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Details about Serena Ng

E-mail:
Homepage:http://www.columbia.edu/~sn2294
Postal address:Department of Economics Columbia University 420 W 118 St. New York, NY 10027
Workplace:Department of Economics, School of Arts and Sciences, Columbia University, (more information at EDIRC)

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Last updated 2014-07-04. Update your information in the RePEc Author Service.

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Working Papers

2013

  1. Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    See also Journal Article in Journal of Economic Literature (2013)
  2. Measuring Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  3. Minimum distance estimation of possibly non-invertible moving average models
    Working Paper, Federal Reserve Bank of Atlanta Downloads

2011

  1. Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Econometric Theory (2012)

2009

  1. A Factor Analysis of Bond Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  2. Dynamic hierarchical factor models
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (15)
    See also Journal Article in The Review of Economics and Statistics (2013)
  3. Estimation of DSGE Models When the Data are Persistent
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Journal of Monetary Economics (2010)

2007

  1. Panel Cointegration with Global Stochastic Trends
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2009)

2006

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

    See also Journal Article in Journal of Financial Economics (2007)

2005

  1. Macro Factors in Bond Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article in Review of Financial Studies (2009)
  2. Understanding and Comparing Factor-Based Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (112)
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads View citations (111)

    See also Journal Article in International Journal of Central Banking (2005)

2004

  1. Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
    Econometrics, EconWPA Downloads View citations (4)
  2. Evaluating Latent and Observed Factors in Macroeconomics and Financ
    Econometrics, EconWPA Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Are More Data Always Better for Factor Analysis?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (46)
    See also Journal Article in Journal of Econometrics (2006)
  2. Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data
    Computing in Economics and Finance 2003, Society for Computational Economics

2002

  1. Demand Systems With Nonstationary Prices
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in The Review of Economics and Statistics (2005)
  2. PPP May not Hold Afterall: A Further Investigation
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics Downloads View citations (6)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (8)

    See also Journal Article in Annals of Economics and Finance (2002)

2001

  1. A New Look at Panel Testing of Stationarity and the PPP Hypothesis
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (7)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (7)
  2. A Note on the Selection of Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (3)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
  3. A PANIC Attack on Unit Roots and Cointegration
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (15)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (17)

    See also Journal Article in Econometrica (2004)
  4. 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)
  5. Tests for Skewness, Kurtosis, and Normality for Time Series Data
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2005)

2000

  1. Determining the Number of Factors in Approximate Factor Models
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (17)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (23)

    See also Journal Article in Econometrica (2002)
  2. Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (11)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (1997) Downloads View citations (10)

    See also Journal Article in Journal of Econometrics (2000)
  3. Forecasting Autoregressive Time Series in the Presence of Deterministic Components
    Working Papers, Cornell University, Center for Analytic Economics Downloads
    See also Journal Article in Econometrics Journal (2002)
  4. How Important Are Intergenerational Transfers of Time? A Macroeconomic Analysis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (3)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (1997) Downloads
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2000) Downloads View citations (5)
  5. Intergenerational Linkages in Consumption Behavior
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (9)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2000) Downloads View citations (3)

    See also Journal Article in Journal of Human Resources (2004)
  6. 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 Downloads View citations (27)
    See also Journal Article in Econometrica (2001)

1999

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

1998

  1. 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 Downloads View citations (8)
    Also in CIRANO Working Papers, CIRANO (1997) Downloads

    See also Journal Article in The Review of Economics and Statistics (1998)
  2. A Test for Conditional Symmetry in Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
  3. Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (1999)

1997

  1. Accounting for Trends in the Almost Ideal Demand System
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
  2. Analysis of Vector Autoregressions in the Presence of Shifts in Mean
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (3)
    See also Journal Article in Econometric Reviews (2002)
  3. Explaining the Persistence of Commodity Prices
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (3)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (1997) Downloads View citations (3)

    See also Journal Article in Computational Economics (2000)
  4. Parametric and non-parametric approaches to price and tax reform
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) Downloads View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) Downloads
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996)

1996

  1. A Semi-Parametric Factor Model for Interest Rates
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (1)
    Also in CIRANO Working Papers, CIRANO (1996) Downloads
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996)
  2. 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 (5)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) Downloads View citations (5)

    See also Journal Article in Journal of Economic Dynamics and Control (2001)
  3. 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) Downloads

    See also Journal Article in Econometric Theory (1998)
  4. The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information
    Carleton Economic Papers, Carleton University, Department of Economics View citations (2)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (4)

    See also Journal Article in The Review of Economics and Statistics (1996)

1995

  1. Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (2)

    See also Journal Article in Journal of Econometrics (1997)
  2. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    CIRANO Working Papers, CIRANO Downloads View citations (6)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (4)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (2)

    See also Journal Article in Journal of Money, Credit and Banking (1997)
  3. Looking for Evidence of Speculative Stockholding in Commodity Markets
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (3)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (4)

    See also Journal Article in Journal of Economic Dynamics and Control (1996)
  4. 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) Downloads
  5. Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (14)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (27)

