Bai, Jushan (1991): Weak convergence of the sequential empirical processes of residuals in ARMA models. Published in: Annals of Statistics , Vol. 22, (1994): pp. 2051-2061.
Bai, Jushan (1993): Least squares estimation of a shift in linear processes. Published in: Journal of Time Series Analysis , Vol. 15, No. 5 (September 1994): pp. 453-472.
Meng, Ginger and Hu, Gang and Bai, Jushan (2007): Olive: a simple method for estimating betas when factors are measured with error. Published in: The Journal of Financial Research , Vol. XXXIV, No. 1 (2011): pp. 27-60.
Bai, Jushan and Carrion-i-Silvestre, Josep Lluis (2009): Testing Panel Cointegration with Unobservable Dynamic Common Factors.
Bai, Jushan and Li, Kunpeng (2010): Theory and methods of panel data models with interactive effects.
Bai, Jushan and Wang, Peng (2011): Conditional Markov chain and its application in economic time series analysis. Published in: Journal of Applied Econometrics , Vol. 26, No. 5 (August 2011): pp. 715-734.
Chen, Haiqiang and Chong, Terence Tai Leung and Bai, Jushan (2012): Theory and Applications of TAR Model with Two Threshold Variables. Published in: Econometric Reviews , Vol. 2, No. 31 (2012): pp. 142-170.
Bai, Jushan and Li, Kunpeng (2012): Maximum likelihood estimation and inference for approximate factor models of high dimension.
Bai, Jushan and Wang, Peng (2012): Identification and estimation of dynamic factor models.
Bai, Jushan and Liao, Yuan (2012): Efficient Estimation of Approximate Factor Models via Regularized Maximum Likelihood.
Bai, Jushan and Ando, Tomohiro (2013): Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors.
Bai, Jushan (2013): Likelihood approach to dynamic panel models with interactive effects.
Bai, Jushan and Li, Kunpeng (2013): Spatial panel data models with common shocks.
Bai, Jushan and Ando, Tomohiro (2013): Panel data models with grouped factor structure under unknown group membership.
Bai, Jushan and Li, Kunpeng and Lu, Lina (2014): Estimation and inference of FAVAR models.
Ando, Tomohiro and Bai, Jushan (2014): A simple new test for slope homogeneity in panel data models with interactive effects.
Bai, Jushan and Li, Kunpeng (2017): Practical notes on panel data models with interactive effects.
Ando, Tomohiro and Bai, Jushan (2018): Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity.
Ando, Tomohiro and Bai, Jushan (2021): Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity.
Bai, Jushan and Wang, Peng (2024): Causal inference using factor models.
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