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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 2023-01-31. Update your information in the RePEc Author Service.

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Working Papers

2023

  1. Approximate Factor Models with Weaker Loadings
    Papers, arXiv.org Downloads View citations (6)

2022

  1. Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions
    Papers, arXiv.org Downloads View citations (1)
  2. Least Squares Estimation Using Sketched Data with Heteroskedastic Errors
    Papers, arXiv.org Downloads View citations (5)
  3. Time Series Estimation of the Dynamic Effects of Disaster-Type Shock
    Papers, arXiv.org Downloads View citations (7)

2021

  1. Estimation and Inference by Stochastic Optimization: Three Examples
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Estimation and Inference by Stochastic Optimization: Three Examples, AEA Papers and Proceedings, American Economic Association (2021) Downloads View citations (1) (2021)
  2. Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
    Papers, arXiv.org Downloads View citations (26)
    See also Journal Article Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data, Journal of the American Statistical Association, Taylor & Francis Journals (2021) Downloads View citations (20) (2021)
  3. Modeling Macroeconomic Variations After COVID-19
    Papers, arXiv.org Downloads View citations (28)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) Downloads View citations (27)

2020

  1. An Econometric Perspective on Algorithmic Subsampling
    Papers, arXiv.org Downloads View citations (5)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2020) Downloads View citations (4)

    See also Journal Article An Econometric Perspective on Algorithmic Subsampling, Annual Review of Economics, Annual Reviews (2020) Downloads View citations (4) (2020)
  2. COVID-19 and The Macroeconomic Effects of Costly Disasters
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (69)
  3. FRED-QD: A Quarterly Database for Macroeconomic Research
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (63)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2020) Downloads View citations (35)

    See also Journal Article FRED-QD: A Quarterly Database for Macroeconomic Research, Review, Federal Reserve Bank of St. Louis (2021) Downloads View citations (10) (2021)
  4. Inference by Stochastic Optimization: A Free-Lunch Bootstrap
    Papers, arXiv.org Downloads View citations (1)
  5. Latent Dirichlet Analysis of Categorical Survey Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  6. Latent Dirichlet Analysis of Categorical Survey Responses
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Latent Dirichlet Analysis of Categorical Survey Responses, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) Downloads (2022)
  7. Simpler Proofs for Approximate Factor Models of Large Dimensions
    Papers, arXiv.org Downloads View citations (6)

2019

  1. A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Chapter A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data, NBER Chapters, National Bureau of Economic Research, Inc (2019) Downloads View citations (3) (2019)
  2. Boosting High Dimensional Predictive Regressions with Time Varying Parameters
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article Boosting high dimensional predictive regressions with time varying parameters, Journal of Econometrics, Elsevier (2021) Downloads View citations (6) (2021)

2017

  1. Level and Volatility Factors in Macroeconomic Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (32)
    See also Journal Article Level and volatility factors in macroeconomic data, Journal of Monetary Economics, Elsevier (2017) Downloads View citations (30) (2017)
  2. Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (20)
  3. Principal Components and Regularized Estimation of Factor Models
    Papers, arXiv.org Downloads View citations (13)
  4. Shock Restricted Structural Vector-Autoregressions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
  5. The ABC of Simulation Estimation with Auxiliary Statistics
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article The ABC of simulation estimation with auxiliary statistics, Journal of Econometrics, Elsevier (2018) Downloads View citations (16) (2018)

2015

  1. FRED-MD: A Monthly Database for Macroeconomic Research
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (50)
    See also Journal Article FRED-MD: A Monthly Database for Macroeconomic Research, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) Downloads View citations (356) (2016)
  2. Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (164)
    See also Journal Article Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?, American Economic Journal: Macroeconomics, American Economic Association (2021) Downloads View citations (148) (2021)

2014

  1. Minimum Distance Estimation of Dynamic Models with Errors-In-Variables
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (3)

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 (198)
    See also Journal Article Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling, Journal of Economic Literature, American Economic Association (2013) Downloads View citations (197) (2013)
  2. Measuring Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (24)
    See also Journal Article Measuring Uncertainty, American Economic Review, American Economic Association (2015) Downloads View citations (1199) (2015)
  3. Minimum distance estimation of possibly non-invertible moving average models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    See also Journal Article Minimum Distance Estimation of Possibly Noninvertible Moving Average Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) Downloads View citations (9) (2015)

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 ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES, Econometric Theory, Cambridge University Press (2012) Downloads View citations (5) (2012)

