Jushan Bai : Citation Profile

Are you Jushan Bai?

Columbia University

38

H index

65

i10 index

17911

Citations

RESEARCH PRODUCTION:

71

Articles

62

Papers

RESEARCH ACTIVITY:

   33 years (1991 - 2024). See details.
   Cites by year: 542
   Journals where Jushan Bai has often published
   Relations with other researchers
   Recent citing documents: 1223.    Total self citations: 65 (0.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba53
   Updated: 2024-11-04    RAS profile: 2024-02-25    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Ng, Serena (6)

Ando, Tomohiro (6)

Han, Xu (2)

Choi, Sung Hoon (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jushan Bai.

Is cited by:

Asongu, Simplice (284)

GUPTA, RANGAN (276)

Perron, Pierre (228)

Westerlund, Joakim (182)

Barigozzi, Matteo (165)

Pesaran, Mohammad (151)

Marcellino, Massimiliano (149)

Kapetanios, George (127)

Hallin, Marc (120)

Su, Liangjun (120)

Forni, Mario (101)

Cites to:

Ng, Serena (117)

Reichlin, Lucrezia (89)

Watson, Mark (70)

Forni, Mario (61)

Pesaran, Mohammad (57)

Lippi, Marco (56)

Hallin, Marc (49)

Giannone, Domenico (41)

Stock, James (32)

Moon, Hyungsik (32)

Phillips, Peter (30)

Main data

Where Jushan Bai has published?

Journals with more than one article published# docs
Journal of Econometrics22
Econometrica7
Econometric Theory5
Journal of Business & Economic Statistics4
Annals of Economics and Finance3
The Review of Economics and Statistics3
Journal of the American Statistical Association3
Journal of Applied Econometrics2
The Review of Economic Studies2
Journal of Business & Economic Statistics2
Econometric Reviews2
Econometrics Journal2
Journal of Applied Econometrics2
Journal of Time Series Analysis2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany21
Papers / arXiv.org11
Boston College Working Papers in Economics / Boston College Department of Economics5
Center for Policy Research Working Papers / Center for Policy Research, Maxwell School, Syracuse University2
Department of Economics, Working Paper Series / Department of Economics, Institute for Business and Economic Research, UC Berkeley2
Economics Working Papers / University of California at Berkeley2
Econometrics / University Library of Munich, Germany2
Economics Working Paper Archive / The Johns Hopkins University,Department of Economics2

Recent works citing Jushan Bai (2024 and 2023)

YearTitle of citing document
2023.

Full description at Econpapers || Download paper

2023British 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

2023The 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

2023Is 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

2023Disentangling 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

2023Distortionary 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

2023Detecting 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

2023German 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

2023Confidence set for group membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Papers. RePEc:arx:papers:1801.00332.

Full description at Econpapers || Download paper

2023Nuclear 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

2024Practical and robust $t$-test based inference for synthetic control and related methods. (2019). Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1812.10820.

Full description at Econpapers || Download paper

2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

Full description at Econpapers || Download paper

2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

Full description at Econpapers || Download paper

2023Optimal 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

2023Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

Full description at Econpapers || Download paper

2023Equal 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

2024Tensor Factor Model Estimation by Iterative Projection. (2022). Zhang, Cun-Hui ; Yang, Dan ; Chen, Rong. In: Papers. RePEc:arx:papers:2006.02611.

Full description at Econpapers || Download paper

2023Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887.

Full description at Econpapers || Download paper

2023Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

Full description at Econpapers || Download paper

2024Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

Full description at Econpapers || Download paper

2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

Full description at Econpapers || Download paper

2024Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

Full description at Econpapers || Download paper

2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

Full description at Econpapers || Download paper

2023Performance 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

2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

Full description at Econpapers || Download paper

2024Change-Point Analysis of Time Series with Evolutionary Spectra. (2021). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2106.02031.

Full description at Econpapers || Download paper

2023Learning 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

2023Inference 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

2023A 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

2024CP Factor Model for Dynamic Tensors. (2021). Chen, Rong ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2110.15517.

Full description at Econpapers || Download paper

2023Optimal 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

2023Semiparametric 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

2024Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532.

Full description at Econpapers || Download paper

2024Efficiently 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

2023Inferential 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

2023A 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

2023Asymptotics 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

2024Make 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

2024Testing 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

2023A 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

2023Estimation 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

2024$u^* = \sqrt{uv}$. (2022). Saez, Emmanuel ; Michaillat, Pascal. In: Papers. RePEc:arx:papers:2206.13012.

