← All authors Jushan Bai Columbia University (from arXiv:2606.29691, 2026) · OpenAlex
83 papers in scope · 77 published · 12 on the econ.EM arXiv · 24,414 citations · h-index 50 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Xu Han Jiangtao Duan Jungjun Choi Matteo Barigozzi Benjamin Wong Serena Ng Sung Hoon Choi Ming Yuan Markus Pelger Yuling Yan Yuan Liao Philipp Gersing Yuheng Zheng Jianqing Fan Sangmyung Ha Junting Duan Anish Agarwal Ruoxuan Xiong Bart Keijsers Ruey S. Tsay Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (14 of 83)
published 2025 · Journal of the American Statistical Association · 1 citations · first circulated 2023
working paper 2025 · arXiv
working paper 2025 · arXiv
Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
published 2024 · Journal of Econometrics · 9 citations
Likelihood approach to dynamic panel models with interactive effects
published 2024 · Journal of Econometrics · 26 citations · first circulated 2009
published 2024 · Journal of Econometrics · 14 citations · first circulated 2022
working paper 2024 · arXiv
with Peng Wang
published 2023 · Journal of Econometrics · 84 citations · first circulated 2021
Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity
published 2022 · Journal of Business and Economic Statistics · 1 citations
published 2022 · Journal of Econometrics · 1 citations · first circulated 2021
published 2022 · Journal of Econometrics · 8 citations · first circulated 2021
published 2021 · Journal of the American Statistical Association · 49 citations
Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
published 2021 · Journal of Econometrics · 17 citations
Dynamic spatial panel data models with common shocks
published 2021 · Journal of Econometrics · 63 citations · first circulated 2013
with Kunpeng Li
published 2020 · Empirical Economics · 292 citations · first circulated 2019
published 2020 · Journal of Econometrics · 16 citations · first circulated 2019
working paper 2020 · arXiv · 3 citations
Estimation and inference of change points in high-dimensional factor models
published 2020 · Journal of Econometrics · 33 citations · first circulated 2017
Rank regularized estimation of approximate factor models
published 2019 · Journal of Econometrics · 76 citations
working paper 2019 · arXiv · 2 citations
Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
published 2018 · Journal of the American Statistical Association · 72 citations · first circulated 2017
working paper 2017 · arXiv · 13 citations
Inferences in panel data with interactive effects using large covariance matrices
published 2017 · Journal of Econometrics · 29 citations
Econometric Analysis of Large Factor Models
published 2016 · Annual Review of Economics · 89 citations
with Peng Wang
Special Issue on Big Data
published 2016 · Journal of Business and Economic Statistics · 12 citations
Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures
published 2016 · Journal of the American Statistical Association · 137 citations · first circulated 2015
Structural Changes in High Dimensional Factor Models
published 2016 · Frontiers of Economics in China · 6 citations
Estimation and Inference of FAVAR Models
published 2015 · Journal of Business and Economic Statistics · 62 citations
with Kunpeng Li, Lina Lu
Efficient estimation of approximate factor models via penalized maximum likelihood
published 2015 · Journal of Econometrics · 73 citations · first circulated 2012
Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency
published 2015 · Econometric Reviews · 6 citations
A simple new test for slope homogeneity in panel data models with interactive effects
published 2015 · Economics Letters · 26 citations · first circulated 2014
Fama–MacBeth two-pass regressions: Improving risk premia estimates
published 2015 · Finance research letters · 35 citations
with Guofu Zhou
Panel Data Models with Grouped Factor Structure Under Unknown Group Membership
published 2015 · Journal of Applied Econometrics · 138 citations · first circulated 2013
Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension
published 2015 · The Review of Economics and Statistics · 17 citations
with Kunpeng Li
Asset Pricing with a General Multifactor Structure
published 2014 · Journal of Financial Econometrics · 75 citations
Identification and Bayesian Estimation of Dynamic Factor Models
published 2014 · Journal of Business and Economic Statistics · 142 citations · first circulated 2012
with Peng Wang
Theory and methods of panel data models with interactive effects
published 2014 · The Annals of Statistics · 85 citations
Identification theory for high dimensional static and dynamic factor models
published 2013 · Journal of Econometrics · 32 citations
with Peng Wang
Principal components estimation and identification of static factors
published 2013 · Journal of Econometrics · 306 citations
Fixed-Effects Dynamic Panel Models, a Factor Analytical Method
published 2013 · Econometrica · 91 citations
Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors
published 2012 · Econometrics Journal · 33 citations · first circulated 2009
with Josep Lluís Carrion-i-Silvestre
Statistical analysis of factor models of high dimension
published 2012 · The Annals of Statistics · 328 citations
Theory and Applications of TAR Model with Two Threshold Variables
