Details about Serena Ng

Access statistics for papers by Serena Ng.

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Working Papers

2011

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

2009

2. A Factor Analysis of Bond Risk Premia
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
3. Dynamic hierarchical factor models
   Staff Reports, Federal Reserve Bank of New York View citations (12)
4. Estimation of DSGE Models When the Data are Persistent
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
   See also Journal Article in Journal of Monetary Economics (2010)

2007

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

2006

6. The Empirical Risk-Return Relation: a factor analysis approach
   2006 Meeting Papers, Society for Economic Dynamics View citations (2)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (7)
   See also Journal Article in Journal of Financial Economics (2007)

2005

7. Macro Factors in Bond Risk Premia
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
   See also Journal Article in Review of Financial Studies (2009)
8. Understanding and Comparing Factor-Based Forecasts
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (85)
   Also in MPRA Paper, University Library of Munich, Germany (2005) View citations (80)
   See also Journal Article in International Journal of Central Banking (2005)

2004

9. Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
   Econometrics, EconWPA View citations (2)
10. Evaluating Latent and Observed Factors in Macroeconomics and Financ
    Econometrics, EconWPA View citations (3)
    See also Journal Article in Journal of Econometrics (2006)

2003

11. Are More Data Always Better for Factor Analysis?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (42)
    See also Journal Article in Journal of Econometrics (2006)
12. Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data
    Computing in Economics and Finance 2003, Society for Computational Economics

2002

13. 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)
14. PPP May not Hold Afterall: A Further Investigation
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (3)
    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

15. 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 (7)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (7)
16. A Note on the Selection of Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (3)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
17. A PANIC Attack on Unit Roots and Cointegration
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (12)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (14)
    See also Journal Article in Econometrica (2004)
18. 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)
19. Tests for Skewness, Kurtosis, and Normality for Time Series Data
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2005)

2000

20. Determining the Number of Factors in Approximate Factor Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (15)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (21)
    See also Journal Article in Econometrica (2002)
21. Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators
    Open Access publications from London School of Economics and Political Science, London School of Economics and Political Science View citations (16)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (1997) View citations (11)
    See also Journal Article in Journal of Econometrics (2000)
22. 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)
23. 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)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2000) View citations (5)
24. Intergenerational Linkages in Consumption Behavior
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (10)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2000) View citations (3)
    See also Journal Article in Journal of Human Resources (2004)
25. 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 (26)
    See also Journal Article in Econometrica (2001)

1999

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

1998

27. 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 (9)
    Also in CIRANO Working Papers, CIRANO (1997)
    See also Journal Article in The Review of Economics and Statistics (1998)
28. A Test for Conditional Symmetry in Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
29. 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

30. Accounting for Trends in the Almost Ideal Demand System
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
31. Analysis of Vector Autoregressions in the Presence of Shifts in Mean
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
    See also Journal Article in Econometric Reviews (2002)
32. Explaining the Persistence of Commodity Prices
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (3)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (1997) View citations (3)
    See also Journal Article in Computational Economics (2000)
33. Parametric and non-parametric approaches to price and tax reform
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996)

1996

34. A Semi-Parametric Factor Model for Interest Rates
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
    Also in CIRANO Working Papers, CIRANO (1996)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996)
35. 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 Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid View citations (31)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations (5)
    Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid
    See also Journal Article in Journal of Economic Dynamics and Control (2001)
36. 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

37. 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 (1)
    See also Journal Article in Journal of Econometrics (1997)
38. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    CIRANO Working Papers, CIRANO View citations (6)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) 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)
39. 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) View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (1996)
40. 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)
41. Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (13)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (26)
    See also Journal Article in Journal of Applied Econometrics (1995)
42. 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)
43. 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 (2)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (4)
    See also Journal Article in The Review of Economics and Statistics (1996)

1994

44. 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 (122)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (7)
45. 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 (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

46. 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

2013

1. Commodity Prices, Convenience Yields, and Inflation
   The Review of Economics and Statistics, 2013, 95, (1), 206-219 View citations (6)

2012

2. ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
   Econometric Theory, 2012, 28, (05), 1003-1036
   See also Working Paper (2011)

2011

3. A hierarchical factor analysis of U.S. housing market dynamics
   Econometrics Journal, 2011, 14, (1), C1-C24 View citations (8)
4. Dynamic Identification of Dynamic Stochastic General Equilibrium Models
   Econometrica, 2011, 79, (6), 1995-2032 View citations (1)

2010

5. Editors’ Report 2009
   Journal of Business & Economic Statistics, 2010, 28, (4), 574-574
6. Estimation of DSGE models when the data are persistent
   Journal of Monetary Economics, 2010, 57, (3), 325-340 View citations (9)
   See also Working Paper (2009)
7. INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
   Econometric Theory, 2010, 26, (06), 1577-1606 View citations (12)
8. PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
   Econometric Theory, 2010, 26, (04), 1088-1114 View citations (5)

2009

9. Boosting diffusion indices
   Journal of Applied Econometrics, 2009, 24, (4), 607-629 View citations (8)
10. Editors' Report 2008
    Journal of Business & Economic Statistics, 2009, 27, (4), 566-566
11. Macro Factors in Bond Risk Premia
    Review of Financial Studies, 2009, 22, (12), 5027-5067 View citations (38)
    See also Working Paper (2005)
12. Panel cointegration with global stochastic trends
    Journal of Econometrics, 2009, 149, (1), 82-99 View citations (36)
    See also Working Paper (2007)
13. Selecting Instrumental Variables in a Data Rich Environment
    Journal of Time Series Econometrics, 2009, 1, (1), 1-34 View citations (2)

