Department of Economics

Boston College

Chestnut Hill, MA 02467

(617) 552-3689, jushan.bai@bc.edu
 
 

Education:
 

University of California Berkeley, Ph.D. in Economics, 1992

Pennsylvania State University, M.A. in Economics, 1988

Nankai University, Tianjin, China, B.S. and M.A. in Mathematics, 1985

 

Current and Past Positions:
 

Professor of Economics, Boston College, 1999-Present

Associate Professor of Economics, MIT, 1997-1998; BC 1998-1999.

Assistant Professor of Economics, MIT, 1992-1997.

 

Research Interests:

Econometrics; Time Series Econometrics; Empirical Finance.
 
 

Publications:
 

"Determine the Number of Factors in Approximate Factor Models" (with Serena Ng) (1999). Forthcoming in Econometrica.

"Computation and Analysis of Multiple Structural Changes" (with Pierre Perron, 1999). Forthcoming in Journal of Applied Econometrics.

"A Consistent Test for Conditional Symmetry of Time Series." (with Serena Ng) Journal of Econometrics, 103, 225-258, 2001.

"Vector Autoregressive Models with Structural Change in Regression Coefficients and in Variance-Covariance Matrix," Annals of Economics and Finance, Vol. 1, 303-339, 2000.

"Likelihood Ratio Tests for Multiple Structural Changes." Journal of Econometrics, Vol. 91, No. 2, 299-323, 1999.

"Multiple-Regime Regression with Least Absolutes Deviation Estimation." Journal of Statistical Planning and Inference, 74, 103-134, 1998.

"A Note on Spurious Breaks." Econometric Theory, 14, 663-669, 1998.

"Testing for and Dating Common Breaks in Stationary and Nonstationary Multiple

Time Series," with Robin Lumsdaine and James Stock. Review of Economics Studies, 65, 395-432, 1998.

"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).

"Estimation of a Change Point in Multiple Regressions"

Review of Economics and Statistics,79, 551-563, 1997.

"Estimating Multiple Breaks One at a Time."

Econometric Theory, 13, 315-352, 1997.

"Testing for Parameter Constancy in Linear Regressions: an Empirical Distribution Function Approach." Econometrica, 64, 597-622, 1996.

"Least Absolute Deviation Estimation of a Shift."

Econometric Theory, 11, 403-436, 1995.

"The Impact of 1989 California Major Anti-Smoking Legislation on Cigarette Consumption: Three Years Later," with Tehwei Hu, Ted Keeler, and Paul Barnett.

Journal of Public Health Policy, 15, 26-36, 1994.

"Least Squares Estimation of a Shift in Linear Processes."

Journal of Time Series Analysis, 15, 453-470, 1994.

"On the Partial Sum Processes of Residuals in Autoregressive and Moving Average Models." Journal of Time Series Analysis, 14, 247-260, 1993.

"Weak Convergence of Sequential Empirical Processes of Residuals in ARMA Models." Annals of Statistics, 22, 2051-2061, 1994.

 

Book Articles:
 

"Multiple Structural Changes Models: a Simulation Analysis," (with Pierre Perron). Forthcoming in "Econometric Essays in Honors of Peter Phillips," D. Corbea, S. Durlauf and B.E. Hansen (eds.), Cambridge University Press.

 
 
 

Unpublished Papers:
 

"A New Look at Panel Stationarity Test and the PPP Hypothesis" (with Serena Ng), 2001. Festschrift in honor of Tom Rothenberg.

"A PANIC Attack on Unit Roots and Cointegration" (with Serena Ng), 2001.

"Tests for Skewness, Kurtosis, and Normality for Time Series Data" (with Serena Ng), 2001.

"Estimating Cross-Section Common Stochastic Trends in Nonstationary Panel Data," 2001.

"Inferential Theory for Factor Models of Large Dimensions," Under second review in

Econometrica, 2000.

"Testing Parametric Conditional Distributions of Dynamic Models," 1998,

"Chi-Square Goodness-of-Fit Tests for Randomly Censored Data with Covariates."

Manuscript, Department of Economics, MIT. August, 1997.

"An Inequality for Vector-Valued Martingales and Its Applications."

Working Paper No. 96-16, MIT, 1996.

 

Current Research:

Instrumental Variable Estimation with Large Number of Instruments

Factor Models of High Dimensions

Panel Data Analysis
 
 

Professional Activity:

Editorial Board:

Associate Editor: Studies of Nonlinear Dynamics and Econometrics, 2001-present

Co-editor: Annals of Economics and Finance, 2000-present

Associate Editor: Econometric Theory, 1997-2000
 

Referee for:

Econometrica; Journal of Econometrics; Econometric Theory;

Review of Financial Studies; Econometric Reviews

Journal of Applied Econometrics; Economics Letters;

Review of Economics and Statistics; Review of Economic Studies

American Economic Review; Rand Journal of Economics

Quarterly Journal of Economics; Journal of Business and Economic Statistics

Journal of the Royal Statistical Society, Series B; Journal of Statistical Planning and
Inference; Annals of Institute of Statistical Mathematics

Bernoulli; The Manchester School

Statistics and Probability Letters; Journal of Stochastic Processes and Their Applications;
Communications in Statistics: Theory and Methods

Journal of Time Series Analysis; Economic Inquiry

International Economic Review; Journal of International Money and Finance

Journal of Comparative Economics; National Science Foundations

European Economic Review; Journal of Forecasting

ESAIM: Probability and Statistics; Annals of Economics and Finance;

Studies of Nonlinear Dynamics in Econometrics;

Statistica Sinica, Journal of Financial Econometrics,
 
 

Affiliations:

American Economic Association, Econometric Society,

American Statistical Association
 
 

Selected Honors, Fellowships:

Econometric Theory Award, in Recognition of Research Contributions to the Science of Econometrics, 1999.

Selected by the Review of Economic Studies as one of New Distinguished Ph.D.s to speak at tour seminars
in England, France, Belgium, and Israel, 1992.

Alfred P. Sloan Foundation Dissertation Fellowship, UC Berkeley, 1991-1992

Dora Garibaldi Scholarship in Economics, Berkeley, 1988-1989

Donohue Memorial Award, Pennsylvania State University, 1986,
 
 

Research Grants:

National Science Foundation, 1994-2001, 2002-2005 (pending)

Dean?s Faculty Development Fund, 1993

Provost Fund of MIT, 1992

Provost Fund of MIT, 1995