2009

  1. A Factor Analysis of Bond Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (21)
  2. Dynamic hierarchical factor models
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (20)
    See also Journal Article Dynamic Hierarchical Factor Model, The Review of Economics and Statistics, MIT Press (2013) Downloads View citations (7) (2013)
  3. Estimation of DSGE Models When the Data are Persistent
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article Estimation of DSGE models when the data are persistent, Journal of Monetary Economics, Elsevier (2010) Downloads View citations (60) (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 (6)
    See also Journal Article Panel cointegration with global stochastic trends, Journal of Econometrics, Elsevier (2009) Downloads View citations (207) (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 View citations (13)

    See also Journal Article The empirical risk-return relation: A factor analysis approach, Journal of Financial Economics, Elsevier (2007) Downloads View citations (274) (2007)

2005

  1. Macro Factors in Bond Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article Macro Factors in Bond Risk Premia, The Review of Financial Studies, Society for Financial Studies (2009) Downloads View citations (537) (2009)
  2. Understanding and Comparing Factor-Based Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (222)
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads View citations (221)

    See also Journal Article Understanding and Comparing Factor-Based Forecasts, International Journal of Central Banking, International Journal of Central Banking (2005) Downloads View citations (222) (2005)

2004

  1. Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
    Econometrics, University Library of Munich, Germany Downloads View citations (7)
  2. Evaluating Latent and Observed Factors in Macroeconomics and Financ
    Econometrics, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article Evaluating latent and observed factors in macroeconomics and finance, Journal of Econometrics, Elsevier (2006) Downloads View citations (113) (2006)

2003

  1. Are More Data Always Better for Factor Analysis?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (62)
    See also Journal Article Are more data always better for factor analysis?, Journal of Econometrics, Elsevier (2006) Downloads View citations (593) (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 View citations (1)
    See also Journal Article Demand Systems with Nonstationary Prices, The Review of Economics and Statistics, MIT Press (2005) Downloads View citations (31) (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 (15)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (9)

    See also Journal Article PPP May not Hold Afterall: A Further Investigation, Annals of Economics and Finance, Society for AEF (2002) Downloads View citations (11) (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 (10)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (10)
  2. A Note on the Selection of Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (6)
    See also Journal Article A Note on the Selection of Time Series Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) Downloads View citations (41) (2005)
  3. A PANIC Attack on Unit Roots and Cointegration
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (23)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (25)

    See also Journal Article A PANIC Attack on Unit Roots and Cointegration, Econometrica, Econometric Society (2004) Downloads View citations (949) (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 Can sticky prices account for the variations and persistence in real exchange rates?, Journal of International Money and Finance, Elsevier (2003) Downloads View citations (11) (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 (7)
    See also Journal Article Tests for Skewness, Kurtosis, and Normality for Time Series Data, Journal of Business & Economic Statistics, American Statistical Association (2005) Downloads View citations (181) (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 (29)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (34)

    See also Journal Article Determining the Number of Factors in Approximate Factor Models, Econometrica, Econometric Society (2002) View citations (2457) (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 (70)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (1997) Downloads View citations (14)

    See also Journal Article Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators, Journal of Econometrics, Elsevier (2000) Downloads View citations (71) (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 Forecasting autoregressive time series in the presence of deterministic components, Econometrics Journal, Royal Economic Society (2002) View citations (5) (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 (9)
    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 (9)
  5. Intergenerational Linkages in Consumption Behavior
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (13)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2000) Downloads View citations (5)

    See also Journal Article Intergenerational Linkages in Consumption Behavior, Journal of Human Resources, University of Wisconsin Press (2004) Downloads View citations (45) (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 (44)
    See also Journal Article LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power, Econometrica, Econometric Society (2001) View citations (2413) (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 (16)
    Also in CIRANO Working Papers, CIRANO (1997) Downloads View citations (1)

    See also Journal Article A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure, The Review of Economics and Statistics, MIT Press (1998) Downloads View citations (15) (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 Testing for ARCH in the presence of a possibly misspecified conditional mean, Journal of Econometrics, Elsevier (1999) Downloads View citations (44) (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 (4)
    See also Journal Article ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN, Econometric Reviews, Taylor & Francis Journals (2002) Downloads View citations (15) (2002)
  3. Explaining the Persistence of Commodity Prices
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (5)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (1997) Downloads View citations (5)

    See also Journal Article Explaining the Persistence of Commodity Prices, Computational Economics, Springer (2000) Downloads View citations (25) (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 (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) Downloads View citations (2)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (2)

