 146 |
2013 | Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors In: Econometrics Journal. [Full Text][Citation analysis] | article | 18 |
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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