Details about Serena Ng

Access statistics for papers by Serena Ng.

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Working Papers

2007

1. Panel Cointegration with Global Stochastic Trends
   Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations

2006

2. The Empirical Risk-Return Relation: a factor analysis approach
   2006 Meeting Papers, Society for Economic Dynamics View citations
   Also in
   NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
   See Also Journal Article in Journal of Financial Economics (2007)

2005

3. Macro Factors in Bond Risk Premia
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
4. Understanding and Comparing Factor-Based Forecasts
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in
   MPRA Paper, University Library of Munich, Germany (2005) View citations
   See Also Journal Article in International Journal of Central Banking (2005)

2004

5. Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
   Econometrics, EconWPA View citations
6. Evaluating Latent and Observed Factors in Macroeconomics and Financ
   Econometrics, EconWPA View citations
   See Also Journal Article in Journal of Econometrics (2006)

2003

7. Are More Data Always Better for Factor Analysis?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See Also Journal Article in Journal of Econometrics (2006)
8. Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data
   Computing in Economics and Finance 2003, Society for Computational Economics

2002

9. Demand Systems With Nonstationary Prices
   Boston College Working Papers in Economics, Boston College Department of Economics
   See Also Journal Article in The Review of Economics and Statistics (2005)

2001

10. A New Look at Panel Testing of Stationarity and the PPP Hypothesis
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    Also in
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations
11. A Note on the Selection of Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
12. A PANIC Attack on Unit Roots and Cointegration
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    Also in
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations
    See Also Journal Article in Econometrica (2004)
13. Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates?
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics
    See Also Journal Article in Journal of International Money and Finance (2003)
14. PPP May not Hold After all: A Further Investigation
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations
15. Tests for Skewness, Kurtosis, and Normality for Time Series Data
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Journal of Business & Economic Statistics (2005)

2000

16. Determining the Number of Factors in Approximate Factor Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    Also in
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations
    See Also Journal Article in Econometrica (2002)
17. Forecasting Autoregressive Time Series in the Presence of Deterministic Components
    Working Papers, Cornell University, Center for Analytic Economics
    See Also Journal Article in Econometrics Journal (2002)
18. How Important Are Intergenerational Transfers of Time? A Macroeconomic Analysis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in
    Boston College Working Papers in Economics, Boston College Department of Economics (1997)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2000) View citations
19. Intergenerational Linkages in Consumption Behavior
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    Also in
    Boston College Working Papers in Economics, Boston College Department of Economics (2000) View citations
20. Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Econometrica (2001)

1999

21. Forecasting Dynamic Time Series in the Presence of Deterministic Components
    Boston College Working Papers in Economics, Boston College Department of Economics

1998

22. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    Also in
    CIRANO Working Papers, CIRANO (1997)
    See Also Journal Article in The Review of Economics and Statistics (1998)
23. A Test for Conditional Symmetry in Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
24. Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean
    Boston College Working Papers in Economics, Boston College Department of Economics
    See Also Journal Article in Journal of Econometrics (1999)

1997

25. Accounting for Trends in the Almost Ideal Demand System
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
26. Analysis of Vector Autoregressions in the Presence of Shifts in Mean
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Econometric Reviews (2002)
27. Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Journal of Econometrics (2000)
28. Explaining the Persistence of Commodity Prices
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in
    Boston College Working Papers in Economics, Boston College Department of Economics (1997)
    See Also Journal Article in Computational Economics (2000)
29. Parametric and non-parametric approaches to price and tax reform
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    Also in
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996)
    NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996)

1996

30. A Semi-Parametric Factor Model for Interest Rates
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996)
    CIRANO Working Papers, CIRANO (1996)
31. A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations
    See Also Journal Article in Journal of Economic Dynamics and Control (2001)
32. An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996)
    See Also Journal Article in Econometric Theory (1998)

1995

33. Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations
    See Also Journal Article in Journal of Econometrics (1997)
34. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    CIRANO Working Papers, CIRANO View citations
    Also in
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations
    See Also Journal Article in Journal of Money, Credit and Banking (1997)
35. Looking for Evidence of Speculative Stockholding in Commodity Markets
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
    See Also Journal Article in Journal of Economic Dynamics and Control (1996)
36. Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)
37. Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations
    See Also Journal Article in Journal of Applied Econometrics (1995)
38. The Exact Error in Estimating the Special Density at the Origin
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)
39. The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
    Carleton Economic Papers, Carleton University, Department of Economics (1993)
    See Also Journal Article in The Review of Economics and Statistics (1996)

1994

40. Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations
41. Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations
    See Also Journal Article in Review of Economic Studies (1996)

1991

42. Adjustment Costs and Factor Demands in Canadian Manufacturing Industries
    Working Papers, Laval - Recherche en Energie
    Also in
    Cahiers de recherche, Université Laval - Département d'économique (1991)
    See Also Journal Article in Applied Economics (1992)