1996

  1. A Semi-Parametric Factor Model for Interest Rates
    CIRANO Working Papers, CIRANO Downloads View citations (3)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) Downloads View citations (3)
  2. A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (7)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1996) Downloads View citations (6)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (6)

    See also Journal Article A systematic framework for analyzing the dynamic effects of permanent and transitory shocks, Journal of Economic Dynamics and Control, Elsevier (2001) Downloads View citations (126) (2001)
  3. An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (7)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) Downloads View citations (7)

    See also Journal Article AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS, Econometric Theory, Cambridge University Press (1998) Downloads View citations (39) (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 (15)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (9)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (4)

    See also Journal Article The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information, The Review of Economics and Statistics, MIT Press (1996) Downloads View citations (14) (1996)

1995

  1. Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (6)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (5)

    See also Journal Article Estimation and inference in nearly unbalanced nearly cointegrated systems, Journal of Econometrics, Elsevier (1997) Downloads View citations (43) (1997)
  2. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    CIRANO Working Papers, CIRANO Downloads View citations (8)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (3)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (6)

    See also Journal Article Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation, Journal of Money, Credit and Banking, Blackwell Publishing (1997) View citations (59) (1997)
  3. Looking for Evidence of Speculative Stockholding in Commodity Markets
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (5)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (4)

    See also Journal Article Looking for evidence of speculative stockholding in commodity markets, Journal of Economic Dynamics and Control, Elsevier (1996) Downloads View citations (20) (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 View citations (6)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (6)
  5. Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (48)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (48)

    See also Journal Article Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1995) Downloads View citations (42) (1995)
  6. The Exact Error in Estimating the Special Density at the Origin
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (1)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (1)

    See also Journal Article THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN, Journal of Time Series Analysis, Wiley Blackwell (1996) Downloads View citations (8) (1996)

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 (118)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) Downloads View citations (13)
  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 (17)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (8)

    See also Journal Article Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties, The Review of Economic Studies, Review of Economic Studies Ltd (1996) Downloads View citations (391) (1996)

1991

  1. Adjustment Costs and Factor Demands in Canadian Manufacturing Industries
    Cahiers de recherche, Université Laval - Département d'économique
    Also in Working Papers, Laval - Recherche en Energie (1991)

Journal Articles

2022

  1. Latent Dirichlet Analysis of Categorical Survey Responses
    Journal of Business & Economic Statistics, 2022, 40, (1), 256-271 Downloads
    See also Working Paper Latent Dirichlet Analysis of Categorical Survey Responses, Papers (2020) Downloads View citations (1) (2020)

2021

  1. Boosting high dimensional predictive regressions with time varying parameters
    Journal of Econometrics, 2021, 224, (1), 60-87 Downloads View citations (6)
    See also Working Paper Boosting High Dimensional Predictive Regressions with Time Varying Parameters, Papers (2019) Downloads View citations (5) (2019)
  2. COVID-19 and the Costs of Deadly Disasters
    AEA Papers and Proceedings, 2021, 111, 366-70 Downloads View citations (7)
  3. Estimation and Inference by Stochastic Optimization: Three Examples
    AEA Papers and Proceedings, 2021, 111, 626-30 Downloads View citations (1)
    See also Working Paper Estimation and Inference by Stochastic Optimization: Three Examples, Papers (2021) Downloads View citations (1) (2021)
  4. FRED-QD: A Quarterly Database for Macroeconomic Research
    Review, 2021, 103, (1), 1-44 Downloads View citations (10)
    See also Working Paper FRED-QD: A Quarterly Database for Macroeconomic Research, NBER Working Papers (2020) Downloads View citations (63) (2020)
  5. Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
    Journal of the American Statistical Association, 2021, 116, (536), 1746-1763 Downloads View citations (20)
    See also Working Paper Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data, Papers (2021) Downloads View citations (26) (2021)
  6. Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
    American Economic Journal: Macroeconomics, 2021, 13, (4), 369-410 Downloads View citations (148)
    See also Working Paper Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?, NBER Working Papers (2015) Downloads View citations (164) (2015)

2020

  1. An Econometric Perspective on Algorithmic Subsampling
    Annual Review of Economics, 2020, 12, (1), 45-80 Downloads View citations (4)
    See also Working Paper An Econometric Perspective on Algorithmic Subsampling, Papers (2020) Downloads View citations (5) (2020)

2019

  1. Rank regularized estimation of approximate factor models
    Journal of Econometrics, 2019, 212, (1), 78-96 Downloads View citations (23)

