umontreal.ca [PDF]J Bai, P Perron - Journal of Applied Econometrics, 2003 - interscience.wiley.com
SUMMARY 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 ...
Cited by 881 - Related articles - BL Direct - All 24 versions

Determining the number of factors in approximate factor models

columbia.edu [PDF]J Bai, S Ng - Econometrica, 2002 - interscience.wiley.com
In this paper we develop some econometric theory for factor models of large dimen- sions. 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 con- vergence rate for the ...
Cited by 820 - Related articles - BL Direct - All 26 versions

A PANIC attack on unit roots and cointegration

columbia.edu [PDF]J Bai, S Ng - Econometrica, 2004 - interscience.wiley.com
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. PANIC can detect ...
Cited by 437 - Related articles - BL Direct - All 31 versions

Inferential theory for factor models of large dimensions

nyu.edu [PDF]J Bai - Econometrica, 2003 - interscience.wiley.com
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 asymp- totically equivalent
to the maximum likelihood estimator (if normality is assumed). We derive the rate of ...
Cited by 323 - Related articles - BL Direct - All 15 versions

Estimating multiple breaks one at a time

J Bai - Econometric Theory, 2009 - 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 compu- tational savings and its robustness
to misspecification in the number of breaks. The number of least-squares regressions ...
Cited by 302 - Related articles - BL Direct - All 8 versions

Estimation of a change point in multiple regression models

wisc.edu [PDF]J Bai - Review of Economics and Statistics, 1997 - MIT Press
Abstract—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 ...
Cited by 288 - Related articles - All 13 versions

Least squares estimation of a shift in linear processes

J Bai - Journal of Time Series Analysis, 1994 - interscience.wiley.com
Abstract. This paper considers a mean shift with an unknown shift point in a linear process and
estimates the unknown shift point (change point) by the method of least squares. Pre-shift and
post-shift means are estimated concurrently with the change point. The consistency and ...
Cited by 221 - Related articles

Testing for and dating common breaks in multivariate time series

J Bai, RL Lumsdaine, JH Stock - Review of Economic …, 1998 - interscience.wiley.com
... Testing For and Dating Common Breaks in Multivariate Time Series JUSHAN BA1 Massachusetts
Institute of Technology, ... Note that the argmax functional is generally only continu- ous for stochastic
processes defined on compact sets (details can be found in Bai (1992)). ...
Cited by 186 - Related articles - BL Direct - All 8 versions

Critical values for multiple structural change tests

bu.edu [PDF]J Bai, P Perron - Econometrics Journal, 2003 - interscience.wiley.com
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 ? and critical values were ...
Cited by 154 - Related articles - BL Direct - All 19 versions

nyu.edu [PDF]J Bai - Review of Economics and Statistics, 2003 - MIT Press
Abstract—This paper proposes a nonparametric test for parametric con- ditional distributions
of dynamic models. The test is of the Kolmogorov type coupled with Khmaladze's martingale
transformation. It is asymp- totically distribution-free and has nontrivial power against ...
Cited by 129 - Related articles - All 11 versions

Multiple structural change models: a simulation analysis

bu.edu [PDF]J Bai, P Perron - Econometric Theory and Practice: Frontiers of …, 2006 - books.google.com
EIGHT Multiple Structural Change Models A Simulation Analysis* Jushan Bai and Pierre Perron
8.1 INTRODUCTION 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 ...
Cited by 117 - Related articles - All 7 versions

Determining the number of primitive shocks in factor models

atl-res.com [PDF]J Bai, S Ng - 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 determine q ...
Cited by 103 - Related articles - BL Direct - All 16 versions

Estimating cross-section common stochastic trends in nonstationary panel data

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 themselves. We derive the ...
Cited by 91 - Related articles - All 11 versions

Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions

usc.edu [PDF]J Bai, S Ng - Econometrica, 2006 - interscience.wiley.com
We consider the situation when there is a large number of series, N, each with T ob-
servations, 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 by the ...
Cited by 85 - Related articles - BL Direct - All 19 versions