published 2011 · Econometric Reviews · 50 citations
OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR
published 2011 · The Journal of Financial Research · 21 citations · first circulated 2007
with J. Ginger Meng, Gang Hu, Ginger Meng
Estimating High Dimensional Covariance Matrices and Its Applications
published 2011 · Annals of economics and finance · 124 citations
with Shi Shuzhong
INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
published 2010 · Econometric Theory · 173 citations
Conditional Markov chain and its application in economic time series analysis
published 2010 · Journal of Applied Econometrics · 43 citations
with Peng Wang
PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
published 2009 · Econometric Theory · 236 citations
Common breaks in means and variances for panel data
published 2009 · Journal of Econometrics · 277 citations
Selecting Instrumental Variables in a Data Rich Environment
published 2009 · Journal of Time Series Econometrics · 71 citations
Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
published 2009 · The Review of Economic Studies · 298 citations
with Josep Lluís Carrion-i-Silvestre
Boosting diffusion indices
published 2009 · Journal of Applied Econometrics · 153 citations
Panel Data Models With Interactive Fixed Effects
published 2009 · Econometrica · 1684 citations
Panel cointegration with global stochastic trends
published 2008 · Journal of Econometrics · 397 citations
Forecasting economic time series using targeted predictors
published 2008 · Journal of Econometrics · 726 citations
Large Dimensional Factor Analysis
published 2008 · Foundations and Trends® in Econometrics · 217 citations
Generic consistency of the break-point estimators under specification errors in a multiple-break model
published 2008 · Econometrics Journal · 25 citations · first circulated 2004
Extremum Estimation when the Predictors are Estimated from Large Panels
published 2008 · Annals of economics and finance · 31 citations
no link
Testing multivariate distributions in GARCH models
published 2007 · Journal of Econometrics · 52 citations
with Zhihong Chen
Determining the Number of Primitive Shocks in Factor Models
published 2006 · Journal of Business and Economic Statistics · 553 citations
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
published 2006 · Econometrica · 656 citations
Evaluating latent and observed factors in macroeconomics and finance
published 2005 · Journal of Econometrics · 229 citations · first circulated 2004
Tests for Skewness, Kurtosis, and Normality for Time Series Data
published 2004 · Journal of Business and Economic Statistics · 500 citations · first circulated 2001
A PANIC Attack on Unit Roots and Cointegration
published 2004 · Econometrica · 1876 citations · first circulated 2001
Estimating cross-section common stochastic trends in nonstationary panel data
published 2004 · Journal of Econometrics · 306 citations
Testing Parametric Conditional Distributions of Dynamic Models
published 2003 · The Review of Economics and Statistics · 266 citations
Critical values for multiple structural change tests
published 2003 · Econometrics Journal · 841 citations
Inferential Theory for Factor Models of Large Dimensions
published 2003 · Econometrica · 1751 citations
Computation and analysis of multiple structural change models
published 2002 · Journal of Applied Econometrics · 609 citations
Determining the Number of Factors in Approximate Factor Models
published 2002 · Econometrica · 765 citations
A consistent test for conditional symmetry in time series models
published 2001 · Journal of Econometrics · 111 citations · first circulated 1998
Likelihood ratio tests for multiple structural changes
published 1999 · Journal of Econometrics · 248 citations
A NOTE ON SPURIOUS BREAK
published 1998 · Econometric Theory · 39 citations
Estimation of multiple-regime regressions with least absolutes deviation
published 1998 · Journal of Statistical Planning and Inference · 58 citations
Testing For and Dating Common Breaks in Multivariate Time Series
published 1998 · The Review of Economic Studies · 454 citations
with Robin L. Lumsdaine, James H. Stock
Estimating and Testing Linear Models with Multiple Structural Changes
published 1998 · Econometrica · 6047 citations · first circulated 1995
Estimation of a Change Point in Multiple Regression Models
published 1997 · The Review of Economics and Statistics · 839 citations
Estimating Multiple Breaks One at a Time
published 1997 · Econometric Theory · 832 citations · first circulated 1995
Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
published 1996 · Econometrica · 86 citations · first circulated 1993
Least Absolute Deviation Estimation of a Shift
published 1995 · Econometric Theory · 110 citations
Weak Convergence of the Sequential Empirical Processes of Residuals in ARMA Models
published 1994 · The Annals of Statistics · 112 citations · first circulated 1991
LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
published 1994 · Journal of Time Series Analysis
ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
published 1993 · Journal of Time Series Analysis · 46 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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