Journal Articles

2008

1. A Simple Test for Nonstationarity in Mixed Panels
   Journal of Business & Economic Statistics, 2008, 26, 113-127

2007

2. Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers
   Advances in Economic Analysis & Policy, 2007, 7, (1), 1801-1801
3. Determining the Number of Primitive Shocks in Factor Models
   Journal of Business & Economic Statistics, 2007, 25, 52-60 View citations
4. Editors' Report 2006
   Journal of Business & Economic Statistics, 2007, 25, 503-503
5. The empirical risk-return relation: A factor analysis approach
   Journal of Financial Economics, 2007, 83, (1), 171-222
   See Also Working Paper (2006)

2006

6. Are more data always better for factor analysis?
   Journal of Econometrics, 2006, 132, (1), 169-194 View citations
   See Also Working Paper (2003)
7. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
   Econometrica, 2006, 74, (4), 1133-1150 View citations
8. Evaluating latent and observed factors in macroeconomics and finance
   Journal of Econometrics, 2006, 131, (1-2), 507-537 View citations
   See Also Working Paper (2004)
9. Testing Cross-Section Correlation in Panel Data Using Spacings
   Journal of Business & Economic Statistics, 2006, 24, 12-23 View citations

2005

10. A Note on the Selection of Time Series Models
    Oxford Bulletin of Economics and Statistics, 2005, 67, (1), 115-134 View citations
    See Also Working Paper (2001)
11. Demand Systems with Nonstationary Prices
    The Review of Economics and Statistics, 2005, 87, (3), 479-494 View citations
    See Also Working Paper (2002)
12. Tests for Skewness, Kurtosis, and Normality for Time Series Data
    Journal of Business & Economic Statistics, 2005, 23, 49-60
    See Also Working Paper (2001)
13. Understanding and Comparing Factor-Based Forecasts
    International Journal of Central Banking, 2005, 1, (3) View citations
    See Also Working Paper (2005)

2004

14. A PANIC Attack on Unit Roots and Cointegration
    Econometrica, 2004, 72, (4), 1127-1177 View citations
    See Also Working Paper (2001)

2003

15. Can sticky prices account for the variations and persistence in real exchange rates?
    Journal of International Money and Finance, 2003, 22, (1), 65-85 View citations
    See Also Working Paper (2001)
16. Intergenerational Time Transfers and Childcare
    Review of Economic Dynamics, 2003, 6, (2), 431-454 View citations

2002

17. ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
    Econometric Reviews, 2002, 21, (3), 353-381 View citations
    See Also Working Paper (1997)
18. Determining the Number of Factors in Approximate Factor Models
    Econometrica, 2002, 70, (1), 191-221 View citations
    See Also Working Paper (2000)
19. Forecasting autoregressive time series in the presence of deterministic components
    Econometrics Journal, 2002, 5, (1), 196-224
    See Also Working Paper (2000)

2001

20. A consistent test for conditional symmetry in time series models
    Journal of Econometrics, 2001, 103, (1-2), 225-258 View citations
21. A systematic framework for analyzing the dynamic effects of permanent and transitory shocks
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1527-1546 View citations
    See Also Working Paper (1996)
22. LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
    Econometrica, 2001, 69, (6), 1519-1554 View citations
    See Also Working Paper (2000)

2000

23. Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators
    Journal of Econometrics, 2000, 96, (2), 231-266 View citations
    See Also Working Paper (1997)
24. Explaining the Persistence of Commodity Prices
    Computational Economics, 2000, 16, (1/2), 149-171 View citations
    See Also Working Paper (1997)

1999

25. Testing for ARCH in the presence of a possibly misspecified conditional mean
    Journal of Econometrics, 1999, 93, (2), 257-279 View citations
    See Also Working Paper (1998)

1998

26. A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure
    The Review of Economics and Statistics, 1998, 80, (4), 535-548 View citations
    See Also Working Paper (1998)
27. AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
    Econometric Theory, 1998, 14, (05), 560-603 View citations
    See Also Working Paper (1996)

1997

28. Estimation and inference in nearly unbalanced nearly cointegrated systems
    Journal of Econometrics, 1997, 79, (1), 53-81 View citations
    See Also Working Paper (1995)
29. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    Journal of Money, Credit and Banking, 1997, 29, (2), 154-76 View citations
    See Also Working Paper (1995)

1996

30. Looking for evidence of speculative stockholding in commodity markets
    Journal of Economic Dynamics and Control, 1996, 20, (1-3), 123-143
    See Also Working Paper (1995)
31. The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information
    The Review of Economics and Statistics, 1996, 78, (3), 375-83
    See Also Working Paper (1995)
32. Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties
    Review of Economic Studies, 1996, 63, (3), 435-63 View citations
    See Also Working Paper (1994)

1995

33. Review of Coint 2.0
    Journal of Applied Econometrics, 1995, 10, (2), 205-10
34. Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary
    Journal of Applied Econometrics, 1995, 10, (2), 147-63 View citations
    See Also Working Paper (1995)
35. Testing for unit roots in flow data sampled at different frequencies
    Economics Letters, 1995, 47, (3-4), 237-242 View citations

1992

36. Adjustment Costs and Factor Demands in Canadian Manufacturing Industries
    Applied Economics, 1992, 24, (8), 845-57
    See Also Working Paper (1991)

Editor

1. Journal of Business & Economic Statistics
   American Statistical Association