2018

  1. The ABC of simulation estimation with auxiliary statistics
    Journal of Econometrics, 2018, 205, (1), 112-139 Downloads View citations (16)
    See also Working Paper The ABC of Simulation Estimation with Auxiliary Statistics, Papers (2017) Downloads View citations (2) (2017)

2017

  1. Level and volatility factors in macroeconomic data
    Journal of Monetary Economics, 2017, 91, (C), 52-68 Downloads View citations (30)
    See also Working Paper Level and Volatility Factors in Macroeconomic Data, NBER Working Papers (2017) Downloads View citations (32) (2017)
  2. Simulated minimum distance estimation of dynamic models with errors-in-variables
    Journal of Econometrics, 2017, 200, (2), 181-193 Downloads View citations (9)

2016

  1. FRED-MD: A Monthly Database for Macroeconomic Research
    Journal of Business & Economic Statistics, 2016, 34, (4), 574-589 Downloads View citations (356)
    See also Working Paper FRED-MD: A Monthly Database for Macroeconomic Research, Working Papers (2015) Downloads View citations (50) (2015)

2015

  1. Constructing Common Factors from Continuous and Categorical Data
    Econometric Reviews, 2015, 34, (6-10), 1141-1171 Downloads View citations (6)
  2. Measuring Uncertainty
    American Economic Review, 2015, 105, (3), 1177-1216 Downloads View citations (1199)
    See also Working Paper Measuring Uncertainty, NBER Working Papers (2013) Downloads View citations (24) (2013)
  3. Minimum Distance Estimation of Possibly Noninvertible Moving Average Models
    Journal of Business & Economic Statistics, 2015, 33, (3), 403-417 Downloads View citations (9)
    See also Working Paper Minimum distance estimation of possibly non-invertible moving average models, FRB Atlanta Working Paper (2013) Downloads View citations (1) (2013)

2014

  1. MEASUREMENT ERRORS IN DYNAMIC MODELS
    Econometric Theory, 2014, 30, (1), 150-175 Downloads View citations (11)
  2. Viewpoint: Boosting Recessions
    Canadian Journal of Economics/Revue canadienne d'économique, 2014, 47, (1), 1-34 Downloads View citations (37)
    Also in Canadian Journal of Economics, 2014, 47, (1), 1-34 (2014) Downloads View citations (46)

2013

  1. Commodity Prices, Convenience Yields, and Inflation
    The Review of Economics and Statistics, 2013, 95, (1), 206-219 Downloads View citations (97)
  2. Dynamic Hierarchical Factor Model
    The Review of Economics and Statistics, 2013, 95, (5), 1811-1817 Downloads View citations (7)
    See also Working Paper Dynamic hierarchical factor models, Staff Reports (2009) Downloads View citations (20) (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 (197)
    See also Working Paper Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling, NBER Working Papers (2013) Downloads View citations (198) (2013)
  4. Principal components estimation and identification of static factors
    Journal of Econometrics, 2013, 176, (1), 18-29 Downloads View citations (158)

2012

  1. ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
    Econometric Theory, 2012, 28, (5), 1003-1036 Downloads View citations (5)
    See also Working Paper Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties, NBER Working Papers (2011) Downloads (2011)
  2. Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown
    Journal of Econometric Methods, 2012, 1, (1), 14 Downloads View citations (63)

2011

  1. A hierarchical factor analysis of U.S. housing market dynamics
    Econometrics Journal, 2011, 14, C1-C24 Downloads View citations (32)
    Also in Econometrics Journal, 2011, 14, (1), C1-C24 (2011) Downloads View citations (53)
  2. Dynamic Identification of Dynamic Stochastic General Equilibrium Models
    Econometrica, 2011, 79, (6), 1995-2032 Downloads View citations (134)

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 (60)
    See also Working Paper Estimation of DSGE Models When the Data are Persistent, NBER Working Papers (2009) Downloads View citations (14) (2009)
  3. INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
    Econometric Theory, 2010, 26, (6), 1577-1606 Downloads View citations (103)
  4. PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
    Econometric Theory, 2010, 26, (4), 1088-1114 Downloads View citations (90)

