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Estimating and testing linear models with multiple structural changes

[PDF] from nyu.edu
J Bai… - Econometrica, 1998 - JSTOR
This paper considers issues related to multiple structural changes, occurring at unknown
dates, in the linear regression model estimated by least squares. The main aspects are the
properties of the estimators, including the estimates of the break dates, and the ...
Cited by 1928 - Related articles - Get it from MIT Libraries - Library Search - BL Direct - All 18 versions

Computation and analysis of multiple structural change models

[PDF] from umontreal.ca
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J Bai… - Journal of Applied Econometrics, 2003 - Wiley Online Library
In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting
distribution of estimators and test statistics in the linear model with multiple structural
changes. In this companion paper, we consider practical issues for the empirical ...
Cited by 1306 - Related articles - Library Search - BL Direct - All 24 versions

Determining the number of factors in approximate factor models

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J Bai… - Econometrica, 2002 - Wiley Online Library
In this paper we develop some econometric theory for factor models of large dimensions.
The focus is the determination of the number of factors (r), which is an unresolved issue in
the rapidly growing literature on multifactor models. We first establish the convergence ...
Cited by 1172 - Related articles - BL Direct - All 30 versions

A PANIC attack on unit roots and cointegration

[PDF] from columbia.edu
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J Bai… - Econometrica, 2004 - Wiley Online Library
This paper develops a new methodology that makes use of the factor structure of large
dimensional panels to understand the nature of nonstationarity in the data. We refer to it as
PANIC—Panel Analysis of Nonstationarity in Idiosyncratic and Common components. ...
Cited by 634 - Related articles - BL Direct - All 36 versions

Inferential theory for factor models of large dimensions

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J Bai - Econometrica, 2003 - Wiley Online Library
This paper develops an inferential theory for factor models of large dimensions. The
principal components estimator is considered because it is easy to compute and is
asymptotically equivalent to the maximum likelihood estimator (if normality is assumed). ...
Cited by 485 - Related articles - BL Direct - All 14 versions

Estimation of a change point in multiple regression models

[PDF] from iastate.edu
J Bai - The Review of Economics and Statistics, 1997 - JSTOR
This paper studies the least squares estimation of a change point in multiple regressions.
Consistency, rate of convergence, and asymptotic distributions are obtained. The model
allows for lagged dependent variables and trending regressors. The error process can be ...
Cited by 384 - Related articles - Get it from MIT Libraries - All 16 versions

Estimating multiple breaks one at a time

[PDF] from 18.7.29.232
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J Bai - Econometric Theory, 1997 - Cambridge Univ Press
Sequential (one-by-one) rather than simultaneous estimation of multiple breaks is
investigated in this paper. The advantage of this method lies in its computational savings
and its robustness to misspecification in the number of breaks. The number of least- ...
Cited by 354 - Related articles - BL Direct - All 13 versions

Testing for and dating common breaks in multivariate time series

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J Bai, RL Lumsdaine… - The Review of …, 1998 - restud.oxfordjournals.org
Abstract This paper develops methods for constructing asymptotically valid confidence
intervals for the date of a single break in multivariate time series, including I (0), I (1), and
deterministically trending regressors. Although the width of the asymptotic confidence ...
Cited by 347 - Related articles - BL Direct - All 10 versions

Critical values for multiple structural change tests

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J Bai… - The Econometrics Journal, 2003 - Wiley Online Library
Summary. Bai and Perron (1998) considered theoretical issues related to the limiting
distribution of estimators and test statistics in the linear model with multiple structural
changes. The asymptotic distributions of the tests depend on a trimming parameter ε and ...
Cited by 197 - Related articles - BL Direct - All 20 versions

Multiple structural change models: a simulation analysis

[PDF] from bu.edu
J Bai… - Econometric theory and practice: Frontiers of …, 2006 - books.google.com
Both the statistics and econometrics literature contain a vast amount of work on issues
related to structural change, most of it specifically designed for the case of a single change.
The problem of multiple structural changes, however, has received considerably less ...
Cited by 172 - Related articles - All 8 versions

