Yu Bai, PhD in Economics and Finance (Finance track)
Assistant Professor
Contact Details
Tel: 85902317
Email: yubai@cityu.edu.mo
Academic Qualifications
Ph.D. in Economics and Finance (Finance track), Bocconi University
Master in Quantitative Economics, Huazhong University of Science & Technology
Bachelor in Management (Major in Labor and Social Security), Shanxi University of Finance and Economics
Bibliography
Dr. Yu Bai is currently an Assistant Professor in the Faculty of Finance at City University of Macau. Previously, he first worked as a Ricercatore (Research Fellow) at Bocconi University, and then as a Research Fellow at Monash University. His research interests are in Econometrics, both theoretical and applied, which are also his main teaching areas. His work has appeared in international journals, including Journal of Statistical Computation & Simulation, Journal of Applied Econometrics, and Econometrics & Statistics.
Teaching areas
Econometrics and Statistics courses at Undergraduate/Postgraduate/Ph.D. levels
Research areas
Theoretical Econometrics: Semiparametric and Nonparametric methods
Applied Econometrics: Bayesian Econometrics, Forecasting
Publications
1. Local GMM estimation for nonparametric time-varying coefficient moment condition models. (accepted) Journal of Time Series Analysis. 2025. https://doi.org/10.1111/jtsa.12822.
2. Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors, with G. Kapetanios and M. Marcellino, forthcoming in the Econometrics & Statistics.
3. Macroeconomic Forecasting in a Multi-country Context, joint with A. Carriero, T. E. Clark and M. Marcellino. Journal of Applied Econometrics, 37(6), 1230-1255, 2022.
4. A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors, joint with Shaofu Zhou and Zhaoyuan Fan. Journal of Statistical Computation and Simulation, 88(2), 376-409, 2018.
Working papers
1. Nonparametric estimation and forecasting of time-varying parameter models. joint with B. Peng, S. Shi and W. Yao.