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 ...
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 ...
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 ...
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. ...
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). ...
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 ...
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- ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Testing for and estimation of multiple structural changes
J Bai… - Econometrica, 1998
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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+
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Estimating and testing for multiple structural changes in linear models
J Bai… - Econometrica, 1998
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 ...
[CITATION] Additional critical values for multiple structural changes tests
J Bai… - Unpublished Manuscript, Department of Economics, …, 2001
TW Hu, J Bai… - 1992 - escholarship.org
Page 1. ...
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 ...
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 ...
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 ...
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. ...
[CITATION] CARRION-I-SILVESTRE, JL (2009): Structural changes, common stochastic trends, and unit roots in panel data
J Bai - Review of Economic Studies
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 ...
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 ...
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 ...
[CITATION] Stock. 1998
J Bai, RL Lumsdaine… - Testing for and dat
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 ...
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 ...
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 ...
[CITATION] Household expenditure patterns in a large Chinese city
J Bai, T Hu… - 1984 - unpublished manuscript
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, ...
[CITATION] Serena ng (2005): Tests for skewness, kurtosis, and normality for time series data
J Bai - Journal of Business and Economic Statistics, American …
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. ...
[CITATION] mEstimating Cross $ Section Common Stochastic Trends in Nonstationary Panel Datan
J Bai - 2002 - Mimeo, Boston College
[CITATION] Econometric estimation of structural change
J Bai - 1992 - University of California, Berkeley
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 ...
[CITATION] Serena Ng. A PANIC attack on unit roots and cointegration
J Bai - 2001 - mimeo, Department of Economics, …
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 ...
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. ...
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 ...
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, ...
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 ...
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 ...
[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
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, ...
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 ...
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 ...
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 ...
J Bai… - nowpublishers.com
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PR Abramson, AA Alchian… - Reducing …, 1997 - University Of Chicago Press
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