Testing parametric conditional distributions of dynamic models

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J Bai - Review of Economics and Statistics, 2003 - MIT Press
This paper proposes a nonparametric test for parametric conditional distributions of dynamic
models. The test is of the Kolmogorov type coupled with Khmaladze's martingale
transformation. It is asymptotically distribution-free and has nontrivial power against root-n ...
Cited by 162 - Related articles - All 8 versions

[PDF] Determining the number of primitive shocks in factor models

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J Bai… - Journal of Business and Economic Statistics, 2007 - ASA
A widely held but untested assumption underlying macroeconomic analysis is that the
number of shocks driving economic fluctuations, q, is small. In this article we associate q with
the number of dynamic factors in a large panel of data. We propose a methodology to ...
Cited by 162 - Related articles - View as HTML - BL Direct - All 24 versions

Likelihood ratio tests for multiple structural changes

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J Bai - Journal of Econometrics, 1999 - Elsevier
This paper proposes a likelihood-ratio-type test for multiple structural changes in regression
models. The model allows for lagged-dependent variables and trending regressors. The
limiting distribution of the test is derived. We show that asymptotic critical values can be ...
Cited by 161 - Related articles - All 9 versions

Confidence Intervals for Diffusion Index Forecasts and Inference for Factor‐Augmented Regressions

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J Bai… - Econometrica, 2006 - Wiley Online Library
We consider the situation when there is a large number of series, N, each with T
observations, and each series has some predictive ability for some variable of interest. A
methodology of growing interest is first to estimate common factors from the panel of data ...
Cited by 139 - Related articles - BL Direct - All 23 versions

Panel data models with interactive fixed effects

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J Bai - Econometrica, 2009 - Wiley Online Library
This paper considers large N and large T panel data models with unobservable multiple
interactive effects, which are correlated with the regressors. In earnings studies, for example,
workers' motivation, persistence, and diligence combined to influence the earnings in ...
Cited by 127 - Related articles - All 34 versions

Estimating cross-section common stochastic trends in nonstationary panel data

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J Bai - Journal of Econometrics, 2004 - Elsevier
This paper studies large-dimension factor models with nonstationary dynamic factors, also
referred to as cross-section common stochastic trends. We consider the problem of
estimating the dimension of the common stochastic trends and the stochastic trends ...
Cited by 106 - Related articles - All 9 versions

[PDF] Tests for skewness, kurtosis, and normality for time series data

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J Bai… - Journal of Business and Economic Statistics, 2005 - ASA
We present the sampling distributions for the coefficient of skewness, kurtosis, and a joint
test of normality for time series observations. We show that when the data are serially
correlated, consistent estimates of three-dimensional long-run covariance matrices are ...
Cited by 97 - Related articles - View as HTML - All 19 versions

Weak convergence of the sequential empirical processes of residuals in ARMA models

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J Bai - The Annals of Statistics, 1994 - JSTOR
This paper studies the weak convergence of the sequential empirical process of the
estimated residuals in ARMA (p, q) models when the errors are independent and identically
distributed. It is shown that, under some mild conditions, converges weakly to a Kiefer ...
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Forecasting economic time series using targeted predictors

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J Bai… - Journal of Econometrics, 2008 - Elsevier
This paper studies two refinements to the method of factor forecasting. First, we consider the
method of quadratic principal components that allows the link function between the
predictors and the factors to be non-linear. Second, the factors used in the forecasting ...
Cited by 88 - Related articles - All 13 versions

[CITATION] Testing for and estimation of multiple structural changes

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J Bai… - Econometrica, 1998
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Evaluating latent and observed factors in macroeconomics and finance

