Advances in economics and econometrics in searchworks catalog. Large dimensional factor analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. Its primary objective is to provide the basic probability theory necessary for. First, it covers a full range of techniques with the estimation method called the generalized method of moments gmm as the organizing principle. Because of the way the book is organized, it may be used at a variety of levels of rigor. Reliable information about the coronavirus covid19 is available from the world health organization current situation, international travel. This paper was prepared for the palgrave handbook of econometrics, vol. By continuing to use this website, you consent to columbia universitys usage of cookies and similar technologies, in accordance with the columbia university website cookie notice. For useful comments on an earlier draft, i wish to thank jushan bai, songjun chun, ai deng, mohitosh kejriwal, dukpa kim, eiji kurozumi, zhongjun qu, jonathan treussard, tim vogelsang, tatsuma wada, tomoyoshi yabu, yunpeng zhang, jing zhou. A keynote speaker at the conference common features in london, december 2004.
Large dimensional factor analysis by jushan bai, serena ng. Rank regularized estimation of approximate factor models, journal of econometrics, elsevier, vol. Large dimensional factor analysis foundations and trendsr in econometrics bai, jushan, ng, serena on. Buy large dimensional factor analysis by jushan bai, serena ng from waterstones today. The implementation of crosssectional weights in household panel surveys schonlau, matthias, kroh, martin, and watson, nicole, statistics surveys, 20. Testing for a structural break in a spatial panel model mdpi. Jushan bai 1994, least squares estimation of a shift in linear processes 16. Large dimensional factor analysis foundations and trendsr in econometrics. A keynote speaker at the international conference on breaks and persistence in econometrics, london, dec 1112, 2006. Advances in economics and econometrics edited by daron acemoglu may 20. Unbalanced panel data models with interactive effects jushan bai, yuan liao, and jisheng yang panel data models for discrete choice william greene panel.
Jushan bai serena ng y august 2004 princeton university. By jushan bai, columbia university edited by daron. Large dimensional factor analysis discusses how to determine the number. Access free textbook solutions and ask 5 free questions to expert tutors 247. This issue was popularised by david hendry, who argued that lack of stability of coefficients frequently caused forecast failure, and therefore we must routinely test for structural. Computation and analysis of multiple structural change models jushan bai and pierre. Econometrics free fulltext unit roots and structural. The papers summarize and interpret key developments in economics and econometrics, and they discuss future directions for a wide variety of topics, covering both theory and application.
We propose a likelihood ratio test of the null hypothesis of no break against the alternative hypothesis of a single break. Access study documents, get answers to your study questions, and connect with real tutors for econ 34. Here at last is the fourth edition of the textbook that is required reading f. Advances in economics and econometrics edited by daron. The book is also distinctive in developing both timeseries and crosssection analysis fully, giving the reader a unified framework for understanding and integrating results.
Computation and analysis of multiple structural change models jushan bai and pierre perron structural breaks with deterministic and stochastic trends. Papers 152019, singapore management university, school of economics. Inference for a nonstationary selfexciting point process with an application in ultrahigh frequency financial data modeling chen, feng and hall, peter, journal of applied probability, 20. Buy large dimensional factor analysis foundations and trends r in econometrics by bai, jushan, ng, serena isbn. Noncausal autoregressions with exogenous regressors. Rethinking the tax system for the twentyfirst century. The limiting distribution of the test is derived under the null when both the number of individual units n and the number of time periods t is. Jushan bai and peng wangy august 2015 abstract large factor models use a few latent factors to characterize the comovement of economic variables in a high dimensional data set. We consider the problem of testing for a structural break in the spatial lag parameter in a panel model spatial autoregressive. It covers topics in statistical theory and methodology that are useful for. Gujaratis basic econometrics provides an elementary but comprehensive introduction to econometrics without resorting to matrix algebra, calculus, or statistics beyond the elementary level. Penalized sieve estimation and inference of seminonparametric dynamic models. Large dimensional factor analysis provides a survey of the.
This article discusses the models identification and estimation as. Computation and analysis of multiple structural change models. Numerous and frequentlyupdated resource results are available from this search. Large dimensional factor analysis jushan bai, serena ng. Email your librarian or administrator to recommend adding this book to your organisations collection. All the estimation techniques that could possibly be taught. Jushan bai and pierre perron 1998, estimating and testing linear models with multiple structural changes 17. Tomohiro ando, jushan bai, asset pricing with a general multifactor structure, journal of financial econometrics, volume, issue 3, summer 2015. Asset pricing with a general multifactor structure. This routine implements the method common breaks in means and variances for panel data, bai j. Journal of applied econometrics wiley online library. Estimating and testing linear models with multiple. Serena ng y august 2004 abstract we consider the situation when there is a large number of series, n, each with t observations, and each series has some predictive ability for the variable of interest, y. Welcome to jushan bais homepage columbia university.
Estimating and testing linear models with multiple structural changes working paper dept. Department of economics, columbia university 1019 international affairs building 420 w 118 st. Jushan bai and serena ng 2008, large dimensional factor analysis, foundations and trends in econometrics. Factor models explain correlations among a set of variables. High dimensionality brings challenge as well as new insight into the advancement of econometric theory. A comprehensive source, with wellbalanced chapters that span most of the economics fields from microeconometrics to macroeconometrics, along with a selective but relevant choice of applications. A read is counted each time someone views a publication summary such as the title, abstract, and list of authors, clicks on a figure, or views or downloads the fulltext. Due to its ability to e ectively summarize information in large data. This volume includes some of the papers presented at that conference and other solicited papers that made it through the refereeing process.
The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Jushan bai serena ng it is known that the principal component estimates of the factors and the loadings are rotations of the underlying latent factors and loadings. Panel data models and factor analysis researchgate. Journal of econometrics, 2008, 146, 2, 304317 view citations 230 generic consistency of the breakpoint estimators under specification errors in a multiplebreak model econometrics journal, 2008, 11, 2, 287307 view citations 19 large dimensional factor analysis foundations and trendsr in econometrics, 2008, 3, 2, 89163 view. Large dimensional factor analysis foundations and trends. By postulating that the variables are linked with a small number of latent components, factor models imply a particular structure for the correlation matrix. Preface this book is designed to serve as the textbook for a. Panel data models and factor analysis chapter 12 advances in. Oclcs webjunction has pulled together information and resources to assist library staff as they consider how to handle coronavirus. In econometrics and statistics, a structural break is an unexpected change over time in the parameters of regression models, which can lead to huge forecasting errors and unreliability of the model in general. Economics and statistics working papers, singapore management university, school. The book covers important topics such as the phillipsperron unit root test and. This website uses cookies as well as similar tools and technologies to understand visitors experiences. Econometrics has many useful features and covers all the important topics in econometrics in a succinct manner.
Jushan bai, professor of department of economics at columbia university. A biographical dictionary of major economists 1700 to 1995. For example, if matrix algebra is used, theoretical exercises may be omitted. If the address matches an existing account you will receive an email with instructions to retrieve your username. Basic econometrics by damodar n gujarati and a great selection of related books, art and collectibles available now at. Estimating and testing linear models with multiple structural changes. Written by the leading specialists in their fields, these volumes provide a unique, accessible survey of progress on the discipline.
886 634 853 534 159 1519 1458 152 501 711 1059 1414 717 389 1335 843 854 365 159 714 733 1019 562 924 1416 377 1502 1122 78 670 1202 57 107 679 340 481 1222 625 493 750 982 610 136 875 1440 191 1039 1260