2009

  1. Boosting diffusion indices
    Journal of Applied Econometrics, 2009, 24, (4), 607-629 Downloads View citations (83)
  2. Editors' Report 2008
    Journal of Business & Economic Statistics, 2009, 27, (4), 566-566 Downloads View citations (1)
  3. Macro Factors in Bond Risk Premia
    The Review of Financial Studies, 2009, 22, (12), 5027-5067 Downloads View citations (537)
    See also Working Paper Macro Factors in Bond Risk Premia, NBER Working Papers (2005) Downloads View citations (11) (2005)
  4. Panel cointegration with global stochastic trends
    Journal of Econometrics, 2009, 149, (1), 82-99 Downloads View citations (207)
    See also Working Paper Panel Cointegration with Global Stochastic Trends, Center for Policy Research Working Papers (2007) Downloads View citations (6) (2007)
  5. Selecting Instrumental Variables in a Data Rich Environment
    Journal of Time Series Econometrics, 2009, 1, (1), 1-34 Downloads View citations (28)

2008

  1. A Simple Test for Nonstationarity in Mixed Panels
    Journal of Business & Economic Statistics, 2008, 26, 113-127 Downloads View citations (35)
  2. Editors' Report 2007
    Journal of Business & Economic Statistics, 2008, 26, 557-557 Downloads View citations (3)
  3. Extremum Estimation when the Predictors are Estimated from Large Panels
    Annals of Economics and Finance, 2008, 9, (2), 201-222 Downloads View citations (20)
  4. Forecasting economic time series using targeted predictors
    Journal of Econometrics, 2008, 146, (2), 304-317 Downloads View citations (373)
  5. Large Dimensional Factor Analysis
    Foundations and Trends(R) in Econometrics, 2008, 3, (2), 89-163 Downloads View citations (229)

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 View citations (1)
  2. Determining the Number of Primitive Shocks in Factor Models
    Journal of Business & Economic Statistics, 2007, 25, 52-60 Downloads View citations (386)
  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 (274)
    See also Working Paper The Empirical Risk-Return Relation: a factor analysis approach, 2006 Meeting Papers (2006) Downloads View citations (2) (2006)

2006

  1. Are more data always better for factor analysis?
    Journal of Econometrics, 2006, 132, (1), 169-194 Downloads View citations (593)
    See also Working Paper Are More Data Always Better for Factor Analysis?, NBER Working Papers (2003) Downloads View citations (62) (2003)
  2. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
    Econometrica, 2006, 74, (4), 1133-1150 Downloads View citations (409)
  3. Evaluating latent and observed factors in macroeconomics and finance
    Journal of Econometrics, 2006, 131, (1-2), 507-537 Downloads View citations (113)
    See also Working Paper Evaluating Latent and Observed Factors in Macroeconomics and Financ, Econometrics (2004) Downloads View citations (4) (2004)
  4. Testing Cross-Section Correlation in Panel Data Using Spacings
    Journal of Business & Economic Statistics, 2006, 24, 12-23 Downloads View citations (68)

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 (41)
    See also Working Paper A Note on the Selection of Time Series Models, Boston College Working Papers in Economics (2001) Downloads View citations (6) (2001)
  2. Demand Systems with Nonstationary Prices
    The Review of Economics and Statistics, 2005, 87, (3), 479-494 Downloads View citations (31)
    See also Working Paper Demand Systems With Nonstationary Prices, Boston College Working Papers in Economics (2002) Downloads View citations (1) (2002)
  3. Tests for Skewness, Kurtosis, and Normality for Time Series Data
    Journal of Business & Economic Statistics, 2005, 23, 49-60 Downloads View citations (181)
    See also Working Paper Tests for Skewness, Kurtosis, and Normality for Time Series Data, Boston College Working Papers in Economics (2001) Downloads View citations (7) (2001)
  4. Understanding and Comparing Factor-Based Forecasts
    International Journal of Central Banking, 2005, 1, (3) Downloads View citations (222)
    See also Working Paper Understanding and Comparing Factor-Based Forecasts, NBER Working Papers (2005) Downloads View citations (222) (2005)

2004

  1. A PANIC Attack on Unit Roots and Cointegration
    Econometrica, 2004, 72, (4), 1127-1177 Downloads View citations (949)
    See also Working Paper A PANIC Attack on Unit Roots and Cointegration, Boston College Working Papers in Economics (2001) Downloads View citations (23) (2001)
  2. Intergenerational Linkages in Consumption Behavior
    Journal of Human Resources, 2004, 39, (2) Downloads View citations (45)
    See also Working Paper Intergenerational Linkages in Consumption Behavior, Econometric Society World Congress 2000 Contributed Papers (2000) Downloads View citations (13) (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 (11)
    See also Working Paper Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates?, Economics Working Paper Archive (2001) (2001)
  2. Intergenerational Time Transfers and Childcare
    Review of Economic Dynamics, 2003, 6, (2), 431-454 Downloads View citations (67)