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J Bai… - Journal of Econometrics, 2006 - Elsevier
Common factors play an important role in many disciplines of social science. In economics,
the factors are the common shocks that underlie the co-movements of the large number of
economic time series. The question of interest is whether some observable economic ...
Cited by 76 - Related articles - All 18 versions

A consistent test for conditional symmetry in time series models

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J Bai… - Journal of Econometrics, 2001 - Elsevier
The assumption of conditional symmetry is often invoked to validate adaptive estimation and
consistent estimation of ARCH/GARCH models by quasi-maximum likelihood. Imposing
conditional symmetry can increase the efficiency of bootstraps if the symmetry assumption ...
Cited by 60 - Related articles - All 13 versions

Least absolute deviation estimation of a shift

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J Bai - Econometric Theory, 1995 - Cambridge Univ Press
This paper develops the asymptotic theory for least absolute deviation estimation of a shift in
linear regressions. Rates of convergence and asymptotic distributions for the estimated
regression parameters and the estimated shift point are derived. The asymptotic theory is ...
Cited by 55 - Related articles - BL Direct - All 9 versions

Testing for parameter constancy in linear regressions: an empirical distribution function approach

[PDF] from mit.edu
J Bai - Econometrica: Journal of the Econometric Society, 1996 - JSTOR
This paper proposes some tests for parameter constancy in linear regressions. The tests use
weighted empirical distribution functions of estimated residuals and are asymptotically
distribution free. The local power analysis reveals that the proposed tests have nontrivial ...
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Panel cointegration with global stochastic trends

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J Bai, C Kao… - Journal of Econometrics, 2009 - Elsevier
This paper studies estimation of panel cointegration models with cross-sectional
dependence generated by unobserved global stochastic trends. The standard least squares
estimator is, in general, inconsistent owing to the spuriousness induced by the ...
Cited by 54 - Related articles - Library Search - All 25 versions

[BOOK] A New Look at Panel Testing of Stationarity and the PPP Hypothesis

[PDF] from bc.edu
J Bai… - 2005 - books.google.com
ABSTRACT This paper uses a decomposition of the data into common and idiosyncratic
components to develop procedures that test if these components satisfy the null hypothesis
of stationarity. The decomposition also allows us to construct pooled tests that satisfy the ...
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A note on spurious break

[PDF] from syr.edu
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J Bai - Econometric theory, 1998 - Cambridge Univ Press
When the disturbances of a regression model follow an I~ 1! process there is a tendency to
estimate a break point in the middle of the sample, even though a break point does not
actually exist+ In this note, we provide a mathematical proof for this phenomenon+
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[BOOK] On the estimation and inference of a panel cointegration model with cross-sectional dependence

[PDF] from syr.edu
J Bai, C Kao… - 2005 - emeraldinsight.com
Abstract Most of the existing literature on panel data cointegration assumes crosssectional
independence, an assumption that is difficult to satisfy. This paper studies panel
cointegration under cross-sectional dependence, which is characterized by a factor ...
Cited by 41 - Related articles - Get it from MIT Libraries - Library Search - All 22 versions

Instrumental variable estimation in a data rich environment

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J Bai… - Econometric Theory, 2010 - Cambridge Univ Press
We consider estimation of parameters in a regression model with endogenous regressors.
The endogenous regressors along with a large number of other endogenous variables are
driven by a small number of unobservable exogenous common factors. We show that the ...
Cited by 37 - Related articles - All 49 versions

The impact of California Proposition 99, a major anti-smoking law, on cigarette consumption

TW Hu, J Bai, TE Keeler, PG Barnett… - Journal of Public Health …, 1994 - JSTOR
In 1988, California voters enacted Proposition 99, increasing the tax on cigarettes by 25
cents per pack, effective January 1989. Monthly sales data reported by the California State
Board of Equalization between 1984 and 1991, adjusted for seasonal variation and time ...
Cited by 35 - Related articles - Get it from MIT Libraries - BL Direct - All 3 versions

Vector autoregressive models with structural changes in regression coefficients and in variance-covariance matrices