Full description at Econpapers || Download paper

2024Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

Full description at Econpapers || Download paper

2024Forecasting 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

2023Estimation 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

2024Matrix 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

2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

Full description at Econpapers || Download paper

2023Combining 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

2024Multidimensional Interactive Fixed-Effects. (2022). Freeman, Hugo. In: Papers. RePEc:arx:papers:2209.11691.

Full description at Econpapers || Download paper

2023Bayesian 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

2023Testing 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

2024Modelling 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

2024Weak Identification in Low-Dimensional Factor Models with One or Two Factors. (2022). Cox, Gregory. In: Papers. RePEc:arx:papers:2211.00329.

Full description at Econpapers || Download paper

2024Reservoir 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

2023On 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

2024Efficient 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

2023Multiple 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

2024Cross-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

2023Strategyproof 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

2023Unified 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

2023Incorporating 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

2024On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

Full description at Econpapers || Download paper

2024Probabilistic quantile factor analysis. (2022). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2212.10301.

Full description at Econpapers || Download paper

2023Tensor Principal Component Analysis. (2022). Pan, Junsu ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2212.12981.

Full description at Econpapers || Download paper

2023When 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

2023Difference-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

2023Multidimensional dynamic factor models. (2023). Pellegrino, Filippo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2301.12499.

Full description at Econpapers || Download paper

2023Nonlinearities 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

2023Estimating 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

2023Adaptive 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

2023High-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

2023Structural 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

2023Sequential 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

2023Forecasting 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

2023Implicit 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

2023A 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

2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

Full description at Econpapers || Download paper

2024Inference 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

2023Financial 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

2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

Full description at Econpapers || Download paper

2023A 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

2023Functional-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

2023sparseDFM: 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

2023Common 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

2023Estimation 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

2024Large 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

2023Debiased 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

2023Does 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

2023Band-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

More than 100 citations found, this list is not complete...

Works by Jushan Bai:

YearTitleTypeCited
2016Econometric Analysis of Large Factor Models In: Annual Review of Economics.
[Full Text][Citation analysis]		article52
2017Principal Components and Regularized Estimation of Factor Models In: Papers.
[Full Text][Citation analysis]		paper12
2019Robust Principal Component Analysis with Non-Sparse Errors In: Papers.
[Full Text][Citation analysis]		paper5
2021Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data In: Papers.
[Full Text][Citation analysis]		paper35
2021Matrix 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: 35		article
2020Standard Errors for Panel Data Models with Unknown Clusters In: Papers.
[Full Text][Citation analysis]		paper3
2024Standard 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
2020Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations In: Papers.
[Full Text][Citation analysis]		paper42
2021Feasible 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: 42		article
2020Simpler Proofs for Approximate Factor Models of Large Dimensions In: Papers.
[Full Text][Citation analysis]		paper6
2021Quasi-maximum likelihood estimation of break point in high-dimensional factor models In: Papers.
[Full Text][Citation analysis]		paper2
2023Quasi-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
2022Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions In: Papers.
[Full Text][Citation analysis]		paper7
2023Factor-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: 7		article
2023Approximate Factor Models with Weaker Loadings In: Papers.
[Full Text][Citation analysis]		paper14
2023Approximate factor models with weaker loadings.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2023Likelihood ratio test for structural changes in factor models In: Papers.
[Full Text][Citation analysis]		paper0
2024The 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
2024Efficiency of QMLE for dynamic panel data models with interactive effects In: Papers.
[Full Text][Citation analysis]		paper0
2005Tests for Skewness, Kurtosis, and Normality for Time Series Data In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article191
2001Tests 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: 191		paper
2007Determining the Number of Primitive Shocks in Factor Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article389
2011OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR In: Journal of Financial Research.
[Citation analysis]		article6
2007Olive: 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
1993ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article9
1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article157
1993Least squares estimation of a shift in linear processes.(1993) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 157		paper
1998A Test for Conditional Symmetry in Time Series Models In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper2
2000Determining the Number of Factors in Approximate Factor Models In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper2505
2002Determining the Number of Factors in Approximate Factor Models.(2002) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 2505		article
2000Determining 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: 2505		paper
2001A New Look at Panel Testing of Stationarity and the PPP Hypothesis In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper9
2001A 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
2001A PANIC Attack on Unit Roots and Cointegration In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper977
2004A PANIC Attack on Unit Roots and Cointegration.(2004) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 977		article
2001A Panic Attack on Unit Roots and Cointegration.(2001) In: Economics Working Paper Archive.
[Citation analysis]
This paper has nother version. Agregated cites: 977		paper
2009Selecting Instrumental Variables in a Data Rich Environment In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article29
1992the Impact of 1989 California Major Anti-Smoking Legislation Cigarette Consumption: Three Years Later In: Department of Economics, Working Paper Series.
[Full Text][Citation analysis]		paper1
1992The 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
1991the Impact of a Large Tax Increase on Cigarette Consumption: The Case of California In: Department of Economics, Working Paper Series.
[Full Text][Citation analysis]		paper2
1991The 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
2000Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article65
2000Vector 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: 65		paper
2008Extremum Estimation when the Predictors are Estimated from Large Panels In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article21
2011Estimating High Dimensional Covariance Matrices and its Applications In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article44
1995Least Absolute Deviation Estimation of a Shift In: Econometric Theory.
[Full Text][Citation analysis]		article43
1997Estimating Multiple Breaks One at a Time In: Econometric Theory.
[Full Text][Citation analysis]		article428
1995Estimating Multiple Breaks One at a Time.(1995) In: Working papers.
[Citation analysis]
This paper has nother version. Agregated cites: 428		paper
1998A NOTE ON SPURIOUS BREAK In: Econometric Theory.
[Full Text][Citation analysis]		article31
2010PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION In: Econometric Theory.
[Full Text][Citation analysis]		article94
2010INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT In: Econometric Theory.
[Full Text][Citation analysis]		article101
1996Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach. In: Econometrica.
[Full Text][Citation analysis]		article36
1993Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach..(1993) In: Working papers.
[Citation analysis]
This paper has nother version. Agregated cites: 36		paper
1998Estimating and Testing Linear Models with Multiple Structural Changes In: Econometrica.
[Citation analysis]		article3389
1995Estimating and Testing Linear Models with Multiple Structural Changes..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3389		paper
1995Estimating and Testing Linear Models with Multiple Structural Changes..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 3389		paper
2003Inferential Theory for Factor Models of Large Dimensions In: Econometrica.
[Citation analysis]		article1055
2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions In: Econometrica.
[Full Text][Citation analysis]		article421
2009Panel Data Models With Interactive Fixed Effects In: Econometrica.
[Full Text][Citation analysis]		article975
2004Structural changes, common stochastic trends and unit roots in panel data In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]		paper159
2009Structural 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: 159		article
2008Generic consistency of the break-point estimators under specification errors in a multiple-break model In: Econometrics Journal.
[Full Text][Citation analysis]		article25
2003Critical values for multiple structural change tests In: Econometrics Journal.
[Full Text][Citation analysis]		article392
2015A simple new test for slope homogeneity in panel data models with interactive effects In: Economics Letters.
[Full Text][Citation analysis]		article21
2014A 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: 21		paper
2001A consistent test for conditional symmetry in time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article61
2004Estimating cross-section common stochastic trends in nonstationary panel data In: Journal of Econometrics.
[Full Text][Citation analysis]		article215