2008

14. A Simple Test for Nonstationarity in Mixed Panels
    Journal of Business & Economic Statistics, 2008, 26, 113-127 View citations (1)
15. Editors' Report 2007
    Journal of Business & Economic Statistics, 2008, 26, 557-557 View citations (1)
16. Extremum Estimation when the Predictors are Estimated from Large Panels
    Annals of Economics and Finance, 2008, 9, (2), 201-222 View citations (4)
17. Forecasting economic time series using targeted predictors
    Journal of Econometrics, 2008, 146, (2), 304-317 View citations (39)

2007

18. Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers
    The B.E. Journal of Economic Analysis & Policy, 2007, 7, (1), 1-38
19. Determining the Number of Primitive Shocks in Factor Models
    Journal of Business & Economic Statistics, 2007, 25, 52-60 View citations (82)
20. Editors' Report 2006
    Journal of Business & Economic Statistics, 2007, 25, 503-503 View citations (1)
21. The empirical risk-return relation: A factor analysis approach
    Journal of Financial Economics, 2007, 83, (1), 171-222 View citations (33)
    See also Working Paper (2006)

2006

22. Are more data always better for factor analysis?
    Journal of Econometrics, 2006, 132, (1), 169-194 View citations (137)
    See also Working Paper (2003)
23. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
    Econometrica, 2006, 74, (4), 1133-1150 View citations (30)
24. Evaluating latent and observed factors in macroeconomics and finance
    Journal of Econometrics, 2006, 131, (1-2), 507-537 View citations (36)
    See also Working Paper (2004)
25. Testing Cross-Section Correlation in Panel Data Using Spacings
    Journal of Business & Economic Statistics, 2006, 24, 12-23 View citations (22)

2005

26. A Note on the Selection of Time Series Models
    Oxford Bulletin of Economics and Statistics, 2005, 67, (1), 115-134 View citations (13)
    See also Working Paper (2001)
27. Demand Systems with Nonstationary Prices
    The Review of Economics and Statistics, 2005, 87, (3), 479-494 View citations (17)
    See also Working Paper (2002)
28. Tests for Skewness, Kurtosis, and Normality for Time Series Data
    Journal of Business & Economic Statistics, 2005, 23, 49-60 View citations (15)
    See also Working Paper (2001)
29. Understanding and Comparing Factor-Based Forecasts
    International Journal of Central Banking, 2005, 1, (3) View citations (80)
    See also Working Paper (2005)

2004

30. A PANIC Attack on Unit Roots and Cointegration
    Econometrica, 2004, 72, (4), 1127-1177 View citations (265)
    See also Working Paper (2001)
31. Intergenerational Linkages in Consumption Behavior
    Journal of Human Resources, 2004, 39, (2) View citations (8)
    See also Working Paper (2000)

2003

32. 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 (8)
    See also Working Paper (2001)
33. Intergenerational Time Transfers and Childcare
    Review of Economic Dynamics, 2003, 6, (2), 431-454 View citations (12)

2002

34. ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
    Econometric Reviews, 2002, 21, (3), 353-381 View citations (3)
    See also Working Paper (1997)
35. Determining the Number of Factors in Approximate Factor Models
    Econometrica, 2002, 70, (1), 191-221 View citations (539)
    See also Working Paper (2000)
36. Forecasting autoregressive time series in the presence of deterministic components
    Econometrics Journal, 2002, 5, (1), 196-224 View citations (2)
    See also Working Paper (2000)
37. PPP May not Hold Afterall: A Further Investigation
    Annals of Economics and Finance, 2002, 3, (1), 43-64 View citations (3)
    See also Working Paper (2002)

2001

38. A consistent test for conditional symmetry in time series models
    Journal of Econometrics, 2001, 103, (1-2), 225-258 View citations (25)
39. 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 (55)
    See also Working Paper (1996)
40. LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
    Econometrica, 2001, 69, (6), 1519-1554 View citations (611)
    See also Working Paper (2000)

2000

41. 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 (18)
    See also Working Paper (2000)
42. Explaining the Persistence of Commodity Prices
    Computational Economics, 2000, 16, (1/2), 149-171 View citations (8)
    See also Working Paper (1997)

1999

43. Testing for ARCH in the presence of a possibly misspecified conditional mean
    Journal of Econometrics, 1999, 93, (2), 257-279 View citations (11)
    See also Working Paper (1998)

1998

44. 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 (9)
    See also Working Paper (1998)
45. AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
    Econometric Theory, 1998, 14, (05), 560-603 View citations (18)
    See also Working Paper (1996)

1997

46. Estimation and inference in nearly unbalanced nearly cointegrated systems
    Journal of Econometrics, 1997, 79, (1), 53-81 View citations (28)
    See also Working Paper (1995)
47. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    Journal of Money, Credit and Banking, 1997, 29, (2), 154-76 View citations (19)
    See also Working Paper (1995)

1996

48. Looking for evidence of speculative stockholding in commodity markets
    Journal of Economic Dynamics and Control, 1996, 20, (1-3), 123-143 View citations (4)
    See also Working Paper (1995)
49. 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 View citations (5)
    See also Working Paper (1995)
50. 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 (97)
    See also Working Paper (1994)

1995

51. Review of Coint 2.0
    Journal of Applied Econometrics, 1995, 10, (2), 205-10
52. Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary
    Journal of Applied Econometrics, 1995, 10, (2), 147-63 View citations (27)
    See also Working Paper (1995)
53. Testing for unit roots in flow data sampled at different frequencies
    Economics Letters, 1995, 47, (3-4), 237-242 View citations (10)

Software Items

Editor

1. Journal of Business & Economic Statistics
   American Statistical Association