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J Bai - Annals of Economics and Finance, 2000 - ideas.repec.org
This paper analyzes vector autoregressive models (VAR) with multiple structural changes.
One distinct feature of this paper is the explicit consideration of structural changes in the
variance-covariance matrix, in addition to changes in the autoregressive coefficients. The ...
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Testing multivariate distributions in GARCH models

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J Bai… - Journal of Econometrics, 2008 - Elsevier
In this paper, we consider testing distributional assumptions in multivariate GARCH models
based on empirical processes. Using the fact that joint distribution carries the same amount
of information as the marginal together with conditional distributions, we first transform the ...
Cited by 28 - Related articles - All 6 versions

[PDF] Confidence intervals for diffusion index forecasts with a large number of predictors

[PDF] from city.ac.uk
J Bai… - 2003 - cass.city.ac.uk
Abstract We consider the situation when there is a large number of series, N, each with T
observations, and each series has some predictive ability for the variable of interest, y. A
methodology of growing interest is to first estimate common factors from the panel of data ...
Cited by 25 - Related articles - View as HTML - All 13 versions

Panel unit root tests with cross-section dependence: A further investigation

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J Bai… - Econometric Theory, 2010 - Cambridge Univ Press
Abstract An effective way to control for cross-section correlation when conducting a panel
unit root test is to remove the common factors from the data. However, there remain many
ways to use the defactored residuals to construct a test. In this paper, we use the panel ...
Cited by 21 - Related articles - All 10 versions

Structural changes, common stochastic trends, and unit roots in panel data

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J Bai - Review of Economic Studies, 2009 - Wiley Online Library
This paper studies the problem of unit root testing in the presence of multiple structural
changes and common dynamic factors. Structural breaks represent infrequent regime shifts,
while dynamic factors capture common shocks underlying the comovement of economic ...
Cited by 21 - Related articles - All 11 versions

Boosting diffusion indices

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J Bai… - Journal of Applied Econometrics, 2009 - Wiley Online Library
In forecasting and regression analysis, it is often necessary to select predictors from a large
feasible set. When the predictors have no natural ordering, an exhaustive evaluation of all
possible combinations of the predictors can be computationally costly. This paper ...
Cited by 20 - Related articles - All 9 versions

[PDF] Selecting instrumental variables in a data rich environment

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J Bai… - Journal of Time Series Econometrics, 2009 - iwh-halle.de
Abstract Practitioners often have at their disposal a large number of instruments that are
weakly exogenous for the parameter of interest, but using too many instruments can induce
bias. We consider two ways of handling this problem. The first is to form principal ...
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Household Expenditure Patterns in Tianjin

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T Hu, J Bai… - The China Quarterly, 1987 - Cambridge Univ Press
In recent years China has initiated economic reform. One objective of this reform is to
improve consumer well-being by producing more agricultural and consumer goods. To
achieve this objective, economic controls have been relaxed. A free market has been ...
Cited by 14 - Related articles - All 3 versions

Estimation of multiple-regime regressions with least absolutes deviation

[PDF] from uni-muenchen.de
J Bai - Journal of statistical planning and inference, 1998 - Elsevier
This paper considers least absolute deviations estimation of a regression model with
multiple change points occurring at unknown times. Some asymptotic results, including rates
of convergence and asymptotic distributions, for the estimated change points and the ...
Cited by 13 - Related articles - Get it from MIT Libraries - All 9 versions

[CITATION] Estimation of structural change based on Wald-type statistics

[PDF] from 18.7.29.232
J Bai - 1993 - 18.7.29.232
Abstract This paper addressesstructural change in a linear regression model with an
unknown change point. The change point is estimated by maximizing a sequence of Wald-
type statistics. This paper focuses on the convergence rate of the estimator. T-consistency ...
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[CITATION] Estimating and testing for multiple structural changes in linear models

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J Bai… - Econometrica, 1998
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[PDF] Likelihood approach to small T dynamic panel models with interactive effects