2006Evaluating latent and observed factors in macroeconomics and finance In: Journal of Econometrics.
[Full Text][Citation analysis]		article119
2004Evaluating Latent and Observed Factors in Macroeconomics and Financ.(2004) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 119		paper
2008Testing multivariate distributions in GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article30
2008Forecasting economic time series using targeted predictors In: Journal of Econometrics.
[Full Text][Citation analysis]		article377
2009Panel cointegration with global stochastic trends In: Journal of Econometrics.
[Full Text][Citation analysis]		article228
2007Panel Cointegration with Global Stochastic Trends.(2007) In: Center for Policy Research Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 228		paper
2010Common breaks in means and variances for panel data In: Journal of Econometrics.
[Full Text][Citation analysis]		article106
2013Principal components estimation and identification of static factors In: Journal of Econometrics.
[Full Text][Citation analysis]		article158
2014Identification theory for high dimensional static and dynamic factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2016Efficient estimation of approximate factor models via penalized maximum likelihood In: Journal of Econometrics.
[Full Text][Citation analysis]		article33
2017Inferences in panel data with interactive effects using large covariance matrices In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2019Rank regularized estimation of approximate factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2020Estimation and inference of change points in high-dimensional factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
2021Dynamic spatial panel data models with common shocks In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2022Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2024Likelihood approach to dynamic panel models with interactive effects In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2013Likelihood approach to dynamic panel models with interactive effects.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
1999Likelihood ratio tests for multiple structural changes In: Journal of Econometrics.
[Full Text][Citation analysis]		article111
2015Fama–MacBeth two-pass regressions: Improving risk premia estimates In: Finance Research Letters.
[Full Text][Citation analysis]		article9
2016Structural Changes in High Dimensional Factor Models In: Frontiers of Economics in China-Selected Publications from Chinese Universities.
[Full Text][Citation analysis]		article6
2024Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network In: Supervisory Research and Analysis Working Papers.
[Full Text][Citation analysis]		paper0
2003Computation and analysis of multiple structural change models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article2900
1998Computation and Analysis of Multiple Structural-Change Models.(1998) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2900		paper
2009Boosting diffusion indices In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article85
2005On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence In: Center for Policy Research Working Papers.
[Full Text][Citation analysis]		paper11
1994Estimation of Structural Change Based on Wald-Type Statistics. In: Working papers.
[Citation analysis]		paper2
1994Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses. In: Working papers.
[Citation analysis]		paper11
1995Estimating & Testing Linear Models with Multiple Structural Changes In: Working papers.
[Citation analysis]		paper10
1996A Note on Spurious Break and Regime Shift in Cointegrating Relationship. In: Working papers.
[Citation analysis]		paper3
1996An Inequality for Vector-Valued Martingales and Its Applications. In: Working papers.
[Citation analysis]		paper4
2008Large Dimensional Factor Analysis In: Foundations and Trends(R) in Econometrics.
[Full Text][Citation analysis]		article229
2015Asset Pricing with a General Multifactor Structure In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article32
1998Testing For and Dating Common Breaks in Multivariate Time Series In: The Review of Economic Studies.
[Full Text][Citation analysis]		article305
2021Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2024Causal inference using factor models In: MPRA Paper.
[Full Text][Citation analysis]		paper0
1993Weak convergence of the sequential empirical processes of residuals in ARMA models In: MPRA Paper.
[Full Text][Citation analysis]		paper2
1998Estimation of multiple-regime regressions with least absolutes deviation In: MPRA Paper.
[Full Text][Citation analysis]		paper16
2011Conditional Markov chain and its application in economic time series analysis In: MPRA Paper.
[Full Text][Citation analysis]		paper18
2011Conditional 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
2009Testing Panel Cointegration with Unobservable Dynamic Common Factors In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2012Identification and estimation of dynamic factor models In: MPRA Paper.
[Full Text][Citation analysis]		paper23
2012Efficient Estimation of Approximate Factor Models In: MPRA Paper.
[Full Text][Citation analysis]		paper8
2012Maximum likelihood estimation and inference for approximate factor models of high dimension In: MPRA Paper.
[Full Text][Citation analysis]		paper68
2016Maximum 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: 68		article
2012Theory and methods of panel data models with interactive effects In: MPRA Paper.
[Full Text][Citation analysis]		paper6
2013Panel data models with grouped factor structure under unknown group membership In: MPRA Paper.
[Full Text][Citation analysis]		paper67
2016Panel 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: 67		article
2013Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2014Spatial panel data models with common shocks In: MPRA Paper.
[Full Text][Citation analysis]		paper8
2012Theory and Applications of TAR Model with Two Threshold Variables In: MPRA Paper.
[Full Text][Citation analysis]		paper25
2012Theory 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
2014Estimation and inference of FAVAR models In: MPRA Paper.
[Full Text][Citation analysis]		paper39
2016Estimation and Inference of FAVAR Models.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		article
2017Practical notes on panel data models with interactive effects In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2018Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity In: MPRA Paper.
[Full Text][Citation analysis]		paper36
2020Quantile 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: 36		article
2019A Quantile-based Asset Pricing Model In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2018Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2017Clustering 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]		article58
2015Identification and Bayesian Estimation of Dynamic Factor Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article100
2016Special Issue on Big Data In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
2023Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
1997Estimation Of A Change Point In Multiple Regression Models In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article368
2003Testing Parametric Conditional Distributions of Dynamic Models In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article142
2013Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors In: Econometrics Journal.
[Full Text][Citation analysis]		article18
2004Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor In: Econometrics.
[Full Text][Citation analysis]		paper6

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team