331 citations · 488 across the 15 of their papers we have counts for
16 papers
Fixed- Dynamic Spatial Panel Model with Common Shocks
Jushan Bai, Jesse Chieh Chen
We study a dynamic spatial panel model with observed regressors, interactive effects, and contemporaneous and lagged dependence in a large-, fixed- framework. The spatial mod…
Likelihood ratio test for structural changes in factor models
Jushan Bai, Jiangtao Duan, Xu Han
A factor model with a break in its factor loadings is observationally equivalent to a model without changes in the loadings but a change in the variance of its factors. This effect…
Approximate Factor Models with Weaker Loadings
Jushan Bai, Serena Ng
Pervasive cross-section dependence is increasingly recognized as a characteristic of economic data and the approximate factor model provides a useful framework for analysis. Assumi…
Quasi-maximum likelihood estimation of break point in high-dimensional factor models
Jiangtao Duan, Jushan Bai, Xu Han
This paper estimates the break point for large-dimensional factor models with a single structural break in factor loadings at a common unknown date. First, we propose a quasi-maxim…
Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions
Ercument Cahan, Jushan Bai, Serena Ng
Economists are blessed with a wealth of data for analysis, but more often than not, values in some entries of the data matrix are missing. Various methods have been proposed to han…
Simpler Proofs for Approximate Factor Models of Large Dimensions
Jushan Bai, Serena Ng
Estimates of the approximate factor model are increasingly used in empirical work. Their theoretical properties, studied some twenty years ago, also laid the ground work for analys…