[PDF] from yale.edu
J Bai - Unpublished working paper, 2009 - cowles.econ.yale.edu
Abstract This paper considers dynamic panel models with a factor analytic error structure
that is correlated with the regressors. The model is rooted in both micro and macro
econometrics. In microeconometrics, for example, the observed wage is a function of ...
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[CITATION] Additional critical values for multiple structural changes tests

J Bai… - Unpublished Manuscript, Department of Economics, …, 2001
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the Impact of 1989 California Major Anti-Smoking Legislation Cigarette Consumption: Three Years Later

TW Hu, J Bai… - 1992 - escholarship.org
Page 1. ...
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Testing panel cointegration with unobservable dynamic common factors

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J Bai… - 2009 - mpra.ub.uni-muenchen.de
The paper proposes statistics to test the null hypothesis of no cointegration in panel data
when common factors drive the cross sectional dependence. We consider both the case in
which regressors are independent of the common factors and the case in which ...
Cited by 9 - Related articles - All 8 versions

[PDF] Extremum estimation when the predictors are estimated from large panels

[PDF] from columbia.edu
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J Bai… - Annals of Economics and Finance, 2008 - columbia.edu
Much is written about the use of factors estimated by the method of principal components
from large panels in linear regression models. In this paper, we provide an analysis for non-
linear estimation and establish the conditions under which the estimated factors can be ...
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Generic consistency of the break‐point estimators under specification errors in a multiple‐break model

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J Bai, H Chen, T Tai‐Leung Chong… - The Econometrics …, 2008 - Wiley Online Library
Summary This paper considers the estimation of multiple-structural-break models under
specification errors. A common example in economics is that the true model is measured in
level, but a linear-log model is estimated. We show that, under specification errors, if there ...
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Structural changes, common stochastic trends and unit roots in panel data

J Bai… - Econometric Society 2004 North …, 2004 - ideas.repec.org
In this paper we propose a new test statistic that considers multiple structural breaks to
analyse the non-stationarity of a panel data set. The methodology is based on the common
factor analysis in an attempt to allow for some sort of dependence across the individuals. ...
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[CITATION] CARRION-I-SILVESTRE, JL (2009): Structural changes, common stochastic trends, and unit roots in panel data

J Bai - Review of Economic Studies
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[PDF] The impact of a large tax increase on cigarette consumption: The case of California

[PDF] from escholarship.org
T Hu, J Bai, TE Keeler… - 1991 - escholarship.org
Abstract In 1988, California voters enacted Proposition 99, increasing the tax on cigarettes
by 25 cents per pack, effective January, 1989. Monthly sales data reported by the California
State Board of Equalization between 1984 and 1990, adjusted for seasonal variation and ...
Cited by 6 - Related articles - All 6 versions

Common breaks in means and variances for panel data

Full text - MIT Libraries
J Bai - Journal of Econometrics, 2010 - Elsevier
This paper establishes the consistency of the estimated common break point in panel data.
Consistency is obtainable even when a regime contains a single observation, making it
possible to quickly identify the onset of a new regime. We also propose a new framework ...
Cited by 7 - Related articles - All 6 versions

Conditional Markov chain and its application in economic time series analysis

[PDF] from nber.org
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J Bai… - Journal of Applied Econometrics, 2011 - Wiley Online Library
Motivated by the great moderation in major US macroeconomic time series, we formulate the
regime switching problem through a conditional Markov chain. We model the long-run
volatility change as a recurrent structure change, while short-run changes in the mean ...
Cited by 4 - Related articles - All 8 versions

[CITATION] Stock. 1998

J Bai, RL Lumsdaine… - Testing for and dat
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Olive: a simple method for estimating betas when factors are measured with error

