Department of Economics
Massachusetts Institute of Technology
Cambridge, MA 02139
(617) 253-6217
jbai@mit.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. in Mathematics, 1982

Current and Past Positions:

Associate Professor of Economics, MIT, 1997-Present.

Assistant Professor of Economics, MIT, 1992-1996.

Research Interests:

Econometrics; Time Series Econometrics; Empirical Macroeconomics and

Empirical Finance.

Publications:
"Testing for and Dating Common Breaks in Stationary and Nonstationary Multiple Time Series," with Robin Lumsdaine and James Stock, Revision 1996. Forthcoming in Review of Economics Studies.

"Multiple-Regime Regression with Least Absolutes Deviation Estimation." Manuscript, Department of Economics, MIT, 1995. Forthcoming in Journal of Statistical Planning and Inference.

A Note on Spurious Breaks and Changes in Cointegrating Relationships,". Department of Economics, MIT, Working Paper No. 96-17. Forthcoming in Econometric Theory.

"Testing for and Estimation of Multiple Structural Changes," (with Pierre Perron). Econometrica, 66, 47-79, 1998.

"Estimation of a Change Point in Multiple Regressions" Review of Economics and Statistics, 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.

Papers:

"Testing Parametric Conditional Distributions of Dynamic Models." Manuscript, Department of Economics, MIT. November, 1997.

"Chi-Square Goodness-of-Fit Tests for Randomly Censored Data with Covariates." Manuscript, Department of Economics, MIT. August, 1997.

"Vector Autoregression With a Changing Covariance Structure." Manuscript, Department of Economics, MIT. March, 1997.

"An Inequality for Vector-Valued Martingales and Its Applications." Working Paper No. 96-16, 1996.

"Likelihood Ratio Test for Multiple Structural Changes." Manuscript, Department of Economics, MIT. September 1996.

Current Research:

Asymmetries of Economic Time Series, Modeling and Testing.

Dynamic Index Threshold Modeling.

Density Forecasting.

Spectral Based Method for Evaluating Time Series Models.

Nonparametric Tests for Parametric Conditional Distributions of Dynamic Models.

Analysis of Censored Data.

Professional Activity:

Editorial Board: Associate Editor, Econometric Theory

Referee for: 

Econometrica

Econometric Theory

Review of Financial Studies

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

Journal of Time Series Analysis

Journal of Applied Econometrics

Journal of Econometrics

Economics Letters

International Economic Review

National Science Foundation

Affiliations

American Economic Association, Econometric Society, American Statistical Association, Chinese Economists Society

Selected Honors, Fellowships:

Alfred P. Sloan Foundation Dissertation Fellowship, 1991-1992

Dora Garibaldi Scholarship in Economics, Berkeley, 1988-1989

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.

Research Grants:

Dean’s Faculty Development Fund, 1993

Provost Fund of MIT, 1992

Provost Fund of MIT, 1995

National Science Foundation, 1994-1996 (Budget: $ 92,706)

National Science Foundation, 1997-2000 (Budget: $172,462)