Selected Publications of Jushan Bai

  1. Confidence intervals for diffusion index forecasts and inference for factor augmented regressions, (with Serena Ng), forthcoming Econometrica, 2005.
  2. A Panic Attack on Unit Roots and Cointegration (with Serena Ng), Econometrica 72,1127-1177, 2004.
  3. Estimating Cross-Section Common Stochastic Trends in Nonstationary Panel Data, Journal of Econometrics 122, 137-183, 2004.(downloadable PDF version)
  4. Testing Parametric Conditional Distributions of Dynamic Models,
    Review of Economics and Statistics 85, 531-549, 2003.(downloadable PDF version)
  5. Inferential Theory for Factor Models of Large Dimensions, Econometrica 71, 135-171,2003.(downloadable PDF version)
  6. Determine the Number of Factors in Approximate Factor Models (with Serena Ng), Econometrica 70, 191-221, 2002.(downloadable PDF version)
  7. Vector Autoregressive Models with Structural Change in Regression Coefficients and in Variance-Covariance Matrix, Annals of Economics and Finance 1, 303-339, 2000.
  8. Testing for and Dating Common Breaks in Stationary and Nonstationary Multiple Time Series (with Robin Lumsdaine and James Stock), Review of Economic Studies 65, 395-432, 1998.(downloadable PDF version)
  9. Testing for and Estimation of Multiple Structural Changes (with Pierre Perron), Econometrica, 66, 47-79, 1998. Reprinted in The Economics of Structural Change (H. Hagemann, M. Landesmann, and R. Scazzieri, eds.), The International Library of Critical Writings in Economics (Series Editor: Mark Blaug and Adrian Darnell)(downloadable PDF)
  10. Testing for Parameter Constancy in Linear Regressions: an Empirical Distribution Function Approach, Econometrica, 64, 597-622, 1996.