[PDF] from uni-muenchen.de
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JG Meng, G Hu… - Journal of Financial Research, 2011 - Wiley Online Library
We propose a simple and intuitive method for estimating betas when factors are measured
with error: ordinary least squares instrumental variable estimator (OLIVE). OLIVE performs
well when the number of instruments becomes large, whereas the performance of ...
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[PDF] Confidence intervals for factor forecasts with many predictors

[PDF] from yale.edu
J Bai… - Unpublished manuscript, 2003 - aida.wss.yale.edu
We are interested in obtaining the h-period ahead forecast of a series yt. The information
available includes the panel of data on xit (i= 1, 2,..., N; t= 1, 2,..., T) and a smaller set of other
variables Wt. For example, Wt might be lags of yt. If N was small, we could formulate a ...
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[PDF] A Simple Method for Estimating Betas when Factors are Measured with Error

[PDF] from nyu.edu
JG Meng, G Hu… - 2007 - w4.stern.nyu.edu
Abstract We propose a simple method for estimating betas (factor loadings) when factors are
measured with error: Ordinary Least-squares Instrumental Variable Estimator (OLIVE).
OLIVE is intuitive and easy to implement. OLIVE performs well when the number of ...
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[CITATION] Household expenditure patterns in a large Chinese city

J Bai, T Hu… - 1984 - unpublished manuscript
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[PDF] Testing multivariate distributions

[PDF] from xmu.edu.cn
J Bai - 2006 - wise.xmu.edu.cn
Abstract In this paper, we consider testing distributional assumptions based on residual
empirical distribution functions. The method is stated for general distributions, but attention is
centered on multivariate normal and multivariate t-distributions, as they are widely used, ...
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[CITATION] Serena ng (2005): Tests for skewness, kurtosis, and normality for time series data

J Bai - Journal of Business and Economic Statistics, American …
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A note on spurious break and regime shift in cointegrating relationship

[PDF] from mit.edu
J Bai - Working papers, 1996 - ideas.repec.org
The simulation result of Nunes, Kuan, and Newbold suggests that it is possible to estimate a
spurious break for a regression model with I(1) disturbances. In this note, we provide a rigorous
proof for this phenomenon. ... To our knowledge, this item is not available for download. ...
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[CITATION] mEstimating Cross $ Section Common Stochastic Trends in Nonstationary Panel Datan

J Bai - 2002 - Mimeo, Boston College
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[CITATION] Econometric estimation of structural change

J Bai - 1992 - University of California, Berkeley
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Theory and Applications of TAR Model with Two Threshold Variables

[PDF] from xmu.edu.cn
H Chen, TTL Chong… - Econometric Reviews, 2012 - Taylor & Francis
A growing body of threshold models has been developed over the past two decades to
capture the nonlinear movement of financial time series. Most of these models, however,
contain a single threshold variable only. In many empirical applications, models with two ...
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[CITATION] Serena Ng. A PANIC attack on unit roots and cointegration

J Bai - 2001 - mimeo, Department of Economics, …
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[PDF] CENTRE FOR ECONOMETRIC ANALYSIS

[PDF] from city.ac.uk
J Bai, C Kao… - 2006 - cass.city.ac.uk
Abstract A widely held but untested assumption underlying macroeconomic analysis is that
the number of shocks driving economic fluctuations, q, is small. In this paper, we associate q
with the number of dynamic factors in a large panel of data. We propose a methodology to ...
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Abdallah, Abed Al-Nasser, Wissam Abdallah, and Mohsen Saad. The Effect of Cross-Listing on Trading Volume: Reducing Segmentation versus Signaling Investor …

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S Agarwal, BB Ajinkya, J Ang… - The Journal of …, 2011 - Wiley Online Library
The Journal of Financial Research • Vol. XXXIV, No. 4 • Pages 659–663 • Winter 2011 ...
Abdallah, Abed Al-Nasser, Wissam Abdallah, and Mohsen Saad. The Effect of Cross- Listing
on Trading Volume: Reducing Segmentation versus Signaling Investor Protection. ...