    See also Journal Article in Journal of Applied Econometrics (1995)
  6. 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) Downloads

1994

  1. 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 (120)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) Downloads View citations (7)
  2. 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 Downloads View citations (18)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (5)

    See also Journal Article in Review of Economic Studies (1996)

1991

  1. 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)

Journal Articles

2014

  1. MEASUREMENT ERRORS IN DYNAMIC MODELS
    Econometric Theory, 2014, 30, (01), 150-175 Downloads
  2. Viewpoint: Boosting Recessions
    Canadian Journal of Economics, 2014, 47, (1), 1-34 Downloads

2013

  1. Commodity Prices, Convenience Yields, and Inflation
    The Review of Economics and Statistics, 2013, 95, (1), 206-219 Downloads View citations (23)
  2. Dynamic Hierarchical Factor Model
    The Review of Economics and Statistics, 2013, 95, (5), 1811-1817 Downloads
    See also Working Paper (2009)
  3. Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
    Journal of Economic Literature, 2013, 51, (4), 1120-54 Downloads View citations (17)
    See also Working Paper (2013)
  4. Principal components estimation and identification of static factors
    Journal of Econometrics, 2013, 176, (1), 18-29 Downloads View citations (5)

2012

  1. ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
    Econometric Theory, 2012, 28, (05), 1003-1036 Downloads
    See also Working Paper (2011)
  2. Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown
    Journal of Econometric Methods, 2012, 1, (1), 14 Downloads

2011

  1. A hierarchical factor analysis of U.S. housing market dynamics
    Econometrics Journal, 2011, 14, (1), C1-C24 Downloads View citations (17)
  2. Dynamic Identification of Dynamic Stochastic General Equilibrium Models
    Econometrica, 2011, 79, (6), 1995-2032 Downloads View citations (7)

2010

  1. Editors’ Report 2009
    Journal of Business & Economic Statistics, 2010, 28, (4), 574-574 Downloads
  2. Estimation of DSGE models when the data are persistent
    Journal of Monetary Economics, 2010, 57, (3), 325-340 Downloads View citations (21)
    See also Working Paper (2009)
  3. INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
    Econometric Theory, 2010, 26, (06), 1577-1606 Downloads View citations (22)
  4. PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
    Econometric Theory, 2010, 26, (04), 1088-1114 Downloads View citations (13)

2009

  1. Boosting diffusion indices
    Journal of Applied Econometrics, 2009, 24, (4), 607-629 Downloads View citations (12)
  2. Editors' Report 2008
    Journal of Business & Economic Statistics, 2009, 27, (4), 566-566 Downloads
  3. Macro Factors in Bond Risk Premia
    Review of Financial Studies, 2009, 22, (12), 5027-5067 Downloads View citations (87)
    See also Working Paper (2005)
  4. Panel cointegration with global stochastic trends
    Journal of Econometrics, 2009, 149, (1), 82-99 Downloads View citations (62)
    See also Working Paper (2007)
  5. Selecting Instrumental Variables in a Data Rich Environment
    Journal of Time Series Econometrics, 2009, 1, (1), 1-34 Downloads View citations (3)

2008

  1. A Simple Test for Nonstationarity in Mixed Panels
    Journal of Business & Economic Statistics, 2008, 26, 113-127 Downloads View citations (12)
  2. Editors' Report 2007
    Journal of Business & Economic Statistics, 2008, 26, 557-557 Downloads View citations (1)
  3. Extremum Estimation when the Predictors are Estimated from Large Panels
    Annals of Economics and Finance, 2008, 9, (2), 201-222 Downloads View citations (6)
  4. Forecasting economic time series using targeted predictors
    Journal of Econometrics, 2008, 146, (2), 304-317 Downloads View citations (62)
  5. Large Dimensional Factor Analysis
    Foundations and Trends(R) in Econometrics, 2008, 3, (2), 89-163 Downloads View citations (30)

2007

  1. Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers
    The B.E. Journal of Economic Analysis & Policy, 2007, 7, (1), 1-38 Downloads
  2. Determining the Number of Primitive Shocks in Factor Models
    Journal of Business & Economic Statistics, 2007, 25, 52-60 Downloads View citations (138)
  3. Editors' Report 2006
    Journal of Business & Economic Statistics, 2007, 25, 503-503 Downloads View citations (2)
  4. The empirical risk-return relation: A factor analysis approach
    Journal of Financial Economics, 2007, 83, (1), 171-222 Downloads View citations (67)
    See also Working Paper (2006)

2006

  1. Are more data always better for factor analysis?
    Journal of Econometrics, 2006, 132, (1), 169-194 Downloads View citations (198)
    See also Working Paper (2003)
  2. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
    Econometrica, 2006, 74, (4), 1133-1150 Downloads View citations (58)
  3. Evaluating latent and observed factors in macroeconomics and finance
    Journal of Econometrics, 2006, 131, (1-2), 507-537 Downloads View citations (48)
    See also Working Paper (2004)
  4. Testing Cross-Section Correlation in Panel Data Using Spacings
    Journal of Business & Economic Statistics, 2006, 24, 12-23 Downloads View citations (34)

2005

  1. A Note on the Selection of Time Series Models
    Oxford Bulletin of Economics and Statistics, 2005, 67, (1), 115-134 Downloads View citations (19)
    See also Working Paper (2001)
  2. Demand Systems with Nonstationary Prices
    The Review of Economics and Statistics, 2005, 87, (3), 479-494 Downloads View citations (19)
    See also Working Paper (2002)
  3. Tests for Skewness, Kurtosis, and Normality for Time Series Data
    Journal of Business & Economic Statistics, 2005, 23, 49-60 Downloads View citations (33)
    See also Working Paper (2001)
  4. Understanding and Comparing Factor-Based Forecasts
    International Journal of Central Banking, 2005, 1, (3) Downloads View citations (117)
    See also Working Paper (2005)

2004

  1. A PANIC Attack on Unit Roots and Cointegration
    Econometrica, 2004, 72, (4), 1127-1177 Downloads View citations (379)
    See also Working Paper (2001)
  2. Intergenerational Linkages in Consumption Behavior
    Journal of Human Resources, 2004, 39, (2) Downloads View citations (10)
    See also Working Paper (2000)

2003

  1. Can sticky prices account for the variations and persistence in real exchange rates?
    Journal of International Money and Finance, 2003, 22, (1), 65-85 Downloads View citations (8)
    See also Working Paper (2001)
  2. Intergenerational Time Transfers and Childcare
    Review of Economic Dynamics, 2003, 6, (2), 431-454 Downloads View citations (23)

2002

  1. ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
    Econometric Reviews, 2002, 21, (3), 353-381 Downloads View citations (3)
    See also Working Paper (1997)
  2. Determining the Number of Factors in Approximate Factor Models
    Econometrica, 2002, 70, (1), 191-221 Downloads View citations (782)
    See also Working Paper (2000)
  3. Forecasting autoregressive time series in the presence of deterministic components
    Econometrics Journal, 2002, 5, (1), 196-224 Downloads View citations (2)
    See also Working Paper (2000)
  4. PPP May not Hold Afterall: A Further Investigation
    Annals of Economics and Finance, 2002, 3, (1), 43-64 Downloads View citations (5)
    See also Working Paper (2002)

2001

  1. A consistent test for conditional symmetry in time series models
    Journal of Econometrics, 2001, 103, (1-2), 225-258 Downloads View citations (31)
  2. A systematic framework for analyzing the dynamic effects of permanent and transitory shocks
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1527-1546 Downloads View citations (67)
    See also Working Paper (1996)
  3. LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
    Econometrica, 2001, 69, (6), 1519-1554 Downloads View citations (894)
    See also Working Paper (2000)

2000

  1. Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators
    Journal of Econometrics, 2000, 96, (2), 231-266 Downloads View citations (25)
    See also Working Paper (2000)
  2. Explaining the Persistence of Commodity Prices
    Computational Economics, 2000, 16, (1/2), 149-171 Downloads View citations (14)
    See also Working Paper (1997)

1999

  1. Testing for ARCH in the presence of a possibly misspecified conditional mean
    Journal of Econometrics, 1999, 93, (2), 257-279 Downloads View citations (21)
    See also Working Paper (1998)

1998

  1. 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 Downloads View citations (9)
    See also Working Paper (1998)
  2. AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
    Econometric Theory, 1998, 14, (05), 560-603 Downloads View citations (23)
    See also Working Paper (1996)

1997

  1. Estimation and inference in nearly unbalanced nearly cointegrated systems
    Journal of Econometrics, 1997, 79, (1), 53-81 Downloads View citations (30)
    See also Working Paper (1995)
  2. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    Journal of Money, Credit and Banking, 1997, 29, (2), 154-76 View citations (25)
    See also Working Paper (1995)

1996

  1. Looking for evidence of speculative stockholding in commodity markets
    Journal of Economic Dynamics and Control, 1996, 20, (1-3), 123-143 Downloads View citations (10)
    See also Working Paper (1995)
  2. 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 Downloads View citations (7)
    See also Working Paper (1996)
  3. Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties
    Review of Economic Studies, 1996, 63, (3), 435-63 Downloads View citations (140)
    See also Working Paper (1994)

1995

  1. Review of Coint 2.0
    Journal of Applied Econometrics, 1995, 10, (2), 205-10 Downloads
  2. Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary
    Journal of Applied Econometrics, 1995, 10, (2), 147-63 Downloads View citations (31)
    See also Working Paper (1995)
  3. Testing for unit roots in flow data sampled at different frequencies
    Economics Letters, 1995, 47, (3-4), 237-242 Downloads View citations (11)

Software Items

Editor

  1. Journal of Business & Economic Statistics
    American Statistical Association
 
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