2002

  1. ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
    Econometric Reviews, 2002, 21, (3), 353-381 Downloads View citations (15)
    See also Working Paper Analysis of Vector Autoregressions in the Presence of Shifts in Mean, Boston College Working Papers in Economics (1997) Downloads View citations (4) (1997)
  2. Determining the Number of Factors in Approximate Factor Models
    Econometrica, 2002, 70, (1), 191-221 View citations (2457)
    See also Working Paper Determining the Number of Factors in Approximate Factor Models, Boston College Working Papers in Economics (2000) Downloads View citations (29) (2000)
  3. Forecasting autoregressive time series in the presence of deterministic components
    Econometrics Journal, 2002, 5, (1), 196-224 View citations (5)
    See also Working Paper Forecasting Autoregressive Time Series in the Presence of Deterministic Components, Working Papers (2000) Downloads (2000)
  4. PPP May not Hold Afterall: A Further Investigation
    Annals of Economics and Finance, 2002, 3, (1), 43-64 Downloads View citations (11)
    See also Working Paper PPP May not Hold Afterall: A Further Investigation, CEMA Working Papers (2002) Downloads View citations (15) (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 (61)
  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 (126)
    See also Working Paper A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks, Cahiers de recherche (1996) Downloads View citations (7) (1996)
  3. LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
    Econometrica, 2001, 69, (6), 1519-1554 View citations (2413)
    See also Working Paper Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power, Boston College Working Papers in Economics (2000) Downloads View citations (44) (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 (71)
    See also Working Paper Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators, LSE Research Online Documents on Economics (2000) Downloads View citations (70) (2000)
  2. Explaining the Persistence of Commodity Prices
    Computational Economics, 2000, 16, (1/2), 149-171 Downloads View citations (25)
    See also Working Paper Explaining the Persistence of Commodity Prices, Cahiers de recherche (1997) Downloads View citations (5) (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 (44)
    See also Working Paper Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean, Boston College Working Papers in Economics (1998) Downloads (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 (15)
    See also Working Paper A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure, Boston College Working Papers in Economics (1998) Downloads View citations (16) (1998)
  2. AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
    Econometric Theory, 1998, 14, (5), 560-603 Downloads View citations (39)
    See also Working Paper An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests, Cahiers de recherche (1996) View citations (7) (1996)

1997

  1. Estimation and inference in nearly unbalanced nearly cointegrated systems
    Journal of Econometrics, 1997, 79, (1), 53-81 Downloads View citations (43)
    See also Working Paper Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems, Cahiers de recherche (1995) View citations (6) (1995)
  2. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    Journal of Money, Credit and Banking, 1997, 29, (2), 154-76 View citations (59)
    See also Working Paper Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation, CIRANO Working Papers (1995) Downloads View citations (8) (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 (20)
    See also Working Paper Looking for Evidence of Speculative Stockholding in Commodity Markets, Cahiers de recherche (1995) Downloads View citations (5) (1995)
  2. THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
    Journal of Time Series Analysis, 1996, 17, (4), 379-408 Downloads View citations (8)
    See also Working Paper The Exact Error in Estimating the Special Density at the Origin, Cahiers de recherche (1995) Downloads View citations (1) (1995)
  3. 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 (14)
    See also Working Paper The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information, Carleton Economic Papers (1996) View citations (15) (1996)
  4. Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
    The Review of Economic Studies, 1996, 63, (3), 435-463 Downloads View citations (391)
    See also Working Paper Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties, Cahiers de recherche (1994) Downloads View citations (17) (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 (42)
    See also Working Paper Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary, Cahiers de recherche (1995) View citations (48) (1995)
  3. Testing for unit roots in flow data sampled at different frequencies
    Economics Letters, 1995, 47, (3-4), 237-242 Downloads View citations (17)

Chapters

2019

  1. A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data
    A chapter in Big Data for Twenty-First-Century Economic Statistics, 2019, pp 403-436 Downloads View citations (3)
    See also Working Paper A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data, National Bureau of Economic Research, Inc (2019) Downloads View citations (4) (2019)

2016

  1. A Likelihood-Free Reverse Sampler of the Posterior Distribution
    A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 389-415 Downloads View citations (3)

2013

  1. Variable Selection in Predictive Regressions
    Elsevier Downloads View citations (36)
 
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