[PDF] Journal of Time Series Econometrics

[PDF] from columbia.edu
S Ng… - 2008 - columbia.edu
Abstract Practitioners often have at their disposal a large number of instruments that are
weakly exogenous for the parameter of interest. However, not every instrument has the
same predictive power for the endogenous variable, and using too many instruments can ...
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Bohn, Henning, 28, 35, 147n9, 160n2, 165, 192 Bottazzi, L., 90n26 Boyd, X, 187nll

N Brady, P Alba, A Alesina… - Capital flows and the …, 2000 - books.google.com
Author Index Abdelati, Wafa, 316 Agenor, P.-R., 89n25 Aggarwal, Reena, 177n9 Aghion, P.,
94 Aizenman, J., 89n25 Alba, Pedro, 313, 328 Alesina, Alberto, 3 Anderson, James, 147n8
Armington, Paul, 147n8 Bacchetta, P., 78, $6, 94, 160n2 Backus, D., 87n22 Bagehot, ...
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[PDF] Restricted Markov Switching Model And Its Application In Economic Time Series Analysis

[PDF] from nyu.edu
J Bai… - 2008 - files.nyu.edu
Abstract Motivated by the great moderation in major US macroeconomic time series, we
propose a new type of restrictions, called conditional Markov chain, on the Markov switching
model to study the nonstationarity of time series data. We take the long# run volatility ...
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[PDF] Syllabus _ ECON613C: Topics in Panel Data Econometrics Summer 2009 Tuesdays and Thursdays 9: 00 Am-12: 30 noon, Room: 3494 Professor Jushan Bai

[PDF] from 143.89.33.1
J Bai - 2009 - 143.89.33.1
Panel data consist of repeated observations over time for individuals. Here individuals may
be workers, firms, households, countries, etc. Panel data econometrics uses cross-sectional
and temporal variation within such a data set to conduct empirical research. We will learn ...
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[CITATION] Clark, JM, 162 Cline. WR, 112, 113 Cohen, Daniel, 331

W Abdelati, P Aghion, P Alba… - Capital flows and …, 2000 - University Of Chicago Press

Johnson, Richard A. Joshi, PC Kamps, Udo Kano, Yutaka Karunamuni, Rohana J.

B Abraham, M Akahira, S Aki, MA Arcones… - Springer
Annals of the Institute of Statistical Mathematics acknowledges the following in dividuals who
served as referees from April 1995 to March 1996. ... Abraham, Bovas Akahira, Masafumi
Aki, Sigeo Arcones, Miguel A. Arimoto, Suguru Arnold, Barry C. Azzalini, Adelchi Bai, ...
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[CITATION] Testing for causality of inflation in Latin America from the US economy

[PDF] from mit.edu
J Bai, LA Rodriguez - 1997 - dspace.mit.edu
ABSTRACT During the last two decades, Latin America has been struggling to attract
Foreign Direct Investment (FDI). Several authors have discussed the macroeconomic
conditions of the region as the main drivers of FDI. For this reason, this thesis evaluates ...
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THE 2007 AUSTRALASIAN MEETING of the Econometric Society (ESAM) will be hosted by the School of Economics, University of Queensland, Brisbane, Australia, …

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J Bai, S Chen, SY Chiu, JC Duan, JT Guo… - …, 2007 - Wiley Online Library
THE 2007 FAR EASTERN MEETING of the Econometric Society will be held in Taipei,
Taiwan, from July 11 to July 13, 2007. The meeting will be organized by the Institute of
Economics, Academia Sinica. The program will consist of plenary, invited, and contributed ...

[PDF] Estimating High Dimensional Covariance Matrices and its Applications

[PDF] from columbia.edu
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J Bai… - Annals of Economics and Finance, 2011 - academiccommons.columbia.edu
Abstract. Estimating covariance matrices is an important part of portfolio selection, risk
management, and asset pricing. This paper reviews the recent development in estimating
high dimensional covariance matrices, where the number of